Derivative Report - Aug 22, 2011 Angel Broking,

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Comments
 The Nifty futures’ open interest increased 0.52% while
Minifty futures’ open interest decreased by 0.97% as
market closed at 4845.65 levels.
 The Nifty Aug future closed at a premium of 5.20 point
against a discount 6.10 points, while the Sep futures
closed at a premium of 11.40 points.
 The Implied Volatility of at the money options increased
from 28.25% to 28.50%.
 The PCR-OI has decreased from 0.99 to 0.94 points.
 The total OI of the market is `146,657cr and the stock
futures OI is `29,777cr.
 Few liquid stocks where CoC is positive are
SKUMARSYNF, APOLLOTYRE, GTOFFSHORE, SUZLON
and TITAN.


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 FIIs covered some of their short positions in the Index
futures though they formed fresh shorts in the stock
futures. They were net sellers of `903cr in the cash
market segment.
 In the last trading session, the 4600put option added
highest open interest and unwinding was observed in
the 4800 and above strikes put. On the other hand,
the 4800 to 5000 call added significant open
interest.
 Global cues are still weak. SGX Nifty is suggesting a
flattish opening. We won’t advise aggressive buying
as of now.
 Traders can trade with positive bias in HINDUNILVR
for a target of around `330 and keep a stop loss of
`312. Stock may give positive move due to short
covering.
Historical Volatility
SCRIP HV
VOLTAS 58.49
ROLTA 58.43
MAX 37.67
COREPROTEC 45.68
LT 40.48