Derivative Report
Sept 04, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 1.72%
while BankNifty futures open interest has increased
by 0.20% as market closed at 8114.60 levels.
The Nifty September future closed at premium of
25.85 point against a premium of 38.40 points. The
October series closed at a premium of 66.30 points.
The Implied Volatility of at the money options has
increased from 12.47% to 12.62%.
Nifty PCR-OI has increased from 0.86 to 0.89 levels.
The total OI of the market is Rs. 1,74,531/- cr. and
the stock futures OI is Rs. 54,282/- cr.
Few of the liquid counter stocks where we have
seen high cost of carry are UNITECH, JSWENERGY,
LUPIN, MCLEODRUSS and L&TFH.
View
OI Gainers
Yesterday Nifty continued its upward move and
close above
8100 mark, FIIs also actively
OI
PRICE
participated in this upward move. They bought
SCRIP
OI
CHANGE
PRICE
CHANGE
significantly in cash market segment of worth Rs.
(%)
(%)
1288 crores. In Index Futures they were net seller
HAVELLS
2855000
22.66
276.10
0.36
with rise in open interest indicating some short
formation in yesterday’s trading session.
JSWENERGY
6832000
15.33
82.20
4.54
BHARATFORG
2173000
14.61
840.80
3.06
In Index options some fresh long buildup was
seen yesterday. PCR-OI increased with rise in
PETRONET
3398000
9.90
192.10
-2.12
implied volatility which suggests buying in put
CROMPGREAV
14110000
8.97
210.75
4.17
options. 8000 & 8100 strike prices of put options
added good amount of buildup yesterday. On
the other hand in call options 8300 strike remains
OI Losers
active from last three-four trading sessions,
OI
PRICE
yesterday also it added decent amount of
SCRIP
OI
CHANGE
PRICE
CHANGE
open interest. Maximum buildup in current series
(%)
(%)
is seen in 8200 call and 8000 put options.
MRF
27750
-11.55
25605.50
0.04
Large cap counter where we saw good
SUNTV
2109000
-8.30
371.35
1.84
amount of addition in open interest are BAJAJ-
LT
5945750
-7.73
1598.20
1.10
AUTO, HCLTECH, INFY, MARUTI and ITC.
BHARTIARTL
8199000
-7.62
404.50
2.79
CAIRN
10733000
-7.15
335.45
0.22
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.89
1.00
INFY
27.28
BANKNIFTY
0.70
0.91
WIPRO
25.68
RELIANCE
0.36
0.41
COALINDIA
36.05
SBIN
0.49
0.43
UPL
50.92
ICICIBANK
0.78
0.62
TCS
25.30
1
Derivative Report
Sept 04, 2014
Strategy Date
Symbol
Strategy
Status
02-09-2014
DLF
Long call ladder
Open.
Research Team Tel: 022 - 39357800
Website:
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