Derivative Report - June 28, 2011Angel Broking,

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 The Nifty futures’ open interest decreased by 1.23% while
Minifty futures’ open interest decreased by 0.43% as
market closed at 5526.60 levels.
 The Nifty June future closed at a premium of 7.60 points,
against a premium of 12.80 points in the last trading
session, while the July future closed at a premium of
22.00 points.
 The Implied Volatility of at the money options increased
from 19.16% to 20.20%.
 The PCR-OI increased from 1.28 to 1.42 points.
 The total OI of the market is `1,50,112cr and the stock
futures OI is `35,003cr.
 Rollover of Nifty futures is 27.89% and Minifty futures is
44.29% while Banknifty rollover is 20.98%
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 FIIs booked some profits in the Index futures and
formed some short positions in the stock futures. They
were net buyers of `1,447cr in the cash market
segment.
 In the last trading session, again unwinding was
observed in most of the call options and buildup was
observed in the 5600 and below put options. Build
up in puts are a blend of buying and selling.
 Most of the stocks have witnessed high rollover in
percentage terms in comparison with last month,
though significant unwinding was observed in many
large cap stocks over a month like AXISBANK, BAJAJAUTO,
BHEL, SBIN and INFOSYSTCH.
 PNB is consolidating around current levels since start
of the series. It is accumulated around 50% open
interest over a month. It may give a positive move up
to `1,100. Traders can trade with positive bias with a
stop loss of `1,040.