Derivative Report India Research June 09, 2011; Angel Broking,

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Comments
 The Nifty futures’ open interest decreased by 0.54% while
Minifty futures’ open interest increased by 3.52% as
market closed at 5526.85 levels.
 The Nifty June future closed at a premium of 3.00 points,
against a premium of 6.55 points in the last trading
session, while the July future closed at a premium of
16.00 points.
 The Implied Volatility of at the money options is at the
same levels of 15.75%.
 The PCR-OI decreased from 1.33 to 1.31 points.
 The total OI of the market is `1,26,408cr and the stock
futures OI is `33,383cr.
 Few liquid stocks where CoC is positive are TTML,
GVKPIL, DCHL, MOSERBAER and FSL.
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 FIIs unwound some of their long positions in the
Index futures and formed some short positions in the
stock futures. Their cash market activity was muted in
the last trading session.
 Yesterday, the 5600 call option added highest open
interest, while among put options, the 5400 strike
added some open interest and small unwinding was
observed in the 5500 and 5600 puts.
 STER is showing some shorting from higher levels.
We expect this will continue up to `158-160 levels.
Thus, trading with negative bias is advisable with a
stop loss of `172.
 Most of the sugar counters are showing strength.
Some buying was witnessed in TRIVENI. We may see
a positive move in the counter around `43. Traders
can trade with positive bias with a stop loss of `37.