Derivative Report
Aug 01, 2014
Comments
Nifty Vs OI
The Nifty futures open interest decreased by
30.96%
while BankNifty futures open interest has decreased by
41.92% as market closed at 7721.30 levels.
The Nifty August future closed at premium of 29.25 point
against a premium of 33.75 points. The September
series closed at a premium of 60.70 points.
The Implied Volatility of at the money options has
increased from 12.63% to 13.22%.
Nifty PCR-OI has decreased from 0.99 to 0.78 levels.
The total OI of the market is Rs. 1,33,529/- cr. and the
stock futures OI is Rs. 50,630/- cr.
Few of the liquid counters stocks where we have seen
high cost of carry are GMRINFRA, JPASSOCIAT,
JPPOWER, HDIL and DIVISLAB.
OI Gainers
View
OI
PRICE
FIIs sold considerably in cash market segment, they
SCRIP
OI
CHANGE
PRICE
CHANGE
were net seller of worth Rs. 1654 crores. In F&O
(%)
(%)
segment they were net buyer with fall in open interest
IRB
13100000
5.10
257.55
7.41
& in Index options they again bought reasonably of
worth Rs. 1093 crores with significant fall in open
IBREALEST
30004000
3.02
78.65
-1.00
interest due to expiry.
ABIRLANUVO
1594250
1.00
1476.30
3.66
August series has started with low implied volatility
LT
8239750
0.05
1502.90
-1.57
due to which premium are also low. Yesterday we
-
-
-
-
-
saw good amount of buildup in 7900 & 8000 call
options, maximum buildup in current series is again
seen in 8000 call options. On the other hand in put
OI Losers
options buildup was quite scattered in the range of
OI
PRICE
7300-7700 strike prices, while interestingly in put
SCRIP
OI
CHANGE
PRICE
CHANGE
options maximum buildup in seen in 7300 making
(%)
(%)
Nifty range broader.
BHARTIARTL
8333000
-42.85
372.90
-0.07
Roll-over in Nifty and BankNifty is 67.61% & 58.60%
IOC
2944000
-36.91
331.25
1.61
respectively which is lower both in terms of
percentage and open interest when compared to last
SUNTV
1026000
-36.67
424.75
3.82
series.
EXIDEIND
7082000
-34.86
164.45
-1.44
M&M
2105000
-34.51
1201.65
-1.49
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.78
1.02
DABUR
27.71
BANKNIFTY
0.83
0.95
IRB
77.40
RELIANCE
0.39
0.42
NTPC
35.92
AXISBANK
0.41
0.44
SUNTV
54.17
LT
0.38
0.43
ABIRLANUVO
42.65
1
Derivative Report
Aug 01, 2014
Strategy Date
Symbol
Strategy
Status
30-06-2014
Reliance
Ratio Bull Call Spread
Maximum profit on expiry.
07-07-2014
ITC
Long Put Ladder
No profit no loss.
14-07-2014
DLF
Short Strangle
Profit booked on 25-07-2014.
21-07-2014
NIFTY
Ratio Bull Call Spread
Maximum profit on expiry.
28-07-2014
BANKNIFTY
Long Strangle
Loss on expiry
Research Team Tel: 022 - 39357800
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