Derivative Report
Mar 02, 2015
Nifty Vs OI
Comments
The Nifty futures open interest increased by
6.67%
BankNifty futures open interest has increased by 3.80%
as market closed at 8901.85 levels.
The Nifty March future closed at premium of
62.80
points against a premium of 48.70 points. The April
series closed at a premium of 125.25 points.
The Implied Volatility of at the money options has
decreased from 19.22% to 16.75%.
Nifty PCR-OI has increased from 0.85 to 0.86 levels.
The total OI of the market is Rs. 1,95,808/- cr. and the
stock futures OI is Rs. 70,251/- cr.
Few of the liquid counters where we have seen high cost
of carry are GRASIM, HDFCBANK, IDFC, BAJAJ-AUTO
and TATAMOTORS.
View
OI Gainers
FIIs bought in cash market segment of worth Rs. 614
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
crores. In Index Futures they were net buyers of worth
(%)
(%)
Rs. 2224 crores with rise in open interest indicating
fresh long formation.
ITC
45287000
39.19
361.35
-7.97
In Index Options again they bought of worth Rs.
IBULHSGFIN
2665000
11.39
623.15
-1.85
1356/- crores with good amount of rise in open
BPCL
2575000
10.37
746.20
0.41
interest suggesting buying in options. In call options
we saw good amount of buildup in the range of
HDFC
10688500
9.38
1335.15
-0.72
9000-9200 strike price and we believe these are
AXISBANK
30903000
9.12
612.60
8.20
long positions hoping market to breach those levels.
In put options
8600-8900 strikes added decent
buildup. Maximum buildup in current series is visible
OI Losers
in 9000 call & 8500 put options.
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
Seeing the above data we believe we may see some
(%)
(%)
more strength in Nifty but we would suggest not
UBL
428000
-10.93
998.85
-0.30
going aggressively long at current levels. Budget not
as good as it appears from short term, so buying put
PFC
5911000
-6.40
293.10
-0.12
options at bounce will be a good idea.
BOSCHLTD
172625
-3.83
25885.90
-1.26
IGL
597000
-2.93
436.90
0.14
GMRINFRA
174258000
-2.72
18.75
-4.56
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.86
0.79
ITC
49.70
BANKNIFTY
0.73
0.57
INDUSINDBK
38.14
RELIANCE
0.74
0.56
AXISBANK
53.68
SBIN
0.41
0.45
KOTAKBANK
33.96
ITC
0.64
0.89
BATAINDIA
39.51
1
Derivative Report
Mar 02, 2015
Strategy Date
Symbol
Strategy
Status
Research Team Tel: 022 - 39357800
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