Derivative Report - August 25, 2011 -Angel Broking,

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 The Nifty futures’ open interest increased 16.50% while
Minifty futures’ open interest increased by 7.25% as
market closed at 4888.90 levels.
 The Nifty Aug future closed at a discount of 5.09 point
against a discount of 1.50 points, while the Sep futures
closed at a premium of 2.90 points.
 The Implied Volatility of at the money options increased
from 29.50% to 30.00% for Aug. series, and for Sep.
series it is 25.50%.
 The PCR-OI has decreased from 0.97 to 0.95 points.
 The total OI of the market is `150,841cr and the stock
futures OI is `30,687cr.
 Rollover for Nifty futures is 54.90% and for Minifty it is
48.66%. The market wide rollover is 61.08%.


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 FIIs continued their selling in the cash market
segment. They were net sellers of `883cr in the cash.
They formed some long positions in the Index futures
and the stock futures.
 In the last trading session, considerable build up was
observed in the 4900 and 5000 call. On the other
hand, unwinding was observes in the 4900 and
5000 Put options. In September series the 5000 call
and most of the puts added considerable open
interest.
 Yesterday, major rollover has been witnessed and
Nifty added a considerable open interest. Few liquid
stocks where rollover is less are NATIONALUM, SAIL,
BHARTIARTL, TITAN and ITC.
 LT is showing some strength. Continuous build up
was also observed. We may see a positive move up
to `1600-1610. Traders can trade with positive bias
with a stop loss of `1537.
Historical Volatility
SCRIP HV
DCHL 72.17
MUNDRAPORT 47.20
COALINDIA 41.63
DISHTV 45.50
PANTALOONR 60.76