Derivative Report - 5 Sept 2011 -Angel Broking,

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 The Nifty futures’ open interest increased 6.57 % while
Minifty futures’ open interest decreased by 0.32% as
market closed at 5040.00 levels.
 The Nifty Sep future closed at a discount of 5.90 point
against a premium of 2.00 points. The October Series
closed at a Premium of 6.25 points.
 The Implied Volatility of at the money options is
increased from 21.50% to 22.50%
 The PCR-OI has increased from 1.34 to 1.35 points
 The total OI of the market is `1,15,038cr and the stock
futures OI is `26,970cr.
 Stocks where cost of carry is positive are GTL,
ULTRACEMCO, TRIVENI, TTML and BAJAJHIND


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 FII’s have formed fresh positions in the market with
significant rise in open interest and more of long
positions have been formed. They were also buying
in cash market substantially.
 Despite rising markets we have not seen much
unwinding in 5000 and 5100 call options. There has
be substantial addition in open interest of 4700 and
4400 strike of puts and we believe its more of buying
in them.
 NTPC is generally considered as defensive stock.
Counter has come to its strong support level of Rs.
166/-. The way stock has added positions in last 3
trading sessions, it indicates that this support may go
this time. Don’t buy.
 Strong bounce back in JSWSTEEL from 600 to 720
levels was mainly due to short covering only. Despite
rise counters IV has increased. Short it with stop loss
of 748. We expect 672 levels in it.
Historical Volatility
SCRIP HV
CUMMINSIND 32.51
VIPIND 73.81
SRTRANSFIN 58.50
IOC 37.27
LUPIN 40.09