Derivative Report - August 05, 2011 ::Angel Broking,

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 The Nifty futures’ open interest increased 3.57% while
Minifty futures’ open interest increased by 22.38% as
market closed at 5331.80 levels.
 The Nifty Aug future closed at a premium of 5.40 points,
against a premium of 19.60 points in the last trading
session, while the Sep futures closed at a premium of
20.20 points.
 The Implied Volatility of at the money options increased
from 18.35% to 19.50%.
 The PCR-OI decreased from 1.06 to 0.98 points.
 The total OI of the market is `121,427cr and the stock
futures OI is `32,555cr.
 Few liquid stocks where CoC is positive are MLL,
ALOKTEXT, KSOILS, NCC and SYNDIBANK.


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 FIIs again formed short positions in the Index futures
and the stock futures. They were net sellers of `255cr
in the cash market segment.
 US markets closed down around 4% and over all
global cues are negative. As suggested buy SGX Nifty
we may see opening around 5200 levels.
 Yesterday, again significant build up was observed in
the 5300 to 5500 call options and unwinding was
observed in the 5400 and 5500 Put options.
Amongst put the 5000 and 5100 strike added
considerable open interest.
 Due to uncertainly in the global scenario, it is
advisable to square off short positions if Nifty reaches
to 5150-5200 but don’t go long as of now.
Historical Volatility
SCRIP HV
BOMDYEING 45.48
BPCL 25.84
IOC 29.43
ABAN 38.41
SUNPHARMA 28.30