Derivative Report
September 02, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 0.86%
BankNifty futures open interest has increased by 14.67%
as market closed at 7785.85 levels.
The Nifty September future closed at a premium of 12.95
points against a premium of 28.75 points. The October
series closed at a premium of 51.50 points.
The Implied Volatility of at the money options has
increased from 24.32% to 29.15%.
Nifty PCR-OI has decreased from 1.03 to 1.02 levels.
The total OI of the market is Rs. 2,00,065/- cr. and the
stock futures OI is Rs. 55,061/- cr.
Few of the liquid counters where we have seen high cost of
carry are JPPOWER, UNITECH, ADANIENT, BAJFINANCE
and CASTROLIND.
View
OI Gainers
FIIs were net sellers in both cash market segment
OI
PRICE
and in Index Futures. They sold equities to the tune
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
of Rs. 675 crores and Index Futures of worth Rs.
698 crores with marginal change in OI suggesting
IOB
15710000
16.27
32.90
-4.78
blend of long unwinding and short formation.
VOLTAS
5222000
14.32
255.40
-6.41
In Index Options, they were net buyers of Rs. 817
TVSMOTOR
5605000
9.97
206.10
-5.13
crores with rise OI. In call options we saw build-up
in the range of 7800-8200 strikes, while good
ORIENTBANK
9106000
7.74
127.60
-6.73
amount of OI addition was also visible in 8500 call
APOLLOTYRE
8640000
7.62
170.25
-5.94
options which may be shorts. On the other hand in
put options, 7200 strike added good amount of
build-up, some OI addition was also seen in 7500
OI Losers
& 7600 strikes, followed by unwinding in 8000 put
options. Maximum OI is seen in 8500 call and
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
7800 put options.
(%)
(%)
Yesterday we witness FIIs again forming shorts in
MINDTREE
219000
-9.50
1369.65
-2.21
Index Futures and we believe these shorts are
DRREDDY
1246125
-7.60
4264.90
-1.26
mostly formed in BankNifty, while many of the
large cap counters also added fresh short
HEROMOTOCO
989625
-6.65
2386.15
-0.91
positions. Seeing the above data we believe more
LICHSGFIN
7380500
-6.08
425.25
-4.33
pain still left in this market.
AJANTPHARM
557000
-5.87
1527.60
1.33
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.02
0.97
KOTAKBANK
49.72
BANKNIFTY
0.70
0.67
HDFCBANK
27.95
YESBANK
0.51
0.63
AXISBANK
55.41
TATASTEEL
0.49
0.65
INDIAVIX
192.36
SBIN
0.48
0.43
VOLTAS
66.39
1
Derivative Report
September 02, 2015
Strategy Date
Symbol
Strategy
Status
August 31, 2015
HINDALCO
Long Put
Active
Research Team Tel: 022 - 39357800
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