July 07, 2011- Derivative Report India Research Angel Broking,

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Comments
 The Nifty futures’ open interest increased by 0.61% while
Minifty futures’ open interest increased by 0.23% as
market closed at 5625.45 levels.
 The Nifty July future closed at a premium of 11.20
points, against a premium of 19.00 points in the last
trading session, while the Aug futures closed at a
premium of 29.00 points.
 The Implied Volatility of at the money options is still 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 `109,397cr and the stock
futures OI is `32,479cr.
 Few liquid stocks where CoC is positive are RUCHISOYA,
PANTALOONR, GTOFFSHORE, NATIONALUM and
RELIANCE.
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 FIIs’ trading was muted in future segment in the last
trading session. In cash segment they were net buyers
of `220crore.
 In the last trading session, the 5700 call options
added significant open interest and most of the Put
options are also showing build up in open interest
barring the 5300 put where unwinding was
witnessed.
 NATIONALUM is showing some short covering from
lower levels. Stock still has short positions. We may
see a positive move in the counter up to `89-90.
Traders can trade with positive bias with a stop loss
of `82.
 CENTRALBK is showing some unwinding from higher
levels. Negative CoC has also increased. We may
see a negative move up to `123. Traders can trade
with negative bias with stop loss of `131.