July 04, 2011- Derivative Report India Research Angel Broking,

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Comments
 The Nifty futures’ open interest decreased by 32.96%
due to expiry while Minifty futures’ open interest
decreased by 31.73% as market closed at 5627.20
levels.
 The Nifty July future closed at a premium of 11.20
points, against a premium of 8.00 points in the last
trading session, while the Aug futures closed at a
premium of 27.65 points.
 The Implied Volatility of at the money options decreased
from 17.00% to 16.80%.
 The PCR-OI is 1.23 points.
 The total OI of the market is `97,853cr and the stock
futures OI is `31,011cr.
 Few liquid stocks where CoC is positive are LITL,
ISPATIND, MOSERBAER, RAYMOND and GTLINFRA.
View
 In first day of new series, FIIs formed some short
positions in the Index futures and Stock futures. They
were net buyers of `600cr in the cash market
segment.
 In the last trading session, the 5700 and 6000 call
options added significant open interest whereas the
5300 and 5400 put options added huge open
interest.
 VOLTAS added significant open interest in the past
few trading sessions and most of them got rollover.
Stock is consolidating since past 10 trading sessions.
We may see a positive move in the counter up to
`167. Traders can trade with positive bias with a stop
loss of `153.
 JPASSOCIAT has witnessed strong rollover. Some
buying was observed in counter. We may see a
positive move up to `86-87. Traders can trade with
positive bias with a stop loss of `79.