Derivative Report- June 21, 2011 - Angel Broking, India Research

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 The Nifty futures’ open interest increased by 5.16% while
Minifty futures’ open interest increased by 3.21% as
market closed at 5257.90 levels.
 The Nifty June future closed at a premium of 2.15 points,
against a premium of 13.70 points in the last trading
session, while the July future closed at a premium of
13.45 points.
 The Implied Volatility of at the money options increased
from 18.00% to 20.50%.
 The PCR-OI is decreased from1.09 to 0.98 points.
 The total OI of the market is `1,37,818cr and the stock
futures OI is `32,632cr.
 Few liquid stocks where CoC is positive are GVKPIL,
VIDEOIND, TRIVENI, GTOFFSHORE and KOTALBANK.
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 Although in the last trading session market has given
a significant correction, FIIs formed long positions in
the Index futures. They also covered some of their
short positions in the stock futures. They were net
sellers of `513cr in the cash market segment.
 Yesterday, significant unwinding was observed in the
5200 and above put options and huge build up was
observed from 5200 to 5400 call options.
 JINDALSAW has corrected significantly, though there
is no fresh shorting was observed in the counter. We
may see a positive move up to `155-157. Positional
traders can trade with positive bias with a stop loss of
`140.
 After continuous shorting, some unwinding was
observed in ONGC from lower levels. Still short
positions exist in the counter. We may see a positive
move up to `268-270 due to short covering. Traders
can form long positions with a stop loss of `250.