Derivative Report India Research June 15, 2011: Angel Broking,

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 The Nifty futures’ open interest decreased by 1.14% while
Minifty futures’ open interest increased by 0.60% as
market closed at 5482.80 levels.
 The Nifty June future closed at a premium of 15.50
points, against a premium of 15.70 points in the last
trading session, while the July future closed at a premium
of 30.10 points.
 The Implied Volatility of at the money options is at the
same level of 16.75%.
 The PCR-OI is 1.28 points, same as of yesterday.
 The total OI of the market is `1,29,594cr and the stock
futures OI is `33,623cr.
 Few liquid stocks where CoC is positive are INDIAINFO,
TTML, GVKPIL, MUNDRAPORT and FSL.
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 Some buying was observed in the Index futures from
FIIs though they formed some short positions in the
stock futures. They were net seller of `799cr in the
cash market segment.
 In the last trading session, not mush changes were
observed in the Index options, though the 1000 and
1050 call options of TATAMOTORS added a
considerable open interest.
 DRREDDY added around 30% open interest in the
last two trading sessions. Some buying was observed
in the counter with the volatility in the stock. We may
see a positive move up to`1600-1610. Traders can
trade with positive bias with a stop loss of `1530.
 TATACOMM has significant short positions and some
buying was observed in the counter from lower levels.
We may see a positive move due to short covering.
Traders can use buy on dips strategy for the target of
`225. Keep a stop loss of `208.