Derivative Report - 15 NOV 2011 -Angel Broking,

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Comments
 The Nifty futures’ open interest increased by 2.90% while
Minifty futures’ open interest decreased by 3.54% as
market closed at 5148.35 levels.
 The Nifty Nov. future closed at a Premium of 7.50 point
against a Premium of 22.90 points. The December Series
closed at a Premium of 34.30 points.
 The Implied Volatility of at the money options is
increased from 22.93% to 23.69%.
 The PCR-OI has decreased from 1.29 points to 1.28
points.
 The total OI of the market is `1, 29,954.24cr. and the
stock futures OI are `32,533.69cr.
 Stocks were cost of carry is positive are COREEDUTEC,
NHPC, HEXAWARE, KSOILS and DHANBANK.
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 After shorting index futures significantly in Friday
trading session FII’s have again gone long in index
futures, though quantum is less. They continue to buy
in cash market segment.
 We have not seeing any significant activity in option
segment. However 5200 call & 5100 put added
more than 10000 contracts each. Higher implied
volatility suggest that this built up is blend out long &
short.
 Most of the banking counters have witnessed
formation of short positions. Even BANKNIFTY has
seen built up of shorts. HDFCBANK is only exception
in large caps. We suggest to trade with positive bias
in it.
Historical Volatility
SCRIP HV
RENUKA 150.53
SKUMARSYNF 90.78
BALRAMCHIN 67.32
DISHTV 52.53
PTC 56.29