Derivative Report
Sept 01, 2014
Comments
Nifty Vs OI
The Nifty futures open interest decreased by
17.93%
while BankNifty futures open interest has decreased by
34.59% as market closed at 7936.05 levels.
The Nifty September future closed at premium of 32.05
point against a premium of 36.80 points. The October
series closed at a premium of 66.50 points.
The Implied Volatility of at the money options has
increased from 12.12% to 12.54%.
Nifty PCR-OI has decreased from 0.99 to 0.74 levels.
The total OI of the market is Rs. 1,35,958/- cr. and the
stock futures OI is Rs. 50,508/- cr.
Few of the liquid counter stocks where we have seen high
cost of carry are JPPOWER, IBREALEST, JPASSOCIAT,
ASHOKLEY and UNITECH.
OI Gainers
View
OI
PRICE
On Thursday Nifty closed on a positive note. FIIs
SCRIP
OI
CHANGE
PRICE
CHANGE
were net seller in cash market segment of worth Rs.
(%)
(%)
710 crores. In F&O segment they were net buyer in
Index Futures and in Index Options they were
DABUR
6998000
43.05
232.60
-0.71
marginal buyer, while open interest rose significantly
DLF
34670000
0.89
177.30
-2.91
due to expiry.
-
-
-
-
-
In Index options reasonable amount of buildup was
-
-
-
-
-
seen in 8000 & 8100 call options while maximum
open interest in September series is seen in 8000
-
-
-
-
-
strike price of call options. On the other hand in put
options decent amount of buildup was seen in the
OI Losers
range of 7600-8000 strike prices. Maximum open
interest in put options has shifted from 7800 to 7900
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
strike price in current series.
(%)
(%)
Roll-over in NIFTY and BANKNIFTY is in line at
ICICIBANK
6050500
-40.96
1556.80
0.76
73.41% & 58.71% respectively.
MCDOWELL-N
1521625
-38.07
2398.05
-0.33
HAVELLS
1751250
-36.89
284.20
-2.18
BHARTIARTL
7846000
-33.86
369.80
0.55
DRREDDY
1365250
-33.16
2947.90
0.90
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.74
1.10
TATACOMM
41.84
BANKNIFTY
0.65
0.69
BHEL
54.97
RELIANCE
0.35
0.34
MCLEODRUSS
32.53
SBIN
0.51
0.77
JUSTDIAL
42.51
JINDALSTEL
0.65
0.67
ANDHRABANK
55.44
1
Derivative Report
Sept 01, 2014
Strategy Date
Symbol
Strategy
Status
04-08-2014
BANKNIFTY
Ratio Put Spread
Marginal loss on expiry.
11-08-2014
NIFTY
Long Put
Loss booked on 12-08-2014.
18-08-2014
BHEL
Ratio Bull Call Spread
Marginal loss on expiry.
25-08-2014
HINDUNILVR
Long Put
Loss booked on expiry.
Research Team Tel: 022 - 39357800
DISCLAIMER
This document is solely for the personal information of the recipient, and must not be singularly used as the basis of any investment
decision. Nothing in this document should be construed as investment or financial advice. Each recipient of this document should
make such investigations as they deem necessary to arrive at an independent evaluation of an investment in the securities of the
companies referred to in this document (including the merits and risks involved), and should consult their own advisors to determine
the merits and risks of such an investment.
Angel Broking Pvt. Limited, its affiliates, directors, its proprietary trading and investment businesses may, from time to time, make
investment decisions that are inconsistent with or contradictory to the recommendations expressed herein. The views contained in
this document are those of the analyst, and the company may or may not subscribe to all the views expressed within.
Reports based on technical and derivative analysis center on studying charts of a stock's price movement, outstanding positions and
trading volume, as opposed to focusing on a company's fundamentals and, as such, may not match with a report on a company's
fundamentals.
The information in this document has been printed on the basis of publicly available information, internal data and other reliable
sources believed to be true, but we do not represent that it is accurate or complete and it should not be relied on as such, as this
document is for general guidance only. Angel Broking Pvt. Limited or any of its affiliates/ group companies shall not be in any way
responsible for any loss or damage that may arise to any person from any inadvertent error in the information contained in this
report. Angel Broking Pvt. Limited has not independently verified all the information contained within this document. Accordingly, we
cannot testify, nor make any representation or warranty, express or implied, to the accuracy, contents or data contained within this
document. While Angel Broking Pvt. Limited endeavours to update on a reasonable basis the information discussed in this material,
there may be regulatory, compliance, or other reasons that prevent us from doing so.
This document is being supplied to you solely for your information, and its contents, information or data may not be reproduced,
redistributed or passed on, directly or indirectly.
Angel Broking Pvt. Limited and its affiliates may seek to provide or have engaged in providing corporate finance, investment
banking or other advisory services in a merger or specific transaction to the companies referred to in this report, as on the date of
this report or in the past.
Neither Angel Broking Pvt. Limited, nor its directors, employees or affiliates shall be liable for any loss or damage that may arise
from or in connection with the use of this information.
Note: Please refer to the important `Stock Holding Disclosure' report on the Angel website (Research Section). Also, please refer to
the latest update on respective stocks for the disclosure status in respect of those stocks. Angel Broking Pvt. Limited and its affiliates
may have investment positions in the stocks recommended in this report.
Derivative Research Team
For Private Circulation Only
SEBI Registration No: INB 010996539
3
