Sept 03, 2014
Nifty Vs OI
The Nifty futures open interest increased by 3.23% while
BankNifty futures open interest has increased by 4.50 %
as market closed at 8083.05 levels.
The Nifty September future closed at premium of 38.40
point against a premium of 41.75 points. The October
series closed at a premium of 78.50 points.
The Implied Volatility of at the money options has
decreased from 12.94% to 12.47%.
Nifty PCR-OI has increased from 0.79 to 0.86 levels.
The total OI of the market is Rs. 1,74,531/- cr. and the
stock futures OI is Rs. 54,282/- cr.
Few of the liquid counter stocks where we have seen high
cost of carry are ABIRLANUVO, HDFCBANK,
MCLEODRUSS, HEXAWARE and NTPC.
Yesterday Nifty continued its upward move and
touched 8100 mark, FIIs also actively participated in
this upward move. They bought of worth Rs. 672
crores in cash market segment. In Index Futures
some fresh long formation was seen in yesterday’s
In Index options they again bought in a big way, they
were net buyer of worth Rs. 892 crores while open
interest also increased simultaneously indicating
reasonable amount of long formation. PCR-OI
increased with fall in implied volatility which suggests
selling pressure in put options. We are seeing huge
amount of buildup in put options from last two-three
trading sessions, especially in 8000 strike price which
now has maximum buildup. We believe these are
short positions in 8000 put options which will act as a
resistance for Nifty, yesterday also we saw
reasonable amount of buildup in the range of 7900-
8100 strike prices. On the other hand in call options
8300 strike price added good amount of buildup
which may be long positions. Maximum buildup in
call option is seen in 8200 strike price and we believe
8150-8200 levels may be tested in the first half of
Sept 03, 2014
FII Statistics for 02-Sept-2014
Turnover on 02-Sept-2014
Nifty Spot =8083.05
Lot Size = 50
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Aug Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
Sept 03, 2014
Long call ladder
Research Team Tel: 022 - 39357800
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