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
1
Derivative Report
May 07, 2015
Strategy Date
Symbol
Strategy
Status
04-05-15
RELIANCE
Bull Call Spread
Open
Research Team Tel: 022 - 39357800
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