Derivative Report - September 06, 2011: Angel Broking,

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 The Nifty futures’ open interest increased 5.99% while
Minifty futures’ open interest increased by 1.45% as
market closed at 5017.20 levels.
 The Nifty Sep future closed at a discount of 6.90 point
against a discount of 5.90 points. The October Series
closed at a Premium of 3.45 points.
 The Implied Volatility of at the money options is
increased from 21.50% to 24.47%
 The PCR-OI has increased from 1.35 to 1.38 points
 The total OI of the market is `1,19,367cr and the stock
futures OI is `27,193cr.
 Stocks where cost of carry is positive are LITL, FSL, BEML,
JPPOWER and UNITECH.




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 Interestingly, despite global concerns and markets
correcting FII’s not selling in cash market. However
they did formed some short positions in index futures
with significant rise in open interest.
 Last few trading sessions we are witnessing
substantial addition of OI in out-of-money puts.
Yesterday significant built-up was observed in 4400
and 4800 put options. Rise in IV suggests its more of
buying.
 TATAMOTORS has seen short covering in last three
trading sessions as market and stock bounced from
lower levels. We don’t expect counter to sustain at
higher levels. Expect new lows of 685 and fix stop
loss of 792.
 UNITECH is seeing significant addition in OI and
cash market volumes are very high. This is
happening near lows. Buy 27.50 CE @ Rs. 1.50/-.
Historical Volatility
SCRIP HV
BFUTILITIE 110.21%
HEROMOTOCO 40.63%
DABUR 33.50%
TECHM 59.41%
GUJFLUORO 60.54%