Derivative Report
Oct 07, 2014
Comments
Nifty Vs OI
The Nifty futures open interest decreased by 0.16% while
BankNifty futures open interest has decreased by 0.15%
as market closed at 7945.55 levels.
The Nifty October future closed at premium of 38.10
point against a premium of 35.00 points. The November
series closed at a premium of 63.05 points.
The Implied Volatility of at the money options has
decreased from 12.36% to 12.32%.
Nifty PCR-OI remains unchanged at 0.90 levels.
The total OI of the market is Rs. 1,78,329/- cr. and the
stock futures OI is Rs. 51,735/- cr.
Few of the liquid counter stocks where we have seen high
cost of carry are LUPIN, IGL, IFCI, TATAMTRDVR and
IDBI.
View
OI Gainers
In last trading session Nifty was in range and gave a
OI
PRICE
closing in red. FIIs activity in cash market segment
SCRIP
OI
CHANGE
PRICE
CHANGE
and in Index Futures was subdued.
(%)
(%)
In Index Options they bought of worth Rs. 762 crores
MINDTREE
419500
14.77
1143.50
-2.88
with rise in open interest indicating formation of long
SRTRANSFIN
780000
13.54
910.40
-2.86
positions in last trading session. PCR-OI has
remained unchange while implied volatility still is in
BATAINDIA
688750
10.07
1392.20
5.05
line. In put options
7500 strike price added
M&MFIN
6533000
9.78
275.30
0.09
reasonable amount of open interest followed by
profit booking by buyers of 7900 put options. We
IGL
782000
8.91
417.15
-0.45
believe these additions of contracts in 7500 put
options are long positions formed by FIIs. On the
OI Losers
other hand in call options we hardly saw any relevant
activity, 8100 strike price showed majority of buildup
OI
PRICE
in last trading session. Maximum buildup in current
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
series in call options still remains at 8200 strike price
and that of put options has shifted to 7800 strike
SUNTV
1764000
-7.21
342.75
1.25
price.
WIPRO
5272500
-6.30
615.75
3.00
Large cap counters wherein we saw good amount of
BPCL
3470500
-5.87
652.85
-0.43
open interest addition are HEROMOTOCO,
HCLTECH, JINDALSTEL, GAIL and TECHM.
PFC
8252000
-5.67
238.05
1.35
IDFC
52956000
-5.03
136.25
-1.02
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.90
1.02
BATAINDIA
39.30
BANKNIFTY
0.90
0.76
MARUTI
27.05
RELIANCE
0.39
0.29
WIPRO
28.04
SBIN
0.46
0.61
JUBLFOOD
37.82
INFY
0.44
0.40
INFY
26.23
1
Derivative Report
Oct 07, 2014
Strategy Date
Symbol
Strategy
Status
29-09-2014
NIFTY
Long Put
Did not trigger.
Research Team Tel: 022 - 39357800
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