Derivative Report - 8 Sept 2011 -Angel Broking,

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Comments
 The Nifty futures’ open interest increased 0.61% while
Minifty futures’ open interest increased by 5.75% as
market closed at 5124.65 levels.
 The Nifty Sep future closed at a discount of 7.45 point
against a discount of 3.20 points. The October Series
closed at a Premium of 2.65 points.
 The Implied Volatility of at the money options is
decreased from 25.17% to 23.29%
 The PCR-OI has increased from 1.39 to 1.43 points
 The total OI of the market is `1,26,245.30cr and the
stock futures OI is `28,133.81cr.
 Stocks where cost of carry is positive are TRIVENI,
KSOILS, GVKPIL, TULIP and LITL


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 FII’s position as percentage of total gross market
position has crossed 40% mark. This is very much
evident from the fact that in last few trading sessions
they have formed huge positions in index futures.
 We saw first sign of call writers covering their
positions. Unwinding was visible in 5000 and 5300
call options. However puts continued to add open
interest, especially 4500 put.
 In range of `170-175, ALBK has added significant
open interest with rise in CoC. We believe its more of
long positions. Go long with target price of `189 and
stop loss of `171.
 We are witnessing long unwinding in IDEA. Open
interest has come down and CoC too has reduced.
We expect further long unwinding to have downward
pressure on the counter. Short with stop loss of `104
and Target of `92.
Historical Volatility
SCRIP HV
ACC 31.17
AMBUJACEM 45.51
IVRCLINFRA 119.93
UNITECH 62.58
NTPC 31.06