Derivative Report - August 04, 2011:: Angel Broking,

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Comments
 The Nifty futures’ open interest increased 9.68% while
Minifty futures’ open interest increased by 8.31% as
market closed at 5404.80 levels.
 The Nifty Aug future closed at a premium of 19.60
points, against a premium of 9.95 points in the last
trading session, while the Sep futures closed at a
premium of 36.50 points.
 The Implied Volatility of at the money options increased
from 17.70% to 18.35%.
 The PCR-OI decreased from 1.07 to 1.06 points.
 The total OI of the market is `117,162cr and the stock
futures OI is `32,955cr.
 Few liquid stocks where CoC is positive are KSOILS,
TRIVENI, NCC, TTML and MTNL.


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 FIIs formed significant short positions in the Index
futures and some in the stock futures. They were net
sellers of `870cr in the cash market segment.
 Yesterday, the 5400 and 5500 call options and the
5300 put option added considerable open interest.
The 5100 put was also accumulated significant open
interest.
 AUROPHARMA witnessed some buying from lower
levels, yesterday. We may see a positive move up to
`172. Traders can trade with positive bias with stop
loss of `160.
 STER is trading around its important support levels.
Also the stock has considerable short positions. Due
to short covering we may see a positive move up to
`160-162. Traders can trade with positive bias with a
stop loss of `150.
Historical Volatility
SCRIP HV
LITL 71.71
BEL 22.75
MOSERBAER 44.88
LT 38.47
NHPC 19.01