Derivative Report
Feb 05, 2015
Nifty Vs OI
Comments
The Nifty futures open interest decreased by 0.41% levels
BankNifty futures open interest has decreased by 1.41%
as market closed at 8723.70 levels.
The Nifty February future closed at premium of 53.65
points against a premium of 53.35 points. The March
series closed at a premium of 112.90 points.
The Implied Volatility of at the money options has
decreased from 19.08% to 17.91%.
Nifty PCR-OI has increased from 0.85 to 0.86 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 JPPOWER, HINDPETRO, OFSS, IGL and
IDFC.
View
OI Gainers
FIIs activity in cash market segment was subdued. In
OI
PRICE
Index Futures they bought of worth Rs. 220 crores
SCRIP
OI
CHANGE
PRICE
CHANGE
with fall in open interest suggesting covering of short
(%)
(%)
positions formed earlier, while they continue forming
short positions in Stock Futures.
CANBK
7420000
16.12
453.10
3.53
CROMPGREAV
18635000
15.43
167.95
-5.89
There was some buying in Index Options with rise in
open interest indicating fresh long formation. PCR-OI
IGL
599000
12.81
468.35
1.12
increased mainly due to open interest addition in put
BPCL
2902500
11.25
721.00
-0.89
options, while implied volatility decreased on the
closing basis which indicates selling in put options.
BANKINDIA
13101000
9.33
257.05
-1.48
We witness decent open interest addition in the range
of 8800 & 8900 call options, which may be long
OI Losers
formation. On the other hand in put options decent
amount of open interest addition was seen in 8300 &
OI
PRICE
8700 strike prices which is mix of long & short
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
positions.
CAIRN
12693000
-13.74
253.85
3.01
Despite seeing pressure in market we are hardly
relevant profit booking or selling by FIIs in Index
MINDTREE
361250
-8.37
1320.20
1.66
Futures, they continue to buy higher call options from
M&MFIN
10932000
-7.87
261.35
1.67
last few days. Seeing the overall data we don’t see
this fall to last for long.
SSLT
24233000
-7.72
216.60
2.40
TVSMOTOR
5119000
-7.47
294.40
3.31
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.86
0.86
CROMPGREAV
46.64
BANKNIFTY
0.61
0.45
GODREJIND
39.03
BANKBARODA
0.31
0.31
CENTURYTEX
44.37
RELIANCE
0.49
0.44
BHEL
40.56
SBIN
0.45
0.50
GLENMARK
33.30
1
Derivative Report
Feb 05, 2015
Strategy Date
Symbol
Strategy
Status
02-02-2015
NIFTY
Ratio Bull Call Spread
Open
Research Team Tel: 022 - 39357800
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