Derivative Report - 15 Sept 2011 -Angel Broking,

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 The Nifty futures’ open interest decreased 1.87% while
Minifty futures’ open interest decreased by 3.49% as
market closed at 5012.55 levels.
 The Nifty Sep future closed at a premium of 6.6 point
against a premium of 0.65 points. The October Series
closed at a Premium of 17.05 points.
 The Implied Volatility of at the money options is
decreased from 29.78% to 28.56%.
 The PCR-OI has increased from 1.33 to 1.43 points.
 The total OI of the market is `1, 35,641cr. and the stock
futures OI is `29,432.07cr.
 Stocks where cost of carry is positive are INDIAINFO,
GVKPIL, STRTECH, JSWENERGY and LITL.


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 Despite substantial bounce in market, FII’s activity in
cash market was muted and they have done some
long unwinding in index futures at higher levels
indicating their lack of optimism beyond 5000 odd
levels.
 4200 put has added significant open interest which is
surprising. 5000 call saw unwinding while most of
the put options ranging from 4500 to 5000 added
decent open interest.
 We have witnessed formation of short positions in
MARUTI ever since it started correcting from `1200+
levels. There has hardly being any short covering.
Short around `1100-1110 with stop loss of `1138
with target price of `1042.
 Yesterday’s rally in HINDALCO was due to short
covering only. Despite more than 3% rise in price
there was only 2.29% of unwinding indicating shorts
formed at higher levels don’t expect major bounce
from current levels. Short around `146-148 with stop
loss of `153 and target price of `137.
Historical Volatility
SCRIP HV
PANTALOONR 65.75
HINDUNILVR 30.36
RUCHISOYA 48.9
INFY 52.4
DCHL 78.35