Derivative Report India Research June 07, 2011: Angel Broking

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 The Nifty futures’ open interest decreased by 1.67% while
Minifty futures’ open interest increased by 2.34% as
market closed at 5532.05 levels.
 The Nifty June future closed at a premium of 2.15 points,
against a premium of 6.75 points in the last trading
session, while the July future closed at a premium of
16.05 points.
 The Implied Volatility of at the money options increased
from 15.75% to 16.00%.
 The PCR-OI is at the same level of 1.31 points.
 The total OI of the market is `1,22,841cr and the stock
futures OI is `32,690cr.
 Few liquid stocks where CoC is positive are FSL,
ESSAROIL, GTLINFRA, STRTECH and MOSERBAER.
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 FIIs unwound some of their long positions in the
Index futures and formed some short positions in the
stock futures. They were net sellers of `202cr in the
cash market segment.
 In the last trading session, considerable build up was
observed in the 5700 and 5800 call options and
5400 and 5500 Put options.
 IDFC added around 26% open interest in the last
trading session and CoC has also increased. We may
see a positive move in the counter around `145.
Traders can trade with positive bias with a stop loss
of `134.
 After unwinding, considerable shorting was visible in
HINDALCO. We may see further correction in the
counter up to `178-180. Traders can trade with
negative bias with a stop loss of `193.