28-12-2010POST-MARKET SESSIONDERIVATIVE REPORT<br />LIVE TIPS MARKET RESEARCH PVT.LTD<br />
DERIVATIVE SEGMENT<br />FII Net BUY in Index fut 357 Cr and stock fut net SELL 465 Cr as on Monday. <br />FIIs have formed some long positions in the Index futures while formed shorts in the stock futures. They were net buyers of `246cr in the cash market segment. <br />The Nifty Dec future closed at a premium of 20 points as against 9 as on today. On the other hand Jan fut. closed at a premium of 49 points.<br />The PCR-OI increased from 1.41 to1.42 points. <br />
The Implied volatility of At-the-money options for Dec expiry increased from 13.00% to 16.50% and for Jan expiry it is 17.20% <br />Rollover for Nifty futures is 29.27%, Minifty futures is 33.42%, while market-wide rollover is 36.27%.<br />In the last trading session, unwinding has been observed in most of the call and put options of Dec. expiry however, build up was observed in the 5900 and 6000 put options of Jan series.<br />
Stock which are very good move with good open interest (OI) are like: <br />BHARTIARTL OI 19.48 % Increase in price 0.16 %<br />WIPRO OI 16.26 % Increase in price 1.21 %<br />MCDOWELL-N OI 30% Increase in price 2.79%<br />TATAPOWER OI 36.51 % Increase in price 1.71 %<br />MARUTI OI 19 % Increase in price 0.35 %<br />Other stocks with good OI with increase in price are: BANKBARODA,INDHOTEL,INFOSYSTCH,PNB,AREVA T&D, <br />
Decrease in price and increase in OI are like<br />ICICIBANK OI 17.16 % With Decrease In Price 0.96 %<br />SINTEX OI 15% With Decrease In Price 0.83 %<br />AMBUJACEM OI 8.62 % With Decrease In Price 0.80 %<br />INDUSINDBK OI 17.19 % With Decrease In Price 0.12 %<br />SAIL OI 9 % With Decrease In Price 0.22 %<br />Other stocks with good OI with decrease in price are: SYNDIBANK,ASHOKLEY,AXISBANK,PATNI,PATELENG,DRREDDY<br />
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