Derivative Report
May 07, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has decreased by 1.09%
BankNifty futures open interest has increased by 22.62%
as market closed at 8097.00 levels.
The Nifty May future closed at premium of 24.75 points
against a premium of 36.90 points. The June series
closed at a premium of 56.75 points.
The Implied Volatility of at the money options has
increased from 16.82% to 19.10%.
Nifty PCR-OI has decreased from 0.97 to 0.92 levels.
The total OI of the market is Rs. 1,95,865/- cr. and the
stock futures OI is Rs. 58,422/- cr.
Few of the liquid counters where we have seen high cost
of carry are HINDPETRO, UPL, SKSMICRO, UNITECH
and DABUR.
View
OI Gainers
FII's continued to sell in both cash and future
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
market, yesterday they sold of Rs. 1700 crores of
(%)
(%)
equity cash, whereas they sold of Rs. 1924 crores
in Index futures with decent fall in open interest
DABUR
2908000
10.03
264.95
-0.43
suggesting unwinding of longs formed earlier with
IGL
1098500
7.75
405.70
-3.38
some fresh short formation.
BHARTIARTL
7358500
6.73
392.60
1.04
In Index Options front, FIIs sold of worth Rs. 796
crores with good amount of rise in open interest.
CAIRN
16737000
6.17
211.35
-2.06
PCR-OI decreased mainly due to majority of open
RELCAPITAL
11650000
5.82
393.45
-6.77
interest addition in call options. Huge buildup was
seen in the range of 8100-8500 call options, we
believe these are blend of long and short positions.
OI Losers
On the other hand in put options 7900 & 8000
OI
PRICE
strike added good amount of buildup which are
SCRIP
OI
CHANGE
PRICE
CHANGE
long positions. Some buildup was also seen in
(%)
(%)
7400-7700 put options. Maximum buildup is seen
MINDTREE
241250
-22.61
1266.45
-2.43
in 8500 call and 8000 put options.
BPCL
2222500
-12.62
751.35
-3.88
Seeing yesterdays fall we believe market may
HINDUNILVR
4589500
-12.08
862.80
-2.40
remain in pressure. BankNifty added huge short
positions yesterday, the support around
17700
HDIL
12652000
-11.62
110.30
-10.40
levels may be tested in coming trading sessions.
HEXAWARE
6491000
-11.09
260.50
-6.78
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.92
0.85
IOC
50.17
BANKNIFTY
0.70
0.70
JUBLFOOD
47.53
RELIANCE
0.34
0.45
IRB
54.03
SUNPHARMA
0.40
0.38
AMTEKAUTO
57.81
INFY
0.35
0.43
RELCAPITAL
50.77
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Derivative Report
May 07, 2015
FII Statistics for 06-May2015
Turnover on 06-May2015
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Contracts
Value
Change
(` in cr.)
(%)
INDEX
1776.98
3701.58
(1924.59)
486924
11317.92
(6.13)
11,03,444
27514.75
95.90
FUTURES
Index Futures
INDEX
Index
22188.33
22985.04
(796.71)
2537957
61289.35
6.98
1,01,99,748
224574.3
106.88
OPTIONS
Options
STOCK
4541.64
2709.46
1832.18
1836220
46330.46
(1.71)
11,18,488
29204.56
19.22
FUTURES
Stock Futures
STOCK
Stock
2371.87
2354.08
17.79
65119
1655.29
17.46
4,85,977
12973.75
26.56
OPTIONS
Options
30878.83
31750.16
(871.33)
4926220
120593.02
2.32
1,29,07,657
294267.35
87.02
Total
Total
Nifty Spot = 8097.00
Lot Size = 25
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8100
163.25
Buy
8100
144.50
49.15
50.85
8149.15
37.70
62.30
8062.30
Sell
Sell
8200
114.10
8000
106.80
Buy
Buy
8100
163.25
8100
144.50
88.30
111.70
8188.30
67.85
132.15
8032.15
Sell
8300
74.95
Sell
7900
76.65
Buy
8200
114.10
Buy
8000
106.80
39.15
60.85
8239.15
30.15
69.85
7969.85
Sell
8300
74.95
Sell
7900
76.65
Note: Above mentioned Bullish or Bearish Spreads in Nifty (May Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Derivative Report
May 07, 2015
Strategy Date
Symbol
Strategy
Status
04-05-15
RELIANCE
Bull Call Spread
Open
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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