Derivative Report
July 01,
2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 7.31%
BankNifty futures open interest has increased by 2.11%
as market closed at 8368.50 levels.
The Nifty July future closed at a premium of 9.30 points
against premium of 0.55 points. The August series closed
at a premium of 42.30 points.
The Implied Volatility of at the money options has
decreased from 15.84% to 15.38%.
Nifty PCR-OI has increased from 1.06 to 1.07 levels.
The total OI of the market is Rs. 1,80,084/- cr. and the
stock futures OI is Rs. 55,786/- cr.
Few of the liquid counters where we have seen high cost
of carry are JPPOWER, GMRINFRA, ADANIPOWER,
ENGINERSIN and UNITECH.
OI Gainers
View
OI
PRICE
Yesterday, FII's were net sellers in cash market
SCRIP
OI
CHANGE
PRICE
CHANGE
segment of worth Rs. 551 crores. In Index Futures
(%)
(%)
they were net buyers of Rs.
353 crores with
significant rise in open interest suggesting mix of
SUNTV
4086000
24.44
283.45
0.78
both long and short positions.
ARVIND
3795000
13.72
268.05
3.16
In Index options front, FIIs bought of Rs. 246 crores
WIPRO
5567000
13.38
541.05
-1.15
with good amount of rise in open interest which
PAGEIND
38625
13.19
15214.95
1.30
indicates long formation. In call options we saw
open interest addition in 8500, 8700 and 9000
COALINDIA
18408000
12.07
423.45
3.37
strikes which may be short positions. Whereas, in
put options, buildup up was seen in 8000 & 8300
strike price with some rise in IV’s, suggesting these
OI Losers
may be long position. Maximum buildup in current
OI
PRICE
series in seen in 8500 call and 7900 put options.
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
From last two trading sessions we are witnessing
significant open interest addition in Index Futures
MINDTREE
250500
-7.56
1278.50
1.37
by FIIs and these are mixed positions. We believe
APOLLOTYRE
8600000
-7.23
169.55
2.66
one should wait for more clarity to get into
directional trades and trade stock specific.
TATASTEEL
24214000
-4.81
298.05
2.95
MCLEODRUSS
2079000
-4.81
223.75
2.99
IBULHSGFIN
1896500
-3.93
623.55
1.80
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.07
0.89
UBL
43.49
BANKNIFTY
1.03
0.72
TATACOMM
34.79
RELIANCE
0.63
0.45
COALINDIA
32.33
INFY
0.54
0.50
BATAINDIA
37.28
SBIN
0.45
0.30
ZEEL
32.20
1
Derivative Report
July 01,
2015
Strategy Date
Symbol
Strategy
Status
June 29, 2015
LT
Ratio Bear Put Spread
Active
Research Team Tel: 022 - 39357800
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