Derivative Report - August 02, 2011 -Angel Broking,

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Comments
 The Nifty futures’ open interest increased 3.11% while
Minifty futures’ open interest decreased by 1.25% as
market closed at 5516.80 levels.
 The Nifty Aug future closed at a premium of 16.15
points, against a premium of 6.05 points in the last
trading session, while the Sep futures closed at a
premium of 32.40 points.
 The Implied Volatility of at the money options decreased
from 18.60% to 17.50%.
 The PCR-OI increased from 1.12 to 1.13 points.
 The total OI of the market is `107,587cr and the stock
futures OI is `32,631cr.
 Few liquid stocks where CoC is positive are FSL, MLL,
HOTELEELA, TRIVENI and 3IINFOTECH.


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 FIIs positions were muted in the last trading session.
They formed some long positions in the Index futures
and some shorts in the stock futures. They were net
buyers of `86cr in the cash market segment.
 Yesterday, the 5600 call option and the 5500 put
option added considerable open interest.
 After considerable unwinding, though some buying
was observed in KOTAKBANK in the last trading
session, the stock is not showing much strength.
Traders can trade with negative bias for the target of
`432-435 with a stop loss of `465.
 MARUTI is trading around its resistance levels. We
may see correction in the counter up to `1,160.
Trading with negative bias is advisable with a stop
loss of `1,230.
Historical Volatility
SCRIP HV
JINDALSWHL 85.86
TVSMOTOR 45.30
JSWSTEEL 67.40
NATIONALUM 38.34
INDIAINFO 41.65