Derivative Report
July 03,
2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 0.46%
BankNifty futures open interest has increased by 3.19%
as market closed at 8444.90 levels.
The Nifty July future closed at a discount of 6.60 points
against premium of
2.15 points. The August series
closed at a premium of 29.80 points.
The Implied Volatility of at the money options has
decreased from 14.18% to 13.60%.
Nifty PCR-OI remained unchanged at 1.10 levels.
The total OI of the market is Rs. 1,91,216/- cr. and the
stock futures OI is Rs. 57,402/- cr.
Few of the liquid counters where we have seen high cost
of carry are ADANIPORTS, JPPOWER, ADANIPOWER,
UNITECH and CROMPGREAV.
View
OI Gainers
Yesterday, FII's were net buyer in both the cash
market and futures. They were net buyers of Rs.
OI
PRICE
575 crores in equity cash. Whereas, they bought
SCRIP
OI
CHANGE
PRICE
CHANGE
Index Futures of worth Rs 361 crores with rise in
(%)
(%)
open interest, suggesting long built-up.
CASTROLIND
527000
22.99
434.55
-0.58
In Index options front, FIIs were net buyer of Rs.
PIDILITIND
400500
16.42
542.35
-2.74
698 crores with rise in open interest. We saw some
HINDZINC
2574000
15.63
165.00
-2.19
build-up in 8500 & 8700 call options. Whereas, in
put options, significant amount of open interest
KOTAKBANK
4229500
13.79
1422.45
1.90
addition was seen in 8100 strike, 8200 and 8400
KSCL
664500
11.68
738.85
0.33
strikes also added decent amount of open interest.
We have also witness good amount of profit
OI Losers
booking in 8000 put options yesterday. Maximum
buildup in current series in seen in 8500 call and
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
7900 put options.
(%)
(%)
Seeing the above data we believe market may
GLENMARK
1765000
-7.70
1018.25
-0.52
show strength but one should wait to see if Nifty
IBREALEST
34388000
-7.37
56.60
-0.61
surpasses from the major resistance level of 8500
to form any longs in Nifty. IV’s are low and we
BAJFINANCE
52000
-7.14
5433.80
-0.49
expect it to increase in coming trading session,
BATAINDIA
837000
-7.00
1071.00
0.92
long straddle or long strangle can be a good
strategy to trade in this market.
IRB
4236000
-6.72
244.25
2.95
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.10
1.01
IBULHSGFIN
41.93
BANKNIFTY
1.10
0.78
HINDPETRO
42.64
RELIANCE
0.65
0.46
TVSMOTOR
44.22
INFY
0.58
0.51
IOC
45.56
SBIN
0.51
0.35
BOSCHLTD
40.03
1
Derivative Report
July 03,
2015
Strategy Date
Symbol
Strategy
Status
June 29, 2015
LT
Ratio Bear Put Spread
Active
Research Team Tel: 022 - 39357800
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