Sep 02, 2011- Derivative Report India Research -Angel Broking,

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 The Nifty futures’ open interest decreased 0.47% while
Minifty futures’ open interest decreased by 3.56% as
market closed at 5001.00 levels.
 The Nifty Sep future closed at a premium of 2.00 point
against a premium of 13.55 points. The October Series
closed at a Premium of 14.20 points.
 The Implied Volatility of at the money options is at
21.50%
 The PCR-OI has increased from 1.28 to 1.34 points
 The total OI of the market is `1,10,598cr and the stock
futures OI is `38,480cr.
 Stocks where cost of carry is positive are UNITECH,
GVKPIL, LITL, JSWENERGY, and DHANBANK.
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 FIIs formed long positions in the Index Futures and
the Stock futures. They were net buyers of `621cr in
the cash market segment.
 In the last trading session, some unwinding was
observed amongst call options and most of the put
options added a considerable open interest. Amongst
Stock options, INFY 2250 call has highest open
interest.
 Global cues are little negative. SGX Nifty is
suggesting an open around 5050 marks. We see
some selling pressure may emerge in letter part of
the trading session.
 CANBK is showing some long formations. For small
trading move traders can trade with positive bias in
this counter for the target of `440. Keep a stop loss
of `418.
Historical Volatility
SCRIP HV
SUNPHARMA 35.29
SESAGOA 69.36
ONGC 37.02
HINDZINC 46.05
MAX 49.89