Derivative Report - August 03, 2011 :Angel Broking,

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Comments
 The Nifty futures’ open interest increased 4.10% while
Minifty futures’ open interest increased by 17.63% as
market closed at 5456.55 levels.
 The Nifty Aug future closed at a premium of 9.95 points,
against a premium of 16.15 points in the last trading
session, while the Sep futures closed at a premium of
26.00 points.
 The Implied Volatility of at the money options increased
from 17.50% to 17.70%.
 The PCR-OI decreased from 1.13 to 1.07 points.
 The total OI of the market is `111,276cr and the stock
futures OI is `32,295cr.
 Few liquid stocks where CoC is positive are
UNIONBANK, WELCORP, NCC, SOUTHBANK and LITL


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 FIIs formed short positions in the Index futures and
the stock futures. They were net sellers of `202cr in
the cash market segment.
 Yesterday, the 5500 and 5600 call options and the
5200 and 5300 put options added huge open
interest. Also the 5800 call was showing considerable
build up.
 RENUKA may give further downside. Although the
stock has corrected from higher levels, we may see a
correction up to `65-66. Traders can trade with
negative bias with a stop loss of `72.
 Negative COC of GAIL has been increased. Also the
stock is trading around its resistance levels. We may
see a correction in the counter up to `440. Trading
with negative bias is advisable with a stop loss of
`468.
Historical Volatility
SCRIP HV
TTKPRESTIG 58.61
BALRAMCHIN 44.45
FSL 55.36
KFA 51.38
MCLEODRUSS 30.49