Sept 05, 2014
Nifty Vs OI
The Nifty futures open interest decreased by 5.48% while
BankNifty futures open interest has decreased by 3.66%
as market closed at 8095.95 levels.
The Nifty September future closed at premium of 36.45
point against a premium of 25.85 points. The October
series closed at a premium of 75.50 points.
The Implied Volatility of at the money options has
decreased from 12.62% to 12.23%.
Nifty PCR-OI has increased from 0.89 to 0.91 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 HDFCBANK, TATACOMM, JPPOWER,
GLENMARK and HINDZINC.
Yesterday Nifty was under pressure and it closed on a
negative note after six trading session. FIIs bought
significantly in cash market segment of worth Rs.
1697 crores. In Index Futures they were net seller
with fall in open interest indicating unwinding of long
positions formed earlier in yesterday’s trading
In Index options some fresh long buildup was seen
yesterday. PCR-OI increased further with fall in
implied volatility which suggests selling pressure in
put options. Yesterday 7600 & 7700 strike price of
put options added some buildup while 8000 put
options was also quite active and also added some
open interest, we believe these are short formations.
On the other hand in call option 8200 strike price
was active and also added some buildup in
yesterday’s trading session. Maximum buildup in
current series is seen in 8200 call and 8000 put
Large cap counter where we saw good amount of
addition in open interest are CIPLA, JPASSOCIAT,
DLF, TATASTEEL and ICICIBANK.
Sept 05, 2014
FII Statistics for 04-Sept-2014
Turnover on 04-Sept-2014
Nifty Spot =8095.95
Lot Size = 50
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Aug Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
Sept 05, 2014
Long call ladder
Research Team Tel: 022 - 39357800
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