July 01, 2011 -Derivative Report India Research : Angel Broking,

Please Share:: India Equity Research Reports, IPO and Stock News
Visit http://indiaer.blogspot.com/ for complete details �� ��


View
 FIIs were net buyers in the Index futures. Open
interest is down due to expiry. They were net buyers
of `1,591cr in the cash market segment.
 In yesterday’s trading session, significant build up
was observed in most of the call and put options. IV
has gone down.
 In July series, rollover is high in Nifty futures as well
as market wide. Most of the banking counters have
seen good rollover like HDFC, HDFC BANK and
IDFC. Few other stocks were rollover is high are
M&M, MARUTI, RELINFRA and RELIANCE.
 TATAMOTORS is consolidating around current levels
since more than 10 trading sessions. Significant
unwinding of short positions has been observed in
the counter from lower levels. We may see a positive
move up to `1,030. Traders can trade with positive
bias with a top loss of `950.



Comments
 The Nifty futures’ open interest increased by 3.70% while
Minifty futures’ open interest decreased by 3.60% as
market closed at 5647.40 levels.
 The Nifty July future closed at a premium of 8.00 points,
against a premium of 22.65 points in the last trading
session, while the Aug future closed at a premium of
22.95 points.
 The Implied Volatility of at the money options for July
series decreased from 18.00% to 17.00%.
 The PCR-OI increased from 1.47 to 1.69 points.
 The total OI of the market is `1,59,902cr and the stock
futures OI is `36,461cr.
 Rollover of Nifty futures is 66.62% and Minifty futures is
68.08% while the market wide rollover is 82.71%.