Derivative Report
Feb 02, 2015
Nifty Vs OI
Comments
The Nifty futures open interest increased by 3.24% levels
BankNifty futures open interest has increased by 5.27%
as market closed at 8808.90 levels.
The Nifty February future closed at premium of 63.75
points against a premium of 33.95 points. The March
series closed at a premium of 83.70 points.
The Implied Volatility of at the money options has
increased from 17.81% to 18.55%.
Nifty PCR-OI has decreased from 0.96 to 0.90 levels.
The total OI of the market is Rs. 1,88,343/- cr. and the
stock futures OI is Rs. 67,792/- cr.
Few of the liquid counters where we have seen high cost
of carry are GMRINFRA, HDFCBANK, ANDHRABANK,
JISLJALEQS and IFCI.
View
OI Gainers
FIIs after long time were net sellers in cash market
OI
PRICE
segment; they were net sellers of worth Rs.
771
SCRIP
OI
CHANGE
PRICE
CHANGE
crores. In Index Futures they bought marginally with
(%)
(%)
rise in open interest which suggests blend of long &
COALINDIA
22492000
92.73
360.85
-3.79
short formation.
ANDHRABANK
20940000
29.61
91.10
2.00
In Index Options they bought of worth Rs.
1317
crores with rise in open interest indicating fresh long
BANKBARODA
22570000
24.47
193.15
-10.27
formation. PCR-OI plunged mainly to due to
IBREALEST
38308000
20.62
83.45
7.13
meaningful open interest addition in call options,
while implied volatility increased in last trading
TECHM
1933500
19.70
2868.50
-0.44
session. We witness significant open interest addition
in 9000 put options, which are FII’s long positions.
OI Losers
9100-9600 put options also added decent buildup.
On the other hand we hardly saw any relevant
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
buildup; some open interest addition was seen in
(%)
(%)
8000 & 8100 strike price. Decent unwinding was
also visible in 9000 put options.
BPCL
2606500
-8.93
748.85
2.26
All thought we saw good amount of correction on
PFC
5558000
-5.23
298.45
-0.66
Friday still FIIs bought higher call options
HINDPETRO
6621000
-4.56
657.95
3.70
aggressively. Seeing FII’s stats we believe correction
ACC
1302250
-3.61
1560.45
-0.93
may not last for long.
DIVISLAB
652500
-3.32
1742.35
-1.58
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.90
0.99
BANKBARODA
63.43
BANKNIFTY
0.76
0.82
GMRINFRA
69.65
BANKBARODA
0.45
0.38
HCLTECH
50.50
RELIANCE
0.48
0.66
SBIN
42.53
HDFCBANK
0.54
0.70
RELINFRA
50.88
1
Derivative Report
Feb 02, 2015
Strategy Date
Symbol
Strategy
Status
Research Team Tel: 022 - 39357800
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