Derivative Report
Apr 07, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has decreased by 1.82%
BankNifty futures open interest has decreased by 4.54%
as market closed at 8659.90 levels.
The Nifty April future closed at premium of 29.90 points
against a premium of 46.85 points. The May series
closed at a premium of 78.55 points.
The Implied Volatility of at the money options has
increased from 12.43% to 13.12%.
Nifty PCR-OI has increased from 0.96 to 0.98 levels.
The total OI of the market is Rs. 1,93,637/- cr. and the
stock futures OI is Rs. 65,228/- cr.
Few of the liquid counters where we have seen high cost
of carry are JPPOWER, UNITECH, MOTHERSUMI, STAR
and JPASSOCIAT.
OI Gainers
View
OI
PRICE
Yesterday Nifty broke its resistance zone of 8600 and
SCRIP
OI
CHANGE
PRICE
CHANGE
closed above 8650 levels with low volume. FIIs were
(%)
(%)
net buyers in cash market segment of worth Rs. 937
crores. In Index Futures they sold of Rs. 752 crores
SUNTV
1253000
31.62
413.55
-9.64
with some fall in open interest indicating blend of
HDIL
18268000
19.81
128.25
22.84
long unwinding and fresh short formation.
DRREDDY
1187750
11.32
3704.65
4.11
In Index Options they bought significantly of worth
BHARATFORG
3527500
11.02
1325.15
-0.17
Rs. 1004 crores with rise in open interest suggesting
fresh long formation. In call options
8800-8900
EICHERMOT
245500
9.78
15879.80
-1.70
strikes added good amount of buildup, we believe
these are long positions. On the other hand in put
OI Losers
options we continue to see addition in open interest
of 8600, 8400 & 8200 strikes with increase in IV’s.
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
Maximum buildup in current series is seen in 9000
(%)
(%)
call & 8400 put option.
MOTHERSUMI
2177500
-8.60
517.80
1.08
Yesterday Nifty showed strength but banking counters
continued to show weakness. Major component from
TECHM
13764500
-7.64
646.50
1.36
Pharmaceutical and Consumer Goods & FMCG lead
SRTRANSFIN
835500
-7.48
1166.05
0.98
yesterday’s move. Seeing the overall data we believe
one should trade stock specific and avoid trading
DISHTV
22196000
-7.07
86.25
1.71
aggressively in Nifty.
HINDALCO
22482000
-6.79
135.10
1.39
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.98
0.93
HDIL
118.13
BANKNIFTY
0.86
0.71
SUNTV
70.43
RELIANCE
0.58
0.50
GLENMARK
49.57
SBIN
0.49
0.38
SUNPHARMA
55.42
TATASTEEL
0.56
0.56
DIVISLAB
29.32
1
Derivative Report
Apr 07, 2015
Strategy Date
Symbol
Strategy
Status
30-03-15
ITC
Long Call Ladder
Open
06-04-15
MARUTI
Ratio Bear Put Spread
Open
Research Team Tel: 022 - 39357800
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