Derivative Report
October 01, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has decreased by 0.23%
BankNifty futures open interest has increased by 2.49% as
market closed at 7948.90 levels.
The Nifty October future closed at a premium of 31.45
points against a premium of 32.55 points. The November
series closed at a premium of 66.50 points.
The Implied Volatility of at the money options has
decreased from 20.40% to 17.87%.
Nifty PCR-OI has increased from 0.91 to 0.92 levels.
The total OI of the market is Rs. 1,88,315/- cr. and the
stock futures OI is Rs. 56,108/- cr.
Few of the liquid counters where we have seen high cost of
carry are UNITECH, NHPC, JPASSOCIAT, SOUTHBANK
and JISLJALEQS.
OI Gainers
View
OI
PRICE
FIIs were marginal buyers in cash market segment.
SCRIP
OI
CHANGE
PRICE
CHANGE
In Index Futures again they were sellers of Rs. 144
(%)
(%)
crores with rise in OI, suggesting fresh short in last
trading session.
MARICO
400400
254.02
407.15
2.08
DISHTV
40751000
61.98
106.80
-3.57
In Index Options front, the overall activity was
subdued. FIIs also sold marginally to the tune of
TV18BRDCST
4828000
43.43
35.55
6.12
Rs. 120 crores with rise in OI. In call options, some
INFRATEL
761800
31.39
357.65
-0.56
OI addition was seen in 8000-8300 strikes. On the
other hand in put options, good amount of build-
GODREJIND
2477800
27.45
336.35
-0.44
up was seen between 7900 strike. Maximum OI is
seen in 8300 call and 7500 put options.
OI Losers
Even though we saw Nifty bouncing in last two
trading sessions, we are hardly seeing any buying
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
interest over-all. FII’s activity too remained quite
(%)
(%)
yesterday. 8150-8200 is a major resistance for
market, trade accordingly.
ZEEL
6331600
-5.80
393.30
-0.11
BHEL
22150000
-5.50
206.35
4.22
INDIACEM
19250000
-5.11
78.10
0.64
DRREDDY
979175
-4.12
4178.40
2.06
COLPAL
1873000
-3.90
961.20
1.78
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.92
0.89
IDEA
47.49
BANKNIFTY
0.90
0.71
HINDUNILVR
27.77
RELIANCE
0.66
0.62
BHARTIARTL
39.87
TATAMOTORS
0.64
0.43
IBULHSGFIN
54.41
SBIN
0.52
0.47
IGL
34.10
1
Derivative Report
October 01, 2015
Strategy Date
Symbol
Strategy
Status
September 28, 2015
NIFTY
Long Strangle
Active
Research Team Tel: 022 - 39357800
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