Derivative Report - 4 Oct 2011 -Angel Broking,

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Comments
 The Nifty futures’ open interest increased 0.43% while
Minifty futures’ open interest increased by 10.10% as
market closed at 4849.50 levels.
 The Nifty Oct. future closed at a premium of 8.25 point
against a discount of 8.95 points. The November Series
closed at a Premium of 21.85 points.
 The Implied Volatility of at the money options is
increased from 29.57% to 34.46%.
 The PCR-OI has increased from 1.40 to 1.42 points.
 The total OI of the market is `99,687.92cr. And the
stock futures OI are `25,020.46cr.
 Stocks where cost of carry is positive are GITANJALI,
SUNTV, GLAXO, RUCHISOYA and DCHL.


View
 Most of the fall of yesterday’s session in US markets
was discounted in our and other Asian markets. FII’s
are now in full sell mode i.e. selling in equity,
shorting in index futures and buying put options.
 4300 put has been adding significant open interest
since last couple of trading session and rise in IV and
FII’s data suggests its buying. Substantial built-up is
observed in 4700 and 4800 put too. Some addition
was seen in 4900 call strike.
 There is scope of fresh shorting in MARUTI as open
interest is slightly on the lower side. We believe
competition will dent the premium which stock
enjoys. Short with stop loss of `1120 and target of
`982.
 Too many short positions standing in JETAIRWAYS
and crude prices have corrected meaningfully. Short
covering very likely. Go long with stop loss of `213
and target of `258.
Historical Volatility
SCRIP HV
SCI 60.55
SINTEX 86.33
BPCL 34.33
GESHIP 47.90
TATACHEM 33.72