Derivative Report June 22, 2011 Angel Broking, India Research

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 The Nifty futures’ open interest decreased by 2.32% while
Minifty futures’ open interest decreased by 7.26% as
market closed at 5275.85 levels.
 The Nifty June future closed at a premium of 2.00 points,
against a premium of 2.15 points in the last trading
session, while the July future closed at a premium of
12.60 points.
 The Implied Volatility of at the money options is at the
same levels of 20.50%.
 The PCR-OI is 0.98 points as of last day.
 The total OI of the market is `1,38,745cr and the stock
futures OI is `32,645cr.
 Few liquid stocks where CoC is positive are TTML,
INDIAINFO, LITL, INDIACEM and STER.
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 FIIs covered some of their short positions in the Index
futures and the stock futures, though they were net
sellers of `563cr in the cash market segment.
 Yesterday, highest build up was observed in the 5300
call options, which is more of buying. Among put
options, highest build up was observed in the 5200
strike.
 WIPRO has significant short positions and the stock is
trading at a strong support level. We may see a
positive move in the counter up to `420. Positional
traders can form long positions with a stop loss of
`389.
 Amongst metal counters, STER added around 10%
open interest and CoC has also increased. Stock may
give a positive move up to `162. Traders can trade
with positive bias with a stop loss of `150