Derivative Report
May 04, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has decreased by 20.12%
BankNifty futures open interest has decreased by 21.20%
as market closed at 8181.50 levels.
The Nifty May future closed at premium of 62.55 points
against a premium of 52.45 points. The June series
closed at a premium of 93.80 points.
The Implied Volatility of at the money options has
decreased from 21.23% to 16.56%.
Nifty PCR-OI has increased from 0.81 to 0.95 levels.
The total OI of the market is Rs. 2,78,624/- cr. and the
stock futures OI is Rs. 72,419/- cr.
Few of the liquid counters where we have seen high cost
of carry are CENTURYTEX, GMRINFRA, MRF, JPPOWER
and INDIACEM.
OI Gainers
View
OI
PRICE
FII's continued to sell in both cash and future
SCRIP
OI
CHANGE
PRICE
CHANGE
market, Thursday they sold significantly of Rs. 3157
(%)
(%)
crores of equity cash, whereas they shorted of Rs.
504 crores in Index futures with significant fall in
AMTEKAUTO
9792000
6.13
160.25
2.27
open interest due to expiry.
IBREALEST
39600000
5.67
59.55
5.68
In Index Options front, FIIs bought of Rs.
1050
WOCKPHARMA
2314000
0.76
1299.15
0.58
crores with fall in open interest. Being start of new
-
-
-
-
-
series the over buildup in options is quite scattered.
In call options 8200-8800 strikes added good
-
-
-
-
-
amount of buildup while in put options open
interest addition was seen in the range of 7700-
OI Losers
8200 strikes. Maximum buildup in May series is
seen in 8800 call and 8100 put options.
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
Roll-over in Nifty is on the lower side at 68.16%
(%)
(%)
and of BankNifty is on the higher side at 73.35%.
TVSMOTOR
4367000
-41.66
236.20
1.81
JUSTDIAL
852000
-37.90
1079.70
1.38
GODREJIND
1392391
-33.44
356.05
5.90
BHARTIARTL
7682000
-30.68
383.60
-1.70
IFCI
47376000
-29.56
33.90
3.51
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.95
0.88
HEXAWARE
60.92
BANKNIFTY
1.05
0.74
EXIDEIND
44.15
RELIANCE
0.41
0.52
SAIL
53.37
INFY
0.37
0.46
GODREJIND
58.81
SUNPHARMA
0.44
0.49
M&MFIN
51.03
1
Derivative Report
May 04, 2015
Strategy Date
Symbol
Strategy
Status
30-03-15
ITC
Long Call Ladder
Profit booked on 29-04-15
06-04-15
MARUTI
Ratio Bear Put Spread
Marginal loss on expiry
13-04-15
BANKNIFTY
Short Strangle
Profit booked on 29-04-15
20-04-15
NIFTY
Ratio Bear Put Spread
Marginal loss on expiry
27-04-15
INFY
Long Call Ladder
Marginal loss on expiry
Research Team Tel: 022 - 39357800
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