Derivative Report - 25 NOV 2011 -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 decreased by 7.29% while
Minifty futures’ open interest decreased by 4.78% as
market closed at 4756.45 levels.
 The Nifty Dec. future closed at a Premium of 25.15 point
against a Premium of 14.20 points. The January Series
closed at a Premium of 44.15 points.
 The Implied Volatility of at the money options is
decreased from 36.55% to 26.63%.
 The PCR-OI has increased from 0.86 points to 0.90
points.
 The total OI of the market is `1,50,363.62cr. and the
stock futures OI are `30,745.55cr.
 Few of the liquid counters where we have seen high cost
of carry are RUCHISOYA, GITANJALI, FSL, TTML and
GTOFFSHORE.
View
 Despite of strong bounce back in yesterday’s market
FII’s continue to sell heavily in the cash market
segment; they were net sellers of worth `1636/- cr.
On Derivatives front FII’s rolled over less of their
position in index futures as they were net sellers in
index futures and the open interest went down
significantly, while in index options they were net
buyers.
 On options front deep out of the money put options
and at the money put options like Nifty 4200, 4500
and 4700 strike price have seen descent buildup,
while in call options strikes ranging from 4700-5100
have seen maximum buildup.
 There are very few counters which have seen less
rollover and they are – GAIL, BPCL, ITC,
INDUSINDBK and KOTAKBANK.
 IOC is starting December series on a very lighter
note. Also we have seen crude correction from higher
levels. Counter has strong support around `255
levels. We suggest to go long with target of `284 and
stop loss of `251.
Historical Volatility
SCRIP HV
SOUTHBANK 49.73
BRFL 67.45
RAYMOND 53.56
IFCI 96.09
APOLLOTYRE 47.64