Derivative Report - August 10, 2011 --Angel Broking,

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 The Nifty futures’ open interest increased 2.18% while
Minifty futures’ open interest decreased by 4.62% as
market closed at 5072.85 levels.
 The Nifty Aug future closed at a premium of 10.55 points
against a premium of 7.70 points, while the Sep futures
closed at a premium of 23.90 points.
 The Implied Volatility of at the money options has
increased further from 28.85% to 36.50%.
 The PCR-OI increased from 0.96 to 1.02 points.
 The total OI of the market is `133,978cr and the stock
futures OI is `29,838cr.
 Few liquid stocks where CoC is positive are LITL,
ARVIND, DCHL, PRAJIND and TTML.


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 FIIs formed some short positions in the Index futures
and a blend of short covering and some long
formations was observed in the stock futures. They
still continued their cash base selling. They were net
sellers of `2,105cr in the cash market segment.
 In the last trading session, mainly unwinding was
observed in most of the counters which suggests that
participants are hesitating forming fresh shorts as of
now.
 Yesterday, significant build up was observed in the
4900 and 5000 call options. Among Put options, the
4600 and below puts added significant open interest,
while unwinding was observed in the 4700 and
above puts.
 Due to positive global indices we may see a positive
opening in today’s trading session. For trading
purpose, traders can use low beta counters like NTPC
around 166-167 levels to trade with positive bias
though the positional long is not advisable as of now.
Historical Volatility
SCRIP HV
NAGARFERT 71.52
ABAN 58.49
SUZLON 80.89
PATNI 40.79
DRREDDY 31.20