Derivative Report
Sept 02, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 3.16% while
BankNifty futures open interest has increased by 15.90 %
as market closed at 8027.70 levels.
The Nifty September future closed at premium of 41.75
point against a premium of 32.05 points. The October
series closed at a premium of 76.90 points.
The Implied Volatility of at the money options has
increased from 12.54% to 12.94%.
Nifty PCR-OI has increased from 0.74 to 0.79 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 UNITECH, JPPOWER, HDFCBANK,
ABIRLANUVO and IFCI.
View
OI Gainers
Yesterday Nifty touched 8000 mark and gave a new
OI
PRICE
life time high of 8035.00 level, FIIs also actively
SCRIP
OI
CHANGE
PRICE
CHANGE
participated in this upward move. They bought of
(%)
(%)
worth Rs. 554 crores in cash market segment. In
JUSTDIAL
293250
31.35
1605.95
-1.87
Index Futures their activity was subdued but they
traded aggressively in Index Options and even in
MRF
32250
22.86
25264.15
5.85
Stock Options in yesterday’s trading session.
CROMPGREAV
12952000
21.55
204.20
5.67
In Index options they were net buyer of worth Rs.
MARUTI
2109000
18.83
2912.80
5.32
1971 crores while open interest also increased
simultaneously indicating reasonable amount of long
IGL
939000
18.26
393.25
3.64
formation. PCR-OI increased with rise in implied
volatility which suggests buying in put options. We
OI Losers
are seeing good amount of buildup in put options
OI
PRICE
from last two trading sessions, yesterday also we saw
SCRIP
OI
CHANGE
PRICE
CHANGE
good amount of buildup in the range of 7700-8100
(%)
(%)
strike price. On the other hand in call options we
witnessed huge buildup in 8200-8400 strike prices,
ZEEL
4990000
-6.92
284.50
4.13
wherein 8400 call option added majority of buildup
SRTRANSFIN
793000
-6.32
943.00
4.74
and maximum buildup in call options also got shifted
from 8000 to 8200 strike price showing positive
ORIENTBANK
4956000
-5.28
277.30
6.56
sentiment in market. 7900 put option has maximum
SYNDIBANK
12376000
-4.83
123.60
4.19
buildup in current series.
IOB
15704000
-4.71
62.80
4.03
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.79
1.00
HEROMOTOCO
35.03
BANKNIFTY
0.66
0.70
MARUTI
33.47
RELIANCE
0.35
0.33
MRF
36.05
SBIN
0.48
0.36
TATACHEM
42.89
JINDALSTEL
0.60
0.47
APOLLOTYRE
64.88
1
Derivative Report
Sept 02, 2014
Strategy Date
Symbol
Strategy
Status
Research Team Tel: 022 - 39357800
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