June 23, 2011: Derivative Report - Angel Broking, India Research

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 The Nifty futures’ open interest increased by 4.78% while
Minifty futures’ open interest decreased by 0.15% as
market closed at 5278.30 levels.
 The Nifty June future closed at a premium of 4.95 points,
against a premium of 2.00 points in the last trading
session, while the July future closed at a premium of
14.80 points.
 The Implied Volatility of at the money options decreased
from 20.50% to 19.25%.
 The PCR-OI increased from 0.98 to 1.02 points.
 The total OI of the market is `1,41,632cr and the stock
futures OI is `32,731cr.
 Few liquid stocks where CoC is positive are HOTELEELA,
MLL, GVKPIL, BALRAMCHIN and UNIPHOS.
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 FIIs formed some long positions in the Index futures
and the stock futures. They were net sellers of `284cr
in the cash market segment.
 Yesterday, most of the put options added
considerable open interest, while the 5400 call
added highest open interest.
 BALRAMCHIN has considerable short positions.
Yesterday, some buildup was observed in the counter
and cost of carry has increased significantly. We may
see a positive move up to `60. Traders can trade with
positive bias with a stop loss of `54.
 From higher levels, selling pressure may emerge in
TECHM. As CoC has turned to negative and stock
has immediate resistance around 700 levels. We
advise to go short around resistance for the target of
`670-672. Keep stop loss of `712.