Derivative Report - August 19, 2011 -Angel Broking,

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 The Nifty futures’ open interest increased 4.08% while
Minifty futures’ open interest increased by 11.14% as
market closed at 4944.15 levels.
 The Nifty Aug future closed at a discount of 6.10 point
against a premium 10.15 points, while the Sep futures
closed at a premium of 3.25 points.
 The Implied Volatility of at the money options increased
from 25.25% to 28.25%.
 The PCR-OI has decreased from 1.07 to 0.99 points.
 The total OI of the market is `142,401cr and the stock
futures OI is `29,694cr.
 Few liquid stocks where CoC is positive are TRIVENI,
KSOILS, DENABANK, SUZLON and SOUTHBANK.


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 FIIs formed short positions in the Index futures. They
were net sellers of `489cr in the cash market
segment.
 Yesterday, considerable unwinding was observed in
the 5000 to 5200 Put options and build up was
observed in the 4900 Put. Amongst Call, the 4900
and 5000 strike added significant open interest.
 Global cues are negative. US markets closed down
around 4% and most of the Asian markets are also
weak. SGX Nifty is suggesting opening around 4861
levels.
 After some short covering, yesterday AMBUJACEN
added around 17% open interest and cost of carry
turned to negative. We expect this is a formation of
short positions. Traders can trade with negative bias
for the target of `122-123. Keep a stop loss of `135.
Historical Volatility
SCRIP HV
PIRHEALTH 38.67
TECHM 49.38
ANDHRABANK 31.73
COREPROTEC 37.27
MOSERBAER 108.25