Derivative Report - November 21, 2011 :Angel Broking,

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Comments
 The Nifty futures’ open interest increased by 0.4% while
Minifty futures’ open interest decreased by 0.19% as
market closed at 4905.80 levels.
 The Nifty Nov. future closed at a Premium of 8.80 point
against a Discount of 1.80 points. The December Series
closed at a Premium of 36.60 points.
 The Implied Volatility of at the money options is
decreased from 25.99% to 24.77%.
 The PCR-OI has increased from 1.02 points to 1.04
points.
 The total OI of the market is `1,43,827.79cr. and the
stock futures OI are `31,884.33cr.
 Stocks were cost of carry is positive are RUCHISOYA,
KSOILS, TRIVENI, JSWISPAT and CAIRN
View
 FII’s were net sellers in Friday’s trading session; they
were net seller’s worth of `872/- cr. On Derivatives
front they were net sellers in index futures indicating
some more short buildup in Friday’s trading session,
while in index options they were net buyers.
 On Options front some unwinding was seen in Nifty
5000-5200 put options, while in call options some
buildup was visible in at the money call options of
4800 & 4900 strike price we fill its much of buying
seen in this call options. In December series out of
the money put option of 4400 & 4500 strike price
have seen descent buildup.
 The recent bounce back in SBIN was much due to
short covering and there was not much of long
positions buildup into this counter. SBIN has the
strong support at around 1700 levels and we fill
breach of its support in coming trading sessions.
Hence we recommend to go short on this counter
with the target price of `1630 and stop loss at
`1765.
Historical Volatility
SCRIP HV
HINDPETRO 51.46
GESHIP 42.11
IVRCLINFRA 98.92
JSWENERGY 53.26
IFCI 72.43