Derivative Report - 9 NOV 2011 -Angel Broking,

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 The Nifty futures’ open interest increased by 2.31% while
Minifty futures’ open interest increased by 1.90% as
market closed at 5289.35 levels.
 The Nifty Nov. future closed at a Premium of 26.20 point
against a Premium of 32.65 points. The December Series
closed at a Premium of 53.80 points.
 The Implied Volatility of at the money options is
increased from 20.52% to 21.12%.
 The PCR-OI has decreased from 1.37 points to 1.35
points.
 The total OI of the market is `1, 23,060.50cr. and the
stock futures OI are `33,322.92cr.
 Stocks were cost of carry is positive are TTML, JSWISPAT,
KSOILS, JPPOWER and SREINFRA.
View
 FII's have bought in cash market segment which
is can termed slightly more than nibbling. Some fresh
longs though not substantial are visible in index
futures by them. Overall their FNO activity was
slightly muted.
 5300 and 5400 call options in yesterday’s trading
session have seen decent built up and we believe it’s
both buying and writing mix. Surprisingly even 4800
put saw substantial built up in yesterday’s trading
session.
 RELCAPITAL is witnessing few formation of long
positions from lower levels and lot of medium term
short positions still standing in the counter. We expect
positive movement in the counter and have target
price of `416. Go long with stop loss of `361.
Historical Volatility
SCRIP HV
HAVELLS 55.96
VOLTAS 48.94
PATNI 67.85
GODREJIND 43.97
JSWSTEEL 70.42