Derivative Report
Aug 04, 2014
Comments
Nifty Vs OI
The Nifty futures open interest decreased by 4.87% while
BankNifty futures open interest has increased by 4.58%
as market closed at 7602.60 levels.
The Nifty August future closed at premium of 20.00 point
against a premium of 29.25 points. The September
series closed at a premium of 55.75 points.
The Implied Volatility of at the money options has
increased from 13.22% to 14.31%.
Nifty PCR-OI has increased from 0.78 to 0.80 levels.
The total OI of the market is Rs. 1,45,359/- cr. and the
stock futures OI is Rs. 51,095/- cr.
Few of the liquid counters stocks where we have seen
high cost of carry are GMRINFRA, INDUSINDBK, IOB,
JPASSOCIAT and TATAPOWER.
OI Gainers
View
OI
PRICE
FIIs are continuously selling in cash market segment
SCRIP
OI
CHANGE
PRICE
CHANGE
from last two trading session in a reasonable way,
(%)
(%)
they were net seller of worth Rs. 1072 crores on
Friday. In F&O segment significant amount of
JUSTDIAL
210375
25.78
1689.80
0.60
unwinding of long position formed earlier was
GMRINFRA
170330000
22.12
28.70
8.22
witnessed in Index Futures.
LT
9538750
15.77
1468.70
-2.49
On Friday FIIs were quite active in Index Options
HCLTECH
2569000
13.12
1515.25
-2.81
segment, wherein they bought of Rs. 3050 crores
with significant rise in open interest indicating buying
APOLLOTYRE
9388000
10.45
168.50
-3.23
in options. PCR-OI has increased with rise in implied
volatility which suggests buying in put options. We
OI Losers
observed good amount of buildup in the range of
7300-7600 put options and we believe FIIs have
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
bought these put options on Friday. On the other
(%)
(%)
hand in call options good amount of buildup in 7700
& 7800 strike price was seen, while 8000 call options
TECHM
2054000
-14.39
2127.25
-0.76
also added decent buildup in last trading session.
CESC
943000
-12.85
646.60
0.63
Maximum open interest in current series in seen in
8000 call & 7300 put options.
DABUR
2140000
-12.08
202.35
-1.86
PETRONET
2958000
-9.71
185.95
1.20
M&MFIN
7062000
-9.22
241.65
3.08
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.80
1.02
CIPLA
25.49
BANKNIFTY
0.67
0.76
GMRINFRA
74.14
RELIANCE
0.45
0.45
GAIL
35.34
SBIN
0.25
0.36
TITAN
42.73
LT
0.37
0.36
NTPC
38.71
1
Derivative Report
Aug 04, 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