July 06, 2011: Derivative Report India Research ::Angel Broking,

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Comments
 The Nifty futures’ open interest decreased by 0.78% while
Minifty futures’ open interest increased by 1.79% as
market closed at 5632.10 levels.
 The Nifty July future closed at a premium of 19.00
points, against a premium of 15.35 points in the last
trading session, while the Aug futures closed at a
premium of 35.30 points.
 The Implied Volatility of at the money options is at the
same level of 16.50%.
 The PCR-OI is at the same levels of 1.25 points.
 The total OI of the market is `107,006cr and the stock
futures OI is `32,337cr.
 Few liquid stocks where CoC is positive are GVKPIL,
JPPOWER, FSL, RENUKA and NMDC.
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 FIIs unwound some of their long positions in the
Index futures and continued to form short positions in
the Stock futures. They were net buyers of `826cr in
the cash market segment.
 In the last trading session, among put options the
5500 strike added highest open interest however
most of the call options added a decent open
interest.
 Yesterday, ESCORTS added around 20% open
interest. Some buying was observed and stock still
has significant short positions. We may see a positive
move up to `120-121. Traders can trade with
positive bias with a stop loss of `112.
 IDFC has given a positive move only on the back of
short covering. We may see some correction in the
counter up to `128-129. Traders can trade with
negative bias with a stop loss of `137.