Derivative Report - 5 Oct 2011 -Angel Broking,

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Comments
 The Nifty futures’ open interest increased 5.95% while
Minifty futures’ open interest increased by 18.35% as
market closed at 4772.15 levels.
 The Nifty Oct. future closed at a Premium of 2.85 point
against a Premium of 8.25 points. The November Series
closed at a Premium of 16.30 points.
 The Implied Volatility of at the money options is
increased from 34.46% to 36.38%.
 The PCR-OI has decreased from 1.42 to 1.39 points.
 The total OI of the market is `1,04,882.30cr. And the
stock futures OI are `24,865.65cr.
 Stocks where cost of carry is positive are GUJFLUORO,
RUCHISOYA, BEL, PRAJIND and TECHM.



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 Cash base selling to the tune of `971/- crores was
done by FII's. In FNO segment fresh shorting has
been observed by them and they continue to buy
index options in this falling market.
 The manner in which 4300 put is adding open
interest along with significant rise in implied volatility
is denting our confidence of not to short. However,
we are sticking to it. Market may widened the range
and may remain highly volatile.
 SAIL in last three trading session have added huge
open interest and needless to say that these are short
positions. However looking at the quantum and price
movement we believe counter is in oversold zone.
Short covering though not very big is quite likely at
current levels. Very short term traders can go long
with stop loss of `96 and target of `109.
Historical Volatility
SCRIP HV
JUBLFOOD 84.99
ALBK 45.39
M&M 40.81
COALINDIA 51.34
DCB 60.25