Derivative Report
Mar 04, 2015
Nifty Vs OI
Comments
The Nifty futures open interest increased by
4.79%
BankNifty futures open interest has increased by 1.73%
as market closed at 8996.25 levels.
The Nifty March future closed at premium of
58.60
points against a premium of 43.95 points. The April
series closed at a premium of 125.65 points.
The Implied Volatility of at the money options has
decreased from 15.31% to 14.90%.
Nifty PCR-OI has increased from 0.90 to 0.95 levels.
The total OI of the market is Rs. 1,95,808/- cr. and the
stock futures OI is Rs. 70,251/- cr.
Few of the liquid counters where we have seen high cost
of carry are HDFCBANK, NHPC, RCOM, IFCI and STAR.
View
OI Gainers
FIIs bought in cash market segment of worth Rs. 772
OI
PRICE
crores. In Index Futures they were net buyers of worth
SCRIP
OI
CHANGE
PRICE
CHANGE
Rs. 1184 crores with rise in open interest indicating
(%)
(%)
continuation of fresh long formation in last trading
MINDTREE
195250
22.80
1475.85
0.66
session.
ITC
61044000
15.34
341.55
-0.53
In Index Options again they bought of worth Rs. 837
crores with rise in open interest suggesting buying in
DIVISLAB
518000
14.76
1773.00
0.52
options. In call options we saw some buildup in 9200
EICHERMOT
278500
10.85
15907.95
-3.01
& 9300 strike prices, followed by unwinding in 9000
call options which may be profit booking by those
IDBI
36316000
10.63
81.95
11.25
guys who had gone long on it earlier. On the other
hand in put options 8700 & 8800 strikes continue to
OI Losers
add good amount of buildup. Some open interest
addition was also witnessed in 9000 & 9100 put
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
options which may be short positions. Maximum
(%)
(%)
buildup in current series is visible in 9000 call &
8500 put options.
PFC
5280000
-12.52
306.15
-1.29
Seeing the above data we believe we may see some
SKSMICRO
6352000
-11.57
457.00
0.38
more strength in Nifty but we would suggest not
RECLTD
7328000
-6.83
359.80
-0.70
going aggressively long at current levels. Budget not
OFSS
70000
-5.41
3375.85
0.16
as good as it appears from short term, so buying put
options at bounce will be a good idea.
TVSMOTOR
4479000
-5.29
293.20
8.56
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.95
0.89
IDBI
69.61
BANKNIFTY
0.88
0.74
TVSMOTOR
61.50
ITC
0.46
0.34
TCS
31.13
RELIANCE
0.66
0.51
RELIANCE
35.33
SBIN
0.48
0.50
L&TFH
26.78
1
Derivative Report
Mar 04, 2015
Strategy Date
Symbol
Strategy
Status
02-03-2015
NIFTY
Long Put
Open
Research Team Tel: 022 - 39357800
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