28 September 2011

Derivative Report - 28 Sept 2011 -Angel Broking,

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Comments
 The Nifty futures’ open interest decreased 4.53% while
Minifty futures’ open interest decreased by 11.96% as
market closed at 4971.25 levels.
 The Nifty Sep future closed at a premium of 6.10 point
against a premium of 8.90 points. The October Series
closed at a Premium of 20.10 points.
 The Implied Volatility of at the money options is
decreased from 32.50% to 29.88%.
 The PCR-OI has increased from 1.20 to 1.27 points.
 The total OI of the market is `1, 44,564cr. and the stock
futures OI is `31,154.48cr.
 Stocks where cost of carry is positive are RUCHISOYA,
SINTEX, KSOILS, ZEEL and ALOKTEXT.


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 FII’s have covered substantial index futures short
positions in yesterday’s trading session. Also they
have been net seller in index options. However,
despite markets rallying significantly, FII’s didn’t buy
in cash market segment.
 Call writers of strike 4700 to 4900 have covered
some of their positions while put writers have now
become active in 4900 and 5000 strikes. We say it’s
more of writing as IV’s are still high.
 IDBI has witnessed 19% reduction in its open interest.
Counter despite volatile market has been
consolidating in range of `104-110. We suggest
forming long position in it with target of `115 and
stop loss of `102.
 ALOKTEXT has strong support around `16.50-17.00.
Counter has seen strong volumes in futures segment.
Buy with target price of `19.75 and follow strict stop
loss of `16.00.
Historical Volatility
SCRIP HV
GLAXO 23.95
BHEL 36.53
DLF 78.30
BAJAJHLDNG 20.15
JPPOWER 53.86

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