Oct 31, 2011: Derivative Report India Research :Angel Broking,

Please Share:: India Equity Research Reports, IPO and Stock News
Visit http://indiaer.blogspot.com/ for complete details �� ��


Comments
 The Nifty futures’ open interest increased by 3.97% while
Minifty futures’ open interest decreased by 11.14% as
market closed at 5360.70 levels.
 The Nifty Nov. future closed at a Premium of 24.80 point
against a Premium of 30.25 points. The December Series
closed at a Premium of 47.80 points.
 The Implied Volatility of at the money options is
decreased from 21.05% to 19.05%.
 The PCR-OI is decreased from 1.56 to 1.41 points.
 The total OI of the market is `1,09,626.90cr. and the
stock futures OI are `31,414.72cr.
 Stocks were cost of carry is positive are KSOILS, GVKPIL,
LITL, SOUTHBANK and TULIP.
View
 FII’s have bought in cash markets segment they were
net buyers of worth `2166/- cr. On Derivatives front
they were net buyers in index future and open interest
also went up by 2.5%, while in index options also
they were net buyers.
 On Options front some buildup was seen in Nifty
5500-5700 strike price, while in put options 5200-
5400 strike prices have seen the maximum buildup.
We believe it’s more of buying of options as implied
volatility is very low.
 Some of the liquid counters which added
considerable open interest in Friday’s trade are
LUPIN, MARUTI, INDHOTEL, JETAIRWAYS and
BALRAMCHIN .
Historical Volatility
SCRIP HV
NHPC 31.62
OPTOCIRCUI 79.17
GMRINFRA 52.47
HINDALCO 70.09
DRREDDY 32.17