08 November 2011

Derivative Report - 8 Nov 2011 -Angel Broking,

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Comments
 The Nifty futures’ open interest decreased by 1.21% while
Minifty futures’ open interest increased by 0.61% as
market closed at 5284.20 levels.
 The Nifty Nov. future closed at a Premium of 32.65 point
against a Premium of 30.10 points. The December Series
closed at a Premium of 57.55 points.
 The Implied Volatility of at the money options is
decreased from 22.62% to 20.52%.
 The PCR-OI is unchanged to 1.37 points.
 The total OI of the market is `1,22,441.20cr. and the
stock futures OI are `33,043.41cr.
 Stocks were cost of carry is positive are SOBHA, TTML,
JSWISPAT, TATACOMM and RUCHISOYA.
View
 In Friday’s session FII’s were net buyers in cash
market segment, they were net buyers worth of
`129/- cr. On Derivatives front they have reduced
their positions in Index futures and most of the
position was unwounded in the last week, while in
index options they continue to be net buyers mainly in
call options only except Friday’s trading session
where they were net sellers in index options.
 On Options front there was buildup visible in Nifty
5400-5500 call options, while in put options Nifty
4900 strike price have added maximum amount of
open interest in Fridays trading session.
 We have witnessed formation of short positions in
TATAMOTORS as it corrected from higher levels. We
see further downside in counter due to European
debt crisis. Traders can short counter with target price
of `174 and stop loss of `196
 CAIRN has strong resistance in the range of `305-
310 where it is currently quoting. Counter is relatively
very light in open interest. We anticipate a breakout
in counter and suggest to trade with positive bias with
target price of `321 and stop loss of `297.
Historical Volatility
SCRIP HV
HAVELLS 55.96
VOLTAS 48.94
PATNI 67.85
GODREJIND 43.97
JSWSTEEL 70.42

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