Derivative Report
Feb 04, 2015
Comments
Nifty Vs OI
The Nifty futures open interest increased by 1.83%
levels BankNifty futures open interest has increased
by 9.75% as market closed at 8756.55 levels.
The Nifty February future closed at premium of
53.35 points against a premium of 62.25 points. The
March series closed at a premium of 112.65 points.
The Implied Volatility of at the money options has
increased from 18.50% to 19.08%.
Nifty PCR-OI has decreased from 0.87 to 0.85 levels.
The total OI of the market is Rs. 1,88,343/- cr. and
the stock futures OI is Rs. 67,792/- cr.
Few of the liquid counters where we have seen
high cost of carry are NHPC, TATACOMM,
RANBAXY, IDFC and DABUR.
View
OI Gainers
FIIs sold of worth Rs. 629 crores in cash market
OI
PRICE
segment. In Index Futures they were net sellers
SCRIP
OI
CHANGE
PRICE
CHANGE
of worth Rs. 474 crores with marginal fall in open
(%)
(%)
interest and in Stock Futures sold of worth Rs.
1549 crores with some rise in open interest
DABUR
2654000
37.94
265.85
1.76
suggesting short formation.
ACC
1659000
20.61
1508.60
-0.76
In Index Options they bought of worth Rs. 679
BOSCHLTD
74500
15.28
24530.35
-1.98
crores with rise in open interest indicating fresh
long formation. PCR-OI plunged further mainly
M&M
4486250
13.53
1199.20
-3.45
to due to continues open interest addition in
PFC
6950000
10.33
286.95
-6.54
call options, while implied volatility increased on
the closing basis. We witness decent open
OI Losers
interest addition in the range of 8800-9400 call
options, which may be FII’s long positions. On
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
the other hand in put options good amount of
(%)
(%)
open interest addition was seen in 8500 strike
price.
JSWENERGY
24376000
-15.54
112.85
-9.43
Despite seeing pressure in market we are hardly
SRTRANSFIN
902750
-10.02
1173.10
1.05
relevant profit booking or selling by FIIs in Index
APOLLOTYRE
11870000
-8.44
238.55
-2.36
Futures, they continue to buy higher call options
from last few days. Seeing the overall data we
M&MFIN
11866000
-8.38
257.45
3.12
don’t see this fall to last for long.
ORIENTBANK
4908000
-7.38
266.30
0.30
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.85
0.77
JSWENERGY
65.10
BANKNIFTY
0.62
0.52
PNB
57.99
BANKBARODA
0.32
0.31
BAJAJ-AUTO
27.68
RELIANCE
0.49
0.50
PFC
57.97
HDFCBANK
0.57
0.65
UCOBANK
46.27
1
Derivative Report
Feb 04, 2015
Strategy Date
Symbol
Strategy
Status
02-02-2015
NIFTY
Ratio Bull Call Spread
Open
Research Team Tel: 022 - 39357800
Website:
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