Derivative Report
Aug 06, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 3.56% while
BankNifty futures open interest has increased by 2.23%
as market closed at 7746.55 levels.
The Nifty August future closed at premium of 26.30 point
against a premium of 34.55 points. The September
series closed at a premium of 59.85 points.
The Implied Volatility of at the money options has
decreased from 13.83% to 12.78%.
Nifty PCR-OI has increased from 0.86 to 0.87 levels.
The total OI of the market is Rs. 1,45,359/- cr. and the
stock futures OI is Rs. 51,095/- cr.
Few of the liquid counters stocks where we have seen
high cost of carry are IOB, DISHTV, ORIENTBANK,
MCLEODRUSS and SRTRANSFIN.
OI Gainers
View
OI
PRICE
FIIs activity in cash market segment was subdued. In
SCRIP
OI
CHANGE
PRICE
CHANGE
F&O segment they were net seller in Index Futures
(%)
(%)
with marginal change in open interest indicating
some fresh short positions and unwinding of long
PETRONET
4684000
28.19
172.75
-4.02
positions formed earlier.
HEROMOTOCO
1020125
22.68
2583.30
-0.85
In Index options FIIs were net buyer with rise in open
EXIDEIND
9056000
17.82
162.35
-1.85
interest indicating fresh long formation, PCR-OI has
APOLLOHOSP
325000
17.75
975.20
-0.27
further increased due to continuous buildup in put
options from last two-three trading sessions. 7500 &
IBREALEST
36224000
15.36
80.75
3.70
7700 put options were quite active yesterday and
they added decent buildup even, we believe FIIs are
OI Losers
going long in these put strikes and that too without
going long in Index Futures which suggests they are
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
hedging their positions by going long in put options.
(%)
(%)
On the other hand in call options we hardly saw any
reasonable buildup,
7900 strike price showed
ACC
815250
-10.97
1441.50
4.54
maximum activity. Maximum open interest in current
ARVIND
5680000
-8.53
233.70
0.28
series in seen in 8000 call & 7300 put options.
INFY
2437875
-4.85
3513.00
1.26
TECHM
1926625
-4.02
2187.70
0.58
JSWENERGY
7616000
-3.98
79.35
3.37
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.87
0.87
ACC
36.15
BANKNIFTY
0.77
0.79
ULTRACEMCO
40.21
RELIANCE
0.46
0.39
BAJAJ-AUTO
27.17
SBIN
0.32
0.53
M&M
34.81
AXISBANK
0.46
0.54
HDIL
74.11
1
Derivative Report
Aug 06, 2014
Strategy Date
Symbol
Strategy
Status
04-08-2014
BANKNIFTY
Ratio Put Spread
Open
Research Team Tel: 022 - 39357800
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