Derivative Report
August 04, 2015
Comments
Nifty Vs OI
The Nifty futures open interest has decreased by 2.09%
BankNifty futures open interest has decreased by 1.39%
as market closed at 8543.05 levels.
The Nifty August future closed at a premium of 18.65
points against premium of 36.80 points. The September
series closed at a premium of 55.40 points.
The Implied Volatility of at the money options has
increased from 13.42% to 13.76%.
Nifty PCR-OI has increased from 0.91 to 0.92 levels.
The total OI of the market is Rs. 1,89,506/- cr. and the
stock futures OI is Rs. 64,778/- cr.
Few of the liquid counters where we have seen high cost
of carry are JPPOWER, JPASSOCIAT, INDIACEM,
MCLEODRUSS and DHFL.
View
OI Gainers
Yesterday, FII's were net buyers in cash market of
OI
PRICE
worth Rs. 350 crores. Whereas, in Index Futures,
SCRIP
OI
CHANGE
PRICE
CHANGE
their activity was quite, they sold of Rs 188 crores
(%)
(%)
with fall in open interest, suggesting long
AMARAJABAT
530000
49.93
952.10
7.99
unwinding in last trading session.
HEROMOTOCO
1382500
19.49
2708.95
1.04
In Index options front, FIIs were net buyer of Rs.
588 crores with rise in open interest. PCR-OI
IOC
16195000
10.82
426.80
-1.62
increased with rise in IV’s which indicates buying in
BPCL
5373000
10.43
914.45
-1.96
put options. We saw decent amount of buildup in
deep out the money call options of 9000 strike.
JPASSOCIAT
166496000
9.67
11.50
19.17
Whereas, in put options, 8200 and 8500 strikes
added some open interest. Maximum buildup in
current series in seen in 9000 call and 8200 put
OI Losers
options.
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
Seeing the overall data, we believe Nifty may
(%)
(%)
strengthen from current levels, as too many long
ICICIBANK
55004000
-12.11
313.65
2.99
are in system. We are hardly seeing selling in Index
Futures, in fact FII’s had formed reasonable fresh
CANBK
10168000
-9.13
292.75
5.21
longs last week. We suggest to trade with positive
UNIONBANK
7982000
-8.44
186.05
5.08
bias in market.
SBIN
56527000
-5.80
281.65
3.78
SRTRANSFIN
2420250
-5.26
922.85
3.12
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.92
0.71
AMARAJABAT
44.56
BANKNIFTY
0.82
0.73
JPASSOCIAT
121.23
INFY
0.59
0.47
HCLTECH
47.09
YESBANK
0.73
0.61
PTC
45.15
RELIANCE
0.47
0.49
MRF
38.45
1
Derivative Report
August 04, 2015
Strategy Date
Symbol
Strategy
Status
August 03, 2015
HINDALCO
Bear Put Spread
Active
Research Team Tel: 022 - 39357800
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