Derivative Report India - June 20, 2011 -Angel Broking,

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 The Nifty futures’ open interest increased by 1.27% while
Minifty futures’ open interest increased by 6.42% as
market closed at 5366.40 levels.
 The Nifty June future closed at a premium of 13.70
points, against a premium of 5.65 points in the last
trading session, while the July future closed at a premium
of 28.40 points.
 The Implied Volatility of at the money options increased
from 17.75% to 18.00%.
 The PCR-OI is decreased from1.14 to 1.09 points.
 The total OI of the market is `1,38,292cr and the stock
futures OI is `34,835cr.
 Few liquid stocks where CoC is positive are SREINFRA,
FSL, TULIP, RUCHISOYA and IRB.





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 In the last trading session, FIIs’ selling was observed
in the Index futures and the stock futures. Also they
were net sellers of `391cr in the cash market
segment.
 Significant build up was observed from 5300 to 5600
call options and in 5100 and 5200 put options.
However, unwinding was observed from the 5400 to
5600 put options. Significant buying from FIIs is
suggesting they are buying lower strike put options.
 After a dip some buying was observed in
TATAPOWER. We may see a positive move in the
counter around `1275-1280. Traders can trade with
positive bias with a stop loss of `1220.
 BGRENERGY is showing continuous unwinding. We
may see further correction in the counter due to short
formation. Traders can trade with negative bias
around `490-492 levels for the target of `466. Keep
a stop loss of `504.