Derivative Report
Jan 05, 2015
Nifty Vs OI
Comments
The Nifty futures open interest increased by 1.55% while
BankNifty futures open interest has increased by 3.12%
as market closed at 8395.45 levels.
The Nifty January future closed at premium of 62.95
points against a premium of 59.80 points. The February
series closed at a premium of 115.10 points.
The Implied Volatility of at the money options has
decreased from 13.86% to 12.34%.
Nifty PCR-OI has increased from 1.10 to 1.11 levels.
The total OI of the market is Rs. 1,82,488/- cr. and the
stock futures OI is Rs. 61,302/- cr.
Few of the liquid counters where we have seen high cost
of carry are JPPOWER, UNITECH, JISLJALEQS,
HDFCBANK and JSWENERGY.
View
OI Gainers
Friday market surprised us with an upswing of more
than
100 points after four days range bound
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
movement. FIIs were net buyers in cash market
(%)
(%)
segment of worth Rs. 259 crores. In Index Futures
they were net buyers with rise in open interest
IBULHSGFIN
2111000
30.51
480.35
5.71
indicating formation of some fresh long positions.
APOLLOHOSP
430250
11.39
1127.85
0.22
In Index Options they were marginal buyers with rise
SRTRANSFIN
1057000
9.45
1106.10
0.40
in open interest suggesting long formation. PCR-OI
increased mainly due to open interest addition in put
TVSMOTOR
4623000
8.78
267.45
-3.80
options while implied volatility decreased on the
BPCL
4520500
8.16
644.40
-1.37
closing basis. We saw good amount of open interest
addition in 8400 put options followed by unwinding
in lower put strikes. We believe seeing Friday’s move
OI Losers
those who had gone long in lower strike prices must
OI
PRICE
have squared off their positions but at the same time
SCRIP
OI
CHANGE
PRICE
CHANGE
we saw huge long formation in 8400 strike price
(%)
(%)
indicating we may see some pressure. On the other
HAVELLS
8425000
-6.64
275.10
-0.47
hand in call options some buildup was seen in 8700
& 8800 strike price which may be short positions.
COLPAL
829375
-5.57
1843.90
1.55
Maximum buildup in current is seen in 8600 call &
IGL
679500
-4.56
452.25
0.13
800 put options.
ANDHRABANK
18056000
-4.32
96.25
-0.46
We still maintain our negative stance in market. One
BANKBARODA
3844250
-4.07
1096.25
0.98
should adopt sell on rise strategy and avoid going
long in market.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.11
1.10
IBULHSGFIN
48.72
BANKNIFTY
1.20
0.78
HDFC
36.57
RELIANCE
0.53
0.40
GRASIM
24.53
TATASTEEL
0.63
0.57
LICHSGFIN
56.74
SBIN
0.53
0.35
JUSTDIAL
49.00
1
Derivative Report
Jan 05, 2015
Strategy Date
Symbol
Strategy
Status
29-12-2014
NIFTY
Long Put
Loss booked on 02-01-2015.
Research Team Tel: 022 - 39357800
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