Derivative Report - August 17, 2011 -Angel Broking,

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 The Nifty futures’ open interest increased 0.59% while
Minifty futures’ open interest decreased by 1.41% as
market closed at 5035.80 levels.
 The Nifty Aug future closed at a discount of 8.10 points
against a premium of 6.90points, while the Sep futures
closed at a premium of 3.45 points.
 The Implied Volatility of at the money options decreased
from 28.50% to 28.00%.
 The PCR-OI is at the same levels of 1.03 points.
 The total OI of the market is `138,912cr and the stock
futures OI is `29,638cr.
 Few liquid stocks where CoC is positive are ZEE,
HDFCBANK, FSL, TATAMTRDVR and JSWISPAT.


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 FIIs covered some of their short positions in the Index
futures and the stock futures. They were net sellers of
`261cr in the cash market segment.
 Global cues are still not supportive though not
suggesting considerable gap down opening. SGX
Nifty is suggesting an opening around 5020 levels.
 In the last trading session, considerable build up was
observed in the 5000 and 5100 call option and
unwinding was observed in the 5300 call. On the put
front, buildup was observed from the 4800 to 5100
strikes.
 IDBI witnessed fresh shorting and negative cost-ofcarry
has also increased considerably. We may see
further correction in the counter up to `109-110.
Traders can trade with negative bias with a stop loss
of `119.
Historical Volatility
SCRIP HV
KSOILS 194.44
IVRCLINFRA 111.91
NCC 86.50
PUNJLLOYD 73.29
PATELENG 72.70