Derivative Report
September 04, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has decreased by 0.38%
BankNifty futures open interest has decreased by 9.60% as
market closed at 7823.00 levels.
The Nifty September future closed at a premium of 19.55
points against a premium of 25.15 points. The October
series closed at a premium of 60.80 points.
The Implied Volatility of at the money options has
decreased from 27.01% to 24.20%.
Nifty PCR-OI remains unchanged at 0.99 levels.
The total OI of the market is Rs. 2,12,740/- cr. and the
stock futures OI is Rs. 56,492/- cr.
Few of the liquid counters where we have seen high cost of
carry are JPASSOCIAT, GMRINFRA, UNITECH, GLENMARK
and UCOBANK.
OI Gainers
View
OI
PRICE
FIIs were net sellers in cash market segment to the
SCRIP
OI
CHANGE
PRICE
CHANGE
tune of Rs. 394 crores. They bought Index Futures
(%)
(%)
of Rs. 458 crores with rise in OI suggesting fresh
long formation.
CEATLTD
1296400
12.89
1111.35
-2.04
AMARAJABAT
397750
11.41
979.60
0.15
In Index Options, they were net buyers of Rs. 268
crores with good amount of rise OI. In call options
JSWENERGY
4422000
10.22
74.15
7.00
we saw build-up in 8200 and 8400 strikes which
ZEEL
6557000
9.14
369.85
1.83
may be shorts as IV’s plunged yesterday. On the
other hand in put options,
7200-7300 strikes
IBREALEST
25076000
7.94
64.90
6.92
added good amount of build-up, some OI addition
was also seen in 7000 & 7500 strikes. Maximum
OI is seen in 8500 call and 7800 put options.
OI Losers
We are witnessing continuous selling in equities by
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
bigger hands and majority of positions in Nifty and
(%)
(%)
BankNifty are shorts. Yesterday’s bounce was
mainly due to short covering and we are hardly
ENGINERSIN
1492000
-5.93
186.90
3.49
seeing any fresh buying interest. We believe it’s a
AMTEKAUTO
7552000
-5.62
31.50
-35.19
sell on rise market and 8100-8200 is a major
resistance for Nifty.
WIPRO
5455000
-4.48
569.75
2.08
BAJAJ-AUTO
1828425
-4.43
2248.70
1.57
IDBI
22928000
-4.42
58.55
3.08
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.99
0.82
AMTEKAUTO
294.78
BANKNIFTY
0.64
0.51
ULTRACEMCO
40.73
YESBANK
0.53
0.62
ACC
31.78
TATASTEEL
0.52
0.61
TATAMTRDVR
70.03
SBIN
0.41
0.45
AMBUJACEM
49.56
1
Derivative Report
September 04, 2015
Strategy Date
Symbol
Strategy
Status
August 31, 2015
HINDALCO
Long Put
Active
Research Team Tel: 022 - 39357800
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