25 October 2011

Derivative Report - 25 Oct 2011 -Angel Broking,

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Comments
 The Nifty futures’ open interest increased by 2.69% while
Minifty futures’ open interest decreased by 1.35% as
market closed at 5098.35 levels.
 The Nifty Oct. future closed at a Premium of 7.45 point
against a Premium of 4.05 points. The November Series
closed at a Premium of 30.30 points.
 The Implied Volatility of at the money options is
increased from 25.67% to 27.92%.
 The PCR-OI is increased from 1.40 to 1.47 points.
 The total OI of the market is `1,39,670.40cr. and the
stock futures OI are `32,697.25cr.
 Few of the liquid counters where we have seen low
rollover are CROMPGREAV, HDIL, EDUCOMP,
ONGC and UNITECH.




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 FII's have bought in cash market; they were net buyer
of worth `101/-cr. On Derivatives front they were net
buyers in index futures and the open interest was flat
resulting in some short covering and fewer long
positions build up by them, while in index options
they were net sellers.
 On options front there was buildup visible in Nifty
5200-5400 call options in November series. While in
Put options there was significant amount of open
interest buildup in Nifty 4700 and 5000 strike price
in November series.
 Rollover for Nifty future is at 65.68%, Minifty future is
at 58.07%, Banknifty is at 70.54% and CNXIT is at
43.04%.
 NHPC is consolidating in the narrow range for quite
some days and some positions are getting buildup
into this counter. Hence we suggest to go long with
target price of `26 and stop loss at `22.
Historical Volatility
SCRIP HV
UNIONBANK 74.97
BRFL 17.93
GITANJALI 43.21
WELCORP 69.63
ONGC 36.35

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