July 08, 2011 -Derivative Report India Research : Angel Broking,

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 The Nifty futures’ open interest increased by 5.21% while
Minifty futures’ open interest increased by 22.09% as
market closed at 5728.95 levels.
 The Nifty July future closed at a premium of 15.65
points, against a premium of 11.20 points in the last
trading session, while the Aug futures closed at a
premium of 32.05 points.
 The Implied Volatility of at the money options increased
from 16.50% to 17.20%.
 The PCR-OI increased from 1.25 to 1.34 points.
 The total OI of the market is `117,227cr and the stock
futures OI is `33,629cr.
 Few liquid stocks where CoC is positive are FSL,
DENABANK, MTNL, TRIVENI and KSOILS.
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 FIIs covered some of their short positions in the Index
futures. Although market has given a significant
positive move yesterday their participation in stock
futures was less. They were net buyers of `869cr in
the cash market segment.
 In the last trading session, huge build up was
observed from the 5500 to 5800 put options and
5800 and above call options. The 5700 call is
showing considerable unwinding in it.
 CANBANK is showing some buying in it. CoC has
also increased. We may see a positive move in the
counter up to `550. Traders can trade with positive
bias with a stop loss of `520.
 AUROPHARMA added around 12% open interest in
the last trading session. Stock has potential to go up
to `180-182. Traders can form long positions with a
stop loss of `167.