Derivative Report
Nov 07, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 5.73% while
BankNifty futures open interest has increased by 10.44%
as market closed at 8338.30 levels.
The Nifty November future closed at premium of 41.85
points against a premium of
36.90 points. The
December series closed at a premium of 94.25 points.
The Implied Volatility of at the money options has
increased from 11.92% to 12.00%.
Nifty PCR-OI has increased from 0.94 to 0.96 levels.
The total OI of the market is Rs. 1,80,015/- cr. and the
stock futures OI is Rs. 56,143/- cr.
Few of the liquid counter stocks where we have seen high
cost of carry are HDFCBANK, LUPIN, UBL, IDEA and
JPPOWER.
View
OI Gainers
Monday market traded in the range but gave a
closing in green. FIIs continue buying in cash market
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
segment; they bought of worth Rs. 1030 crores. In
(%)
(%)
Index Futures they were net buyer with rise in open
interest which suggests continuation of fresh buying.
DIVISLAB
946500
24.72
1721.15
-4.71
In Index Options they were considerable amount of
NMDC
12952000
18.13
159.45
-4.30
buyer of worth Rs. 971 crores with rise in open
HEXAWARE
10696000
15.91
216.25
9.46
interest signifying that these guys are going long in
options. PCR-OI increased further while implied
COALINDIA
12422000
13.98
349.10
-2.95
volatility also increased marginally indicating buying
MOTHERSUMI
3791500
12.09
426.25
-0.16
in put option. Buildup was scattered in the range of
8200-8400 put options,
8000 strike price has
maximum open interest and this level may act as
OI Losers
major support for Nifty. In call options 8600 & 8700
OI
PRICE
strike price added some open interest and we believe
SCRIP
OI
CHANGE
PRICE
CHANGE
these are long positions. Maximum open interest in
(%)
(%)
call options is witnessed in 8500 call options.
APOLLOTYRE
11464000
-10.33
235.90
2.23
Seeing the quantum of buying in Index Futures and
COLPAL
509125
-6.67
1717.45
1.00
significant buildup in out of the money call options
BPCL
3108500
-5.93
740.30
2.04
we believe market is heading towards a new life time
highs. Implied volatility is still low indicating premium
ANDHRABANK
15900000
-5.56
85.40
-2.78
to be cheap; buying 8500 call options will be a good
IGL
1023500
-5.28
399.45
1.99
strategy.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.96
0.93
HEXAWARE
66.20
BANKNIFTY
1.59
1.13
GLENMARK
37.59
RELIANCE
0.55
0.48
DIVISLAB
41.82
SBIN
0.42
0.47
CAIRN
46.02
INFY
0.66
0.66
MCLEODRUSS
47.49
1
Derivative Report
Nov 07, 2014
Strategy Date
Symbol
Strategy
Status
03-11-2014
NIFTY
Long Call
Open
Research Team Tel: 022 - 39357800
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