Derivative Report - July 21, 2011Angel Broking,

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 The Nifty futures’ open interest increased by 4.54% while
Minifty futures’ open interest increased by 7.04% as
market closed at 5567.05 levels.
 The Nifty July future closed at a premium of 2.50 points,
against a premium of 10.75 points in the last trading
session, while the Aug futures closed at a premium of
22.55 points.
 The Implied Volatility of at the money options decreased
from 17.20% to 16.50%.
 The PCR-OI decreased from 1. 25 to 1.12 points.
 The total OI of the market is `143,629cr and the stock
futures OI is `35,506cr.
 Few liquid stocks where CoC is positive are RUCHISOYA,
HOTELEELA, CROMPGREAV, SINTEX and INDIACEM
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 Net buying in the Index futures from FIIs was not
much in the last trading session, but build up in open
interest is clearly suggesting that some are forming
fresh long and some fresh short positions. They were
net sellers of `90cr in the cash market segment.
 Yesterday, significant buildup was observed in the
5600 to 5800 Call options and some unwinding was
observed in most of the Put options mainly the 5500
and 5600 Puts.
 IVRCLINFRA is moving in a narrow range of `68-69
in the past few trading sessions. Yesterday, it was
showing some strength. We may see a positive move
up to `74. Traders can trade with positive bias with a
stop loss of `66.50.
 LT is showing some weakness and CoC has turned to
negative. We may see correction in the counter up to
`1770. Traders can trade with negative bias around
1815-1818 levels. Keep a stop loss of `1845.