Derivative Report India Research June 10, 2011::Angel Broking,

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Comments
 The Nifty futures’ open interest decreased by 1.71% while
Minifty futures’ open interest increased by 5.28% as
market closed at 5521.05 levels.
 The Nifty June future closed at a discount of 1.90 points,
against a premium of 3.00 points in the last trading
session, while the July future closed at a premium of
12.50 points.
 The Implied Volatility of at the money options increased
from15.75% to 16.50%.
 The PCR-OI is still at the same level of 1.31 points.
 The total OI of the market is `1,27,489cr and the stock
futures OI is `33,501cr.
 Few liquid stocks where CoC is positive are NAGARFERT,
TTML, GVKPIL, UNITECH and MOSERBAER.
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 FIIs continued to unwind their long positions in the
Index futures and formed some short positions in the
stock futures. Again cash market activity was very
less.
 Yesterday, not any considerable changes was
observed in the Index options however, the 5600 and
5700 call options, and 5300 and 5400 put options
added some open interest.
 Continues build up was observed in the PIRHEALTH
and stock is moving in a narrow range. Yesterday,
the CoC has increased. We may see a positive move
up to `395. Positional traders can trade with positive
bias with a stop loss of `355.
 From higher levels, mainly profit booking was
observed in SIEMENS. Stock still has significant long
positions. Due to further long unwinding we may see
correction up to `840 levels. Traders can trade with
negative bias around `880-882 with stop loss of
`903.