Derivative Report
August 03, 2015
Comments
Nifty Vs OI
The Nifty futures open interest has increased by 4.29%
BankNifty futures open interest has increased by 5.69%
as market closed at 8532.85 levels.
The Nifty August future closed at a premium of 36.80
points against premium of 39.95 points. The September
series closed at a premium of 74.25 points.
The Implied Volatility of at the money options has
decreased from 14.23% to 13.42%.
Nifty PCR-OI has increased from 0.85 to 0.91 levels.
The total OI of the market is Rs. 1,84,198/- cr. and the
stock futures OI is Rs. 64,552/- cr.
Few of the liquid counters where we have seen high cost
of carry are SOUTHBANK, MCLEODRUSS, RPOWER,
NHPC and JPPOWER.
OI Gainers
View
OI
PRICE
Friday, FIIs were net sellers in cash market of worth
SCRIP
OI
CHANGE
PRICE
CHANGE
Rs. 277 crores. In Index Futures they bought of Rs.
(%)
(%)
1154 crores with good amount of rise in open
interest suggesting fresh longs in last trading
TITAN
9741000
25.24
323.05
-4.71
session.
COLPAL
853125
18.99
2002.40
-3.66
In Index options front, FIIs bought of Rs.
1340
AMTEKAUTO
20502000
18.22
170.35
5.25
crores with rise in open interest. In call options
JSWENERGY
6320000
15.16
84.65
-3.20
build-up was seen in 8800 strike, followed by
some profit booking in 8500 call options. Whereas
INDIACEM
24112000
14.71
93.25
7.06
in put options good amount of open interest
addition was visible in 8300-8600 strikes, while
deep out of the money strike 8000 put option also
OI Losers
added some build-up. Maximum buildup in August
OI
PRICE
series is seen in 8800 call and 8200 put options.
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
Seeing the long rollover in Nifty and Friday’s
buying in Index Futures we believe market may
EXIDEIND
12376000
-7.96
146.55
1.24
show further strength.
8700-8800 is the next
LUPIN
4873500
-5.34
1702.00
3.99
resistance zone for Nifty.
IOB
11440000
-4.67
37.90
3.84
MINDTREE
435750
-3.60
1284.85
2.37
CEATLTD
1601000
-3.29
907.60
3.20
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.91
0.77
COLPAL
24.36
BANKNIFTY
0.77
0.63
TITAN
32.45
YESBANK
0.74
0.68
SBIN
37.74
INFY
0.58
0.42
COALINDIA
32.36
RELIANCE
0.46
0.41
INDIACEM
57.83
1
Derivative Report
August 03, 2015
Strategy Date
Symbol
Strategy
Status
Research Team Tel: 022 - 39357800
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