Derivative Report -Angel Broking, India Research June 08, 2011

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Comments
 The Nifty futures’ open interest increased by 0.99% while
there is no change in Minifty futures’ open interest.
Market closed at 5556.15 levels.
 The Nifty June future closed at a premium of 6.55 points,
against a premium of 2.15 points in the last trading
session, while the July future closed at a premium of
19.65 points.
 The Implied Volatility of at the money options decreased
from 16.00% to 15.75%.
 The PCR-OI increased from 1.31 to 1.33 points.
 The total OI of the market is `1,25,722cr and the stock
futures OI is `33,254cr.
 Few liquid stocks where CoC is positive are HEXAWARE,
TRIVENI, MPHASIS, TTML and STRTECH.
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 Small buying was visible in Index futures from FIIs
however they formed some short positions in the
Stock futures. They were net buyers of `113cr in the
cash market segment.
 Yesterday, the 5700 and 5800 call options continue
to add open interest however the 5400 to 5600 put
options added significant open interest.
 In this series BANKNIFTY first time turned in to the
premium although it is not significant. It has a
premium of 6.65 points.
 DENABANK has given a correction from 96 levels.
Some buying was observed in the last trading
session. We may again see the level of `96. Traders
can trade with positive bias around `92 with a stop
loss of `90.
 ABAN added around 9% open interest with increase
in price. We expect long formation may continue till
`620 levels. Trading with positive bias is advisable
around `583-585. Keep a stop loss of `570.