Derivative Report - October 7, 2011 -Angel Broking,

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 The Nifty futures’ open interest decreased by 1.45% while
Minifty futures’ open interest increased by 0.74% as
market closed at 4751.30 levels.
 The Nifty Oct. future closed at a Premium of 18.00 point
against a Premium of 2.85 points. The November Series
closed at a Premium of 30.80 points.
 The Implied Volatility of at the money options is
decreased from 36.38% to 34.22%.
 The PCR-OI has decreased from 1.39 to 1.35 points.
 The total OI of the market is `1,06,853.90cr. And the
stock futures OI are `25,149.45cr.
 Stocks where cost of carry is positive are GLAXO,
SOBHA, MPHASIS, GUJFLUORO and GTOFFSHORE.


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 FII's continue to sell heavily in cash market but
these guys have barely formed short positions in
index futures during this phase where markets have
come down and cash selling is prominent. We
have very positive global cues to deal with. SGXNIFTY
is more than 150 points higher than our Nifty futures
close.
 Last trading session we didn’t see much of activity in
options segment. Most addition in open interest was
in 4400 strike. None of the strike in calls added more
than 10,000 contracts.
 As we will have significant gap up opening today, its
banking sector which has very high open interest and
most of them being short positions. It is likely that
after gap up opening too, BANKNIFTY may see
upside move due to some short covering. This index
can bounce back to 9200 levels in coming trading
sessions.
Historical Volatility
SCRIP HV
ROLTA 71.37
TTKPRESTIG 66.45
JISLJALEQS 70.40
MAX 59.94
ASIANPAINT 22.50