Derivative Report
Sept 05, 2014
Comments
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.
View
OI Gainers
Yesterday Nifty was under pressure and it closed on a
negative note after six trading session. FIIs bought
OI
PRICE
significantly in cash market segment of worth Rs.
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
1697 crores. In Index Futures they were net seller
with fall in open interest indicating unwinding of long
GLENMARK
760000
40.74
770.80
4.31
positions formed earlier in yesterday’s trading
IDEA
15694000
29.34
167.75
-2.38
session.
UPL
8504000
23.14
369.35
7.83
In Index options some fresh long buildup was seen
yesterday. PCR-OI increased further with fall in
JUSTDIAL
307375
14.69
1701.00
-0.60
implied volatility which suggests selling pressure in
CESC
1088000
13.10
741.70
4.95
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
OI Losers
open interest, we believe these are short formations.
OI
PRICE
On the other hand in call option 8200 strike price
SCRIP
OI
CHANGE
PRICE
CHANGE
was active and also added some buildup in
(%)
(%)
yesterday’s trading session. Maximum buildup in
IGL
1038000
-10.90
395.15
-1.05
current series is seen in 8200 call and 8000 put
options.
COALINDIA
11769000
-5.36
379.05
0.21
HDIL
26416000
-4.90
94.80
-4.18
Large cap counter where we saw good amount of
addition in open interest are CIPLA, JPASSOCIAT,
POWERGRID
17910000
-4.74
134.15
2.01
DLF, TATASTEEL and ICICIBANK.
HCLTECH
2463250
-4.36
1661.05
-0.03
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.91
1.12
JPASSOCIAT
110.54
BANKNIFTY
0.75
1.00
TATAGLOBAL
37.63
RELIANCE
0.39
0.39
DLF
64.39
SBIN
0.47
0.51
RCOM
45.24
JPASSOCIAT
0.42
0.40
UPL
60.44
1
Derivative Report
Sept 05, 2014
Strategy Date
Symbol
Strategy
Status
02-09-2014
DLF
Long call ladder
Open.
Research Team Tel: 022 - 39357800
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