Derivative Report - 3 Nov 2011 -Angel Broking,

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 The Nifty futures’ open interest increased by 0.79% while
Minifty futures’ open interest increased by 1.99% as
market closed at 5258.45 levels.
 The Nifty Nov. future closed at a Premium of 21.72 point
against a Premium of 33.45 points. The December Series
closed at a Premium of 45.12 points.
 The Implied Volatility of at the money options is
increased from 21.45% to 22.37%.
 The PCR-OI is increased from 1.35 to 1.37 points.
 The total OI of the market is `1,17,742.40cr. and the
stock futures OI are `32,089.63cr.
 Stocks were cost of carry is positive are BOSCHLTD,
SOBHA, ALOKTEXT, GMRINFRA and GVKPIL.
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 There was again a muted performance by FII’s in
Cash market segment; they were net sellers of worth
`8/- cr. in yesterday’s trade. On derivatives front they
were net sellers in index future indicating some long
unwinding, while in index options also they were net
sellers.
 On Options front Nifty 5600 call option have shown
some buildup, while in put option 4900 strike price
have seen good amount of unwinding and out of the
money put options 4700,4800 and 5100 strike price
have seen some buildup in open interest.
 On stocks front some of the large cap stocks where
we have seen some buildup in open interest are
PNB, ABB, BHARTIARTL,IOC and RCOM.
Historical Volatility
SCRIP HV
ALBK 56.44
GVKPIL 43.76
TECHM 49.43
PNB 45.78
ESCORTS 51.65