Derivative Report - August 11, 2011 ::Angel Broking,

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 The Nifty futures’ open interest decreased 1.91% while
Minifty futures’ open interest decreased by 1.25% as
market closed at 5161.00 levels.
 The Nifty Aug future closed at a discount of 2.35 points
against a premium of 10.55 points, while the Sep futures
closed at a premium of 7.45 points.
 The Implied Volatility of at the money options decreased
from 36.50% to 28.50%.
 The PCR-OI increased from 1.02 to 1.05 points.
 The total OI of the market is `135,696cr and the stock
futures OI is `30,086cr.
 Few liquid stocks where CoC is positive are MLL,
TRIVENI, KFA, DCHL and ABGSHIP.


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 A blend of short covering and some long formations
was observed in the Index futures from FIIs. They
formed some long positions in the Stock futures. They
were net buyers of `153cr in the cash market
segment.
 US markets closed down more than 4% in the last
trading session. Most of the Asian markets are also
down but not at the same pace of US. SGX Nifty is
suggesting opening around 5120 levels.
 Yesterday, the 4600 put option added around
52,000 contracts and considerable build up was
witnessed in the 5100 put option. However, there
were no major changes observed amongst call
options.
 We still continue our view that it is not a time to do
bottom fishing. However, traders can use HDFC to
trade with negative bias for the target of `645. Keep
a stop loss of `680.
Historical Volatility
SCRIP HV
MARUTI 37.69
SRTRANSFIN 55.59
CHAMBLFERT 67.43
OPTOCIRCUI 46.62
HOTELEELA 53.84