Derivative Report - July 27, 2011-Angel Broking,

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 The Nifty futures’ open interest increased by 7.19% while
Minifty futures’ open interest decreased by 12.05% as
market closed at 5574.85 levels.
 The Nifty July future closed at a discount of 0.50 points,
against a premium of 10.35 points in the last trading
session, while the Aug futures closed at a premium of
15.35 points.
 The Implied Volatility of at the money options decreased
from 19.00% to 18.20%.
 The PCR-OI decreased from 1. 34 to 1.10 points.
 The total OI of the market is `152,010cr and the stock
futures OI is `37,776cr.
 The Nifty futures’ rollover is 39.42% and rollover of
Minifty futures is 43.28%, while the market wide rollover
is 48.71%



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 FIIs formed short positions in the Index futures and
the stock futures. They were net sellers of `178cr in
the cash market segment.
 In the last trading session, huge build up was
observed in most of the Call options and unwinding
was observed in the 5600 and 5700 Put options.
Although a small unwinding was also observed in the
5500 Put, still it is a very strong support till this expiry.
In August series the 5700 Call and 5400 Put options
have highest open interest.
 For small trading, traders can trade with positive bias
in SESAGOA around `276-277. We may see a
positive move up to `285. Keep a stop loss of `272.
 Few liquid stocks where rollover is high are SUZLON,
NTPC, RELCAPITAL, TATASTEEL and SESAGOA.