Derivative Report- June 27, 2011 -Angel Broking,

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 The Nifty futures’ open interest decreased by 1.89% while
Minifty futures’ open interest decreased by 11.64% as
market closed at 5471.25 levels.
 The Nifty June future closed at a premium of 12.80
points, against a discount of 3.80 points in the last
trading session, while the July future closed at a premium
of 23.50 points.
 The Implied Volatility of at the money options increased
from 15.50% to 19.16%.
 The PCR-OI increased from 1.07 to 1.28 points.
 The total OI of the market is `1,45,903cr and the stock
futures OI is `32,962cr.
 Few liquid stocks where CoC is positive are LITL, TTML,
JPPOWER, UNITECH and TRIVENI.
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 FIIs covered significant short positions in the Index
futures and the stock futures. They were net buyers of
`890cr in the cash market segment.
 In the last trading session, huge buildup was
observed in the 5400 and 5500 put options and
unwinding was observed in most of the call options.
 CANBANK added around 16% open interest and not
much price changes was observed in the counter.
Also the data is suggesting that the buildup is due to
long formations. Traders can use negative opening to
trade with positive bias. Target is `530 and stop loss
is `498.
 As IV has again increased and global cues are also
not supporting. We do not advise aggressive long
formations at current levels.