Derivative Report
September 03, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 3.62%
BankNifty futures open interest has increased by 19.57%
as market closed at 7717.00 levels.
The Nifty September future closed at a premium of 25.15
points against a premium of 12.95 points. The October
series closed at a premium of 63.20 points.
The Implied Volatility of at the money options has
decreased from 29.15% to 27.01%.
Nifty PCR-OI has decreased from 1.02 to 0.99 levels.
The total OI of the market is Rs. 2,07,703/- cr. and the
stock futures OI is Rs. 55,471/- cr.
Few of the liquid counters where we have seen high cost of
carry are JPPOWER, SRF, UNITECH, WIPRO and HDIL.
OI Gainers
View
OI
PRICE
Yesterday we witness meaningful selling in both
SCRIP
OI
CHANGE
PRICE
CHANGE
cash market and in Index Futures by bigger hands.
(%)
(%)
They sold equities to the tune of Rs. 1573 crores
and Index Futures of worth Rs. 1790 crores with
UNIONBANK
10742000
19.70
158.95
-5.58
rise in OI, suggesting blend of fresh short
AMARAJABAT
357000
17.24
978.15
-1.23
formation and long unwinding.
CEATLTD
1148400
16.71
1134.55
5.91
In Index Options, they were net buyers of Rs. 476
GODREJIND
1934000
11.21
346.55
-2.35
crores with rise OI. In call options build-up was
scattered in the range of 8000-8500 strikes which
PNB
24006000
10.38
129.40
-4.15
may be blend of long and shorts. On the other
hand in put options, 7500 strike added huge build-
up, some OI addition was also seen in 7400 strike.
OI Losers
Maximum OI is seen in 8500 call and 7800 put
OI
PRICE
options.
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
Yesterday FII continued selling significantly in Index
Futures, while many of the large cap counters also
PIDILITIND
553000
-12.36
559.35
0.61
added fresh short positions. Out of the money put
DABUR
2890000
-7.13
280.45
3.26
have been continuously adding fresh longs from
last one week. Seeing the above data we believe
HEXAWARE
5042000
-5.86
243.70
3.88
it’s a sell on rise in market, one should avoid
KOTAKBANK
10532700
-5.19
608.80
-0.56
bottom fishing at current levels.
RCOM
39812000
-4.63
59.05
3.69
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.99
0.87
SRTRANSFIN
41.11
BANKNIFTY
0.62
0.54
POWERGRID
32.43
YESBANK
0.52
0.67
TECHM
47.44
TATASTEEL
0.50
0.63
HINDUNILVR
28.09
SBIN
0.42
0.49
BHEL
59.59
1
Derivative Report
September 03, 2015
Strategy Date
Symbol
Strategy
Status
August 31, 2015
HINDALCO
Long Put
Active
Research Team Tel: 022 - 39357800
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