Derivative Report
Jan 07, 2015
Nifty Vs OI
Comments
The Nifty futures open interest decreased by 6.86% while
BankNifty futures open interest has increased by 8.55%
as market closed at 8127.35 levels.
The Nifty January future closed at premium of 30.55
points against a premium of 44.45 points. The February
series closed at a premium of 86.80 points.
The Implied Volatility of at the money options has
increased from 12.40% to 16.50%.
Nifty PCR-OI has decreased from 1.08 to 0.95 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 JSWENERGY, JPASSOCIAT, UPL, PFC and
HDFCBANK.
View
OI Gainers
Yesterday Nifty corrected more than 250 points and
OI
PRICE
FIIs also participated in this fall. They sold
SCRIP
OI
CHANGE
PRICE
CHANGE
significantly in cash market segment of worth Rs.
(%)
(%)
1570 crores. In Index Futures again they sold in a big
way of worth Rs. 2817 crores with fall in open interest
SAIL
44968000
10.85
78.65
-6.36
indicating unwinding of huge long positions.
HDIL
29772000
8.64
67.00
-7.68
In Index Options they were net buyers with significant
IDEA
11642000
6.59
150.50
-1.88
rise in open interest suggesting blend of both long
and short positions. PCR-OI decreased mainly due to
DABUR
1818000
6.38
224.35
-3.24
open interest addition in call options while implied
DIVISLAB
590750
4.05
1674.15
-4.10
volatility jumped more than 400 basis points. We saw
good amount of open interest addition in the range
OI Losers
of 8100-8500 call options and we believe these may
be mix of both long & short positions. On the other
OI
PRICE
hand in put options huge buildup was seen in 7700
SCRIP
OI
CHANGE
PRICE
CHANGE
& 7800 strike price in the hopes market continuing to
(%)
(%)
correct further, some buildup was also seen in 7900
TVSMOTOR
3934000
-12.54
268.05
-1.49
& 8100 put options. Good amount of profit booking
was also visible in 8200-8400 put options. Maximum
ALBK
8652000
-12.29
124.50
-4.37
buildup in current is seen in 8400 call & 8000 put
MINDTREE
312500
-11.10
1206.90
-5.67
options.
COLPAL
730500
-11.00
1840.15
0.21
We still maintain our negative stance in market. One
ACC
1446000
-10.96
1383.55
-3.72
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
0.95
1.03
RELIANCE
33.00
BANKNIFTY
1.31
1.26
GODREJIND
39.05
RELIANCE
0.45
0.59
ONGC
44.36
INFY
0.61
0.52
GRASIM
30.37
TATASTEEL
0.53
0.60
ACC
28.11
1
Derivative Report
Jan 07, 2015
Strategy Date
Symbol
Strategy
Status
29-12-2014
NIFTY
Long Put
Loss booked on 02-01-2015.
29-12-2014
NIFTY
Ratio Put Spread
Open.
Research Team Tel: 022 - 39357800
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