Derivative Report India Research June 13, 2011; Angel Broking,

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Comments
 The Nifty futures’ open interest decreased by 2.22% while
Minifty futures’ open interest increased by 4.58% as
market closed at 5485.80 levels.
 The Nifty June future closed at a discount of 1.65 points,
against a discount of 1.90 points in the last trading
session, while the July future closed at a premium of
12.25 points.
 The Implied Volatility of at the money options decreased
from16.50% to 16.00%.
 The PCR-OI decreased from 1.31 to 1.23 points.
 The total OI of the market is `1,27,063cr and the stock
futures OI is `33,140cr.
 Few liquid stocks where CoC is positive are PUNJLLOYD,
KSOILS, TTML, RUCHISOYA and DCHL.



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 FIIs unwound some of their long positions in the
Index futures. They were net sellers of `170cr in the
cash market segment.
 In the last trading session, considerable unwinding
was observed in the 5400 and 5500 put options and
build up was observed in the 5500 and 5600 call
options. The data suggests further negative move in
the market.
 Some selling pressure was visible in HINDZINC.
Negative CoC has also increased. We may see a
negative move up to `126. Traders can trade with
negative bias with a stop loss of `138.
 CANBANK witnessed some shorting. CoC has turned
from positive to negative. We may see a correction in
the counter up to `500. Traders can form short
positions with a stop loss of `532.