June 30, 2011: Derivative Report India Research -Angel Broking,

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Comments
 The Nifty futures’ open interest increased by 10.90%
while Minifty futures’ open interest increased by 6.25% as
market closed at 5600.45 levels.
 The Nifty June future closed at a premium of 3.65 points,
against a premium of 3.75 points in the last trading
session, while the July future closed at a premium of
22.65 points.
 The Implied Volatility of at the money options was at the
same levels of 21.00% in June series and IV for July
series was 18.00%.
 The PCR-OI increased from 1.45 to 1.47 points.
 The total OI of the market is `1,60,649cr and the stock
futures OI is `36,236cr.
 Rollover of Nifty futures is 53.66% and Minifty futures is
54.20% while the market wide rollover is 67.87%.


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 FIIs formed long positions in the Index futures. They
were net buyers of `669cr in the cash market
segment.
 In yesterday’s trading session, huge build up was
observed in the 5700 call option and 5600 and
5500 put options of June series. In July series, most
of the call and put options added considerable open
interest.
 JINDALSTEL is showing some buying from lower
levels. Base metal prices in LME are also positive. We
may see a positive move up to `660. Traders can
trade with positive bias in July series with a stop loss
of `624.
 LICHSGFIN has strong resistance around current
levels. CoC has also turned to negative. We may see
some correction in the counter. Positive opening
around 444 levels can be used to trade with negative
bias in July series with a stop loss of `448 for the
target of `230.
 Few liquid stocks where rollover is less are
JINDALSAW, PANTALOONR, RCOM and CIPLA.