Derivative Report - July 22, 2011 - Angel Broking,

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 The Nifty futures’ open interest decreased by 3.82% while
Minifty futures’ open interest increased by 3.95% as
market closed at 5541.60 levels.
 The Nifty July future closed at a premium of 2.60 points,
against a premium of 2.50 points in the last trading
session, while the Aug futures closed at a premium of
20.85 points.
 The Implied Volatility of at the money options increased
from 16.50% to 17.00%.
 The PCR-OI decreased from 1. 12 to 1.08 points.
 The total OI of the market is `144,931cr and the stock
futures OI is `35,704cr.
 Few liquid stocks where CoC is positive are ABGSHIP,
NATIONALUM, LUPIN, INDIAINFO and DISHTV.
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 FIIs formed some short positions in the Stock futures
and unwound some of their long positions in the
Index futures. They were net sellers of `578cr in the
cash market segment.
 Yesterday, again significant build up was observed in
the 5500 and 5600 Call options and considerable
unwinding was observed in the 5600 Put option.
 In the past few trading sessions, TATAMOTORS
added significant short positions and yesterday it was
showing some strength. We may see a positive move
up to `1,020 due to short covering. Traders can
trade with positive bias with a stop loss of `955.
 ICICIBANK is trading around its immediate support
levels. CoC has also increased we may see a positive
move up to `1,070. Traders can trade with positive
bias with a shop loss of `1,030.