14 September 2011

Derivative Report - 14 Sept 2011 -Angel Broking,

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Comments
 The Nifty futures’ open interest increased 1.62% while
Minifty futures’ open interest increased by 0.90% as
market closed at 4940.95 levels.
 The Nifty Sep future closed at a premium of 0.65 point
against a discount of 4.35 points. The October Series
closed at a Premium of 12.35 points.
 The Implied Volatility of at the money options is
decreased from 30.47% to 29.78%.
 The PCR-OI has decreased from 1.36 to 1.33 points.
 The total OI of the market is `1,31,351.80cr and the
stock futures OI is `28,252.96cr.
 Stocks where cost of carry is positive are NCC,
GITANJALI, FSL, ABGSHIP and MAX.


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 In a highly volatile session the net activity of FII's in
derivatives segment was fairly muted. However their
gross activity in index options was quite high. They
were net sellers in cash market segment.
 After put unwinding we are witnessing continuous
addition of open interest in 5000 and 5100 call
options especially 5000 call option where 23799
contracts were added yesterday. We believe its blend
of buying and selling.
 HEROMOTOCO did see defensive base buying in it
in last couple of weeks, rallying from `1900 levels
but didn’t see much formation of long positions. This
trade may reverse and some signs of unwinding are
visible. Short with target of `2135 and fix stop loss of
`2248.
 TATAMOTORS seems to be in oversold zone with
significant short positions in it. Expect a small bounce
in it. Ultra short-term traders can trade it with positive
bias.
Historical Volatility
SCRIP HV
CAIRN 53.86
ZEEL 39.46
DABUR 31.71
TULIP 36.31
TATAMOTORS 59.48

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