Nov 1, 2011: Derivative Report - Angel Broking, India Research

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 The Nifty futures’ open interest increased by 1.11% while
Minifty futures’ open interest decreased by 5.51% as
market closed at 5326.60 levels.
 The Nifty Nov. future closed at a Premium of 20.50 point
against a Premium of 24.80 points. The December Series
closed at a Premium of 43.85 points.
 The Implied Volatility of at the money options is
increased from 19.05% to 20.05%.
 The PCR-OI is decreased from 1.41 to 1.39 points.
 The total OI of the market is `1,12,655.80cr. and the
stock futures OI are `31,650.96cr.
 Stocks were cost of carry is positive are GVKPIL, TULIP,
LITL, TTML and NCC.
View
 FII’s continue to buy in cash market segment; they
were net buyer’s worth of `359/- cr. in yesterday’s
trade. On Derivatives front they were net sellers in
index future but the quantum of selling was quite less,
while in index options they continue to be net buyers
and we fill is more of buying of call options as IV is
quite low.
 On Options front some buildup was seen in Nifty
5400 and 5500 call options, while in put options
5200 have seen the maximum buildup.
 Bounce in JPASSOCIAT from lower levels of `69 was
mainly because of short covering. We may see some
selling emerging at current levels in the counter. Ultra
short term traders can short the counter with target
price of `72 and stop loss of `80.
 IOC has added substantial short positions as crude
rallied. Stock is near to its strong support of `290-
285. Short covering may take counter to `308 levels.
Fix stop loss of `281 and go long.
Historical Volatility
SCRIP HV
HINDUNILVR 43.79
VIJAYABANK 60.82
GLAXO 23.99
DENABANK 49.45
INDIANB 49.95