Derivative Report - 7 Sept 2011 -Angel Broking,

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Comments
 The Nifty futures’ open interest increased 3.05% while
Minifty futures’ open interest increased by 7.95% as
market closed at 5064.30 levels.
 The Nifty Sep future closed at a discount of 3.20 point
against a discount of 6.90 points. The October Series
closed at a Premium of 7.00 points.
 The Implied Volatility of at the money options is
increased from 24.47% to 25.17%
 The PCR-OI has increased from 1.38 to 1.39 points
 The total OI of the market is `1,23,659cr and the stock
futures OI is `27,657cr.
 Stocks where cost of carry is positive are NEYVELILIG,
SREINFRA, AUROPHARMA, GTL, and SOBHA.
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 FII’s continued their cash base buying and their
significant increase in gross exposure in index future
but yesterday it was more of shorting.
 4600 Put and 5300 Call both added around 10000
contracts in open interest. They were most active in
terms of addition of OI though quantum is quite less.
Despite rise in markets we are not witnessing any
unwinding in 5100 call. This suggests resistance is
intact.
 RECLTD has consolidated between 165 and 175. We
are now witnessing formation of some long positions.
One can go long around CMP with target price of Rs.
182/- and stop loss of Rs. 164/-.
 Cost of carry has increased with rise in open interest
in CROMPGREAV. Stock may show upside after
consolidation. We are looking for target price of Rs.
166/-. Stop loss of Rs. 144/- should be followed.
Historical Volatility
SCRIP HV
AMBUJACEM 38.32%
HAVELLS 43.46%
UNIPHOS 45.48%
CUMMINSIND 34.51%
HEXAWARE 76.66%