02 November 2011

Derivative Report - 2 Nov 2011 -Angel Broking,

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Comments
 The Nifty futures’ open interest decreased by 1.83% while
Minifty futures’ open interest decreased by 8.96% as
market closed at 5257.95 levels.
 The Nifty Nov. future closed at a Premium of 33.45 point
against a Premium of 20.50 points. The December Series
closed at a Premium of 55.05 points.
 The Implied Volatility of at the money options is
increased from 20.05% to 21.45%.
 The PCR-OI is decreased from 1.39 to 1.35 points.
 The total OI of the market is `1,14,441.20cr. and the
stock futures OI are `31,866.20cr.
 Stocks were cost of carry is positive are GVKPIL,
ALOKTEXT, AREVAT&D, HAVELLS and JSWISPAT
View
 There was muted performance by FII’s in Cash
market segment after being net buyers for so many
days; they were net sellers of worth `21/- cr. in
yesterday’s trade. On derivatives front they were net
sellers in index future indicating some long
unwinding, while in index options they continue to be
net buyers.
 On Options front Nifty 5300 call option have seen
good amount of addition in open interest, while in
put option 5100 strike price have seen some buildup.
 Current fall in market from higher level has not seen
significant shorting pressure or cash base selling in
market. Previous resistance of 5150-5200 may now
act as strong support for the market and hence we
would not advise to short this market.
 SBIN has witnessed good accumulation of long
positions in last two trading sessions when market
has been correcting. `1860-1880 is good support for
the counter. Buy in support zone with target price of
`1975 and stop loss of `1843.
Historical Volatility
SCRIP HV
HAVELLS 47.58
COLPAL 27.97
CENTRALBK 51.04
FORTIS 31.09
ABIRLANUVO 39.97

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