June 29, 2011- Angel Broking, Derivative Report India Research

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Comments
 The Nifty futures’ open interest increased by 2.35% while
Minifty futures’ open interest decreased by 2.23% as
market closed at 5545.30 levels.
 The Nifty June future closed at a premium of 3.75 points,
against a premium of 7.60 points in the last trading
session, while the July future closed at a premium of
22.15 points.
 The Implied Volatility of at the money options increased
from 20.20% to 21.00% in June series and IV for July
series was 18.00%.
 The PCR-OI increased from 1.42 to 1.45 points.
 The total OI of the market is `1,53,782cr and the stock
futures OI is `35,894cr.
 Rollover of Nifty futures is 47.86% and Minifty futures is
47.86% while Banknifty rollover is 41.48%.
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 FIIs covered some of their short positons in the Index
futures and did some long unwinding in the Stock
futures. They were net buyers of `819cr in the cash
market segment.
 Yesterday, some build up was observed in the 5600
and above call options and 5400 to 5700 put
options. In July series, the 5600 call and 5300 put
options have highest open interest.
 Few large cap stocks where rollover is high both in
terms of open interest and percentage are TCS,
MARUTI, HINDALCO, PNB and STER. The market
wide rollover is 52.11%.
 Some buying was observed in GRASIM from lower
levels. Stock is showing long formations. We may see
a positive move in the counter up to `2,150. Traders
can trade with positive bias with a stop loss of
`2,045.