Derivative Report
Nov 03, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 13.28% while
BankNifty futures open interest has increased by 7.81%
as market closed at 8322.20 levels.
The Nifty November future closed at premium of 30.05
points against a premium of
29.00 points. The
December series closed at a premium of 80.90 points.
The Implied Volatility of at the money options has
decreased from 13.30% to 12.10%.
Nifty PCR-OI has increased from 0.86 to 0.93 levels.
The total OI of the market is Rs. 1,80,015/- cr. and the
stock futures OI is Rs. 56,143/- cr.
Few of the liquid counter stocks where we have seen high
cost of carry are HDFCBANK,
PTC, JPPOWER,
JSWENERGY and EICHERMOT.
View
OI Gainers
Friday market rallied more than 150 points and gave
a new high of 8330.75 levels. FIIs also actively
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
participated in this move; they bought of worth Rs.
(%)
(%)
1754 crores in cash market segment. In Index
Futures they continue buying in a big way, they were
SKSMICRO
4384000
24.51
326.35
5.14
net buyer of worth Rs. 1485 crores with significant
BHARTIARTL
12092000
24.14
398.90
-1.57
rise in open interest which suggests continuation of
fresh buying in futures.
GAIL
4440500
23.35
528.80
4.13
In Index Options they were considerable amount of
M&M
3184250
15.74
1306.20
1.66
buyer of worth Rs. 1680 crores with rise in open
PETRONET
4850000
12.53
199.45
1.24
interest. Friday we witnessed significant open interest
addition in both call & put options, but major part of
addition was seen put options due to which PCR-OI
OI Losers
increased. Buildup was scattered in the range of
OI
PRICE
7900-8400 put options and 8300-8700 call options.
SCRIP
OI
CHANGE
PRICE
CHANGE
Majority of open interest was seen in 8500 call
(%)
(%)
option due to which maximum buildup in call options
SRTRANSFIN
1333250
-17.27
950.35
4.90
has shifted to 8500 strike price and of put options
remains at 8100 strike price.
TITAN
9176000
-7.75
393.50
-6.12
BHARATFORG
4081250
-6.18
813.05
1.82
Seeing the quantum of buying in Index Futures and
significant buildup in 8500 call options we believe
TATASTEEL
18274500
-5.31
490.00
3.50
market is heading towards this level. Implied volatility
CROMPGREAV
21210000
-5.18
188.50
2.52
is still low indicating premium to be cheap; buying
8500 call options will be a good strategy.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.93
0.88
IDFC
44.13
BANKNIFTY
1.23
0.89
TITAN
46.61
RELIANCE
0.57
0.40
JISLJALEQS
58.49
SBIN
0.36
0.32
RELINFRA
52.63
TATASTEEL
0.72
0.54
MARUTI
31.50
1
Derivative Report
Nov 03, 2014
Strategy Date
Symbol
Strategy
Status
Research Team Tel: 022 - 39357800
DISCLAIMER
This document is solely for the personal information of the recipient, and must not be singularly used as the basis of any investment
decision. Nothing in this document should be construed as investment or financial advice. Each recipient of this document should
make such investigations as they deem necessary to arrive at an independent evaluation of an investment in the securities of the
companies referred to in this document (including the merits and risks involved), and should consult their own advisors to determine
the merits and risks of such an investment.
Angel Broking Pvt. Limited, its affiliates, directors, its proprietary trading and investment businesses may, from time to time, make
investment decisions that are inconsistent with or contradictory to the recommendations expressed herein. The views contained in
this document are those of the analyst, and the company may or may not subscribe to all the views expressed within.
Reports based on technical and derivative analysis center on studying charts of a stock's price movement, outstanding positions and
trading volume, as opposed to focusing on a company's fundamentals and, as such, may not match with a report on a company's
fundamentals.
The information in this document has been printed on the basis of publicly available information, internal data and other reliable
sources believed to be true, but we do not represent that it is accurate or complete and it should not be relied on as such, as this
document is for general guidance only. Angel Broking Pvt. Limited or any of its affiliates/ group companies shall not be in any way
responsible for any loss or damage that may arise to any person from any inadvertent error in the information contained in this
report. Angel Broking Pvt. Limited has not independently verified all the information contained within this document. Accordingly, we
cannot testify, nor make any representation or warranty, express or implied, to the accuracy, contents or data contained within this
document. While Angel Broking Pvt. Limited endeavours to update on a reasonable basis the information discussed in this material,
there may be regulatory, compliance, or other reasons that prevent us from doing so.
This document is being supplied to you solely for your information, and its contents, information or data may not be reproduced,
redistributed or passed on, directly or indirectly.
Angel Broking Pvt. Limited and its affiliates may seek to provide or have engaged in providing corporate finance, investment
banking or other advisory services in a merger or specific transaction to the companies referred to in this report, as on the date of
this report or in the past.
Neither Angel Broking Pvt. Limited, nor its directors, employees or affiliates shall be liable for any loss or damage that may arise
from or in connection with the use of this information.
Note: Please refer to the important `Stock Holding Disclosure' report on the Angel website (Research Section). Also, please refer to
the latest update on respective stocks for the disclosure status in respect of those stocks. Angel Broking Pvt. Limited and its affiliates
may have investment positions in the stocks recommended in this report.
Derivative Research Team
For Private Circulation Only
SEBI Registration No: INB 010996539
3
