16 November 2011

Derivative Report - 16 NOV 2011 -Angel Broking,

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Comments
 The Nifty futures’ open interest increased by 1.05% while
Minifty futures’ open interest decreased by 9.50% as
market closed at 5068.50 levels.
 The Nifty Nov. future closed at a Premium of 9.70 point
against a Premium of 7.50 points. The December Series
closed at a Premium of 38.50 points.
 The Implied Volatility of at the money options is
increased from 23.69% to 24.85%.
 The PCR-OI has decreased from 1.28 points to 1.21
points.
 The total OI of the market is `1,32,192.08cr. and the
stock futures OI are `32,533.69cr.
 Stocks were cost of carry is positive are COREEDUTEC,
ALOKTEXT, RUCHISOYA, KSOILS and DHANBANK.
View
 Markets have broken crucial support of 5150 and
FII's have now started selling aggressively, they were
sellers in cash market segment and they have shorted
index futures substantially. This is not at all
encouraging to maintain bullish stanze on markets.
 Not surprisingly now, that 5100 and 5200 puts have
seen significant unwinding in open interest as put
writers cover their positions and 4800 put continue to
add open interest which we believe is more of
buying. 5100 call added huge open interest
yesterday and this may again be blend of long and
short.
 AMBUJACEM has strong resistance around 164-166.
Surprisingly counter has been strong in a weak
market. We anticipate long unwinding to take place
in the counter which may bring it down to 152 levels.
So short with stop loss of 167. However short only on
rallies upto 163-164.
Historical Volatility
SCRIP HV
INDHOTEL 62.66
CIPLA 36.17
ADANIENT 62.11
LITL 81.23
GUJFLUORO 41.1

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