Derivative Report
September 01, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 1.39%
BankNifty futures open interest has decreased by 0.67% as
market closed at 7971.30 levels.
The Nifty September future closed at a premium of 28.75
points against a premium of 20.75 points. The October
series closed at a premium of 71.05 points.
The Implied Volatility of at the money options has
increased from 20.86% to 24.32%.
Nifty PCR-OI has increased from 0.99 to 1.03 levels.
The total OI of the market is Rs. 1,93,542/- cr. and the
stock futures OI is Rs. 56,922/- cr.
Few of the liquid counters where we have seen high cost of
carry are UNITECH, JPPOWER, JINDALSTEL, SYNDIBANK
and RELIANCE.
OI Gainers
View
OI
PRICE
FIIs were net sellers in cash market segment; they
SCRIP
OI
CHANGE
PRICE
CHANGE
sold of Rs. 551 crores. While in Index Futures they
(%)
(%)
bought of worth Rs. 539 crores with rise in OI
suggesting long formation.
GLENMARK
2614500
44.75
1152.95
-2.08
ADANIPORTS
11477000
27.28
355.95
-2.09
In Index Options, they were net buyers to the tune
of Rs. 1400 crores with rise OI. PCR-OI increased
GODREJIND
1692000
17.17
357.90
-1.86
with rise in implied volatility indicating buying in
DABUR
3051000
14.14
274.35
-2.54
put options. Surprisingly we saw deep out the
money put to be quite active yesterday, good
VOLTAS
4568000
11.22
272.90
-3.93
amount of OI addition was visible in 7200-7500
puts. Some build-up was also witnessed in 7900 &
8000 put options. On the other hand in call
OI Losers
options, 7900 & 8100 strikes also added decent
OI
PRICE
buildup. Maximum OI is seen in 8500 call and
SCRIP
OI
CHANGE
PRICE
CHANGE
8000 put options.
(%)
(%)
From past two trading sessions we are witnessing
BOSCHLTD
184500
-16.42
23340.35
-1.68
FIIs buying in Index Futures and short which got
HEXAWARE
5577000
-9.29
245.10
3.33
rolled are also intact. We would suggest to trade
light in Nifty as there are mixed positions in the
DHFL
1784000
-7.90
460.40
3.08
system. One should trade stock specific in this
PTC
8380000
-6.89
57.90
4.89
market.
CIPLA
9259000
-4.89
684.00
3.20
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.03
0.86
POWERGRID
28.82
BANKNIFTY
0.93
0.70
M&MFIN
56.49
YESBANK
0.51
0.63
OIL
41.77
TATASTEEL
0.50
0.63
DIVISLAB
58.42
SBIN
0.46
0.38
DRREDDY
36.10
1
Derivative Report
September 01, 2015
Strategy Date
Symbol
Strategy
Status
August 31, 2015
HINDALCO
Long Put
Active
Research Team Tel: 022 - 39357800
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