Derivative Report
July 02,
2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 4.48%
BankNifty futures open interest has increased by 9.36%
as market closed at 8453.05 levels.
The Nifty July future closed at a premium of 2.15 points
against premium of
9.30 points. The August series
closed at a premium of 37.65 points.
The Implied Volatility of at the money options has
decreased from 15.38% to 14.18%.
Nifty PCR-OI has increased from 1.07 to 1.10 levels.
The total OI of the market is Rs. 1,87,283/- cr. and the
stock futures OI is Rs. 57,118/- cr.
Few of the liquid counters where we have seen high cost
of carry are JPASSOCIAT, IFCI, JPPOWER, IOB and UBL.
View
OI Gainers
Yesterday, FII's were net buyer in both the cash
OI
PRICE
market and futures. They were net buyers of Rs. 75
SCRIP
OI
CHANGE
PRICE
CHANGE
crores of equity cash. Whereas, they bought Index
(%)
(%)
Futures of worth Rs 398 crores with rise in open
IGL
1872000
47.63
457.95
9.00
interest, suggesting long built-up.
KSCL
595000
41.41
736.40
-0.50
In Index options front, FIIs were net buyer of Rs.
826 crores with rise in open interest. We saw good
CEATLTD
1255500
18.16
709.40
6.74
amount of buildup in the range of 8700 to 8900
GLENMARK
1912250
10.44
1023.60
2.56
call options. Whereas, in put options, significant
BRITANNIA
314875
10.14
2731.75
-1.01
amount of open interest addition was seen in 8000
strike, 8300 and 8400 strikes also added decent
OI Losers
amount of open interest. Maximum buildup in
current series in seen in 8500 call, whereas in put
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
options, buildup has shift from 7900 put option to
(%)
(%)
8000 put options.
APOLLOHOSP
369750
-12.90
1328.75
0.97
Seeing the above data we believe market may
BANKINDIA
12964000
-6.57
175.35
4.91
show strenght but one should wait to see if Nifty
surpasses the major resistance level of 8500. IV’s
JISLJALEQS
32480000
-5.27
69.80
4.18
are low and we expect it to increase in coming
PTC
10304000
-4.49
71.10
2.89
trading session, long straddle or long strange can
be a good strategy to trade in this market.
TATAMOTORS
27345000
-4.42
445.60
2.61
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.10
1.02
IGL
53.68
BANKNIFTY
1.07
0.67
SAIL
46.19
RELIANCE
0.64
0.56
TATACHEM
32.32
INFY
0.55
0.45
CEATLTD
60.72
SBIN
0.49
0.34
PETRONET
34.11
1
Derivative Report
July 02,
2015
Strategy Date
Symbol
Strategy
Status
June 29, 2015
LT
Ratio Bear Put Spread
Active
Research Team Tel: 022 - 39357800
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