Derivative Report
Apr 08, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has decreased by 0.10%
BankNifty futures open interest has increased by 1.58%
as market closed at 8660.30 levels.
The Nifty April future closed at premium of 51.00 points
against a premium of 29.90 points. The May series
closed at a premium of 100.75 points.
The Implied Volatility of at the money options has
increased from 13.12% to 13.26%.
Nifty PCR-OI has increased from 0.98 to 1.01 levels.
The total OI of the market is Rs. 1,99,875/- cr. and the
stock futures OI is Rs. 66,043/- cr.
Few of the liquid counters where we have seen high cost
of carry are JPPOWER, IDFC, SUNTV, UNITECH, and
GMRINFRA.
OI Gainers
View
OI
PRICE
FIIs activity in cash market segment was subdued.
SCRIP
OI
CHANGE
PRICE
CHANGE
While in Index Futures they were marginal sellers with
(%)
(%)
rise in open interest suggesting blend of short
covering and long formation in last trading session.
RECLTD
7285000
43.77
321.55
-4.57
COLPAL
552750
30.56
2107.85
2.58
FIIs are being quite active n Index Options from last
few trading sessions; they continue buying
EXIDEIND
11614000
19.17
184.85
3.24
significantly of worth Rs. 1012 crores yesterday with
VOLTAS
6124000
16.91
295.25
3.05
decent rise in open interest suggesting fresh long
formation. In call options 8800-8900 strikes added
SUNTV
1433000
14.37
409.55
-0.97
decent amount of buildup, we believe these are long
positions. On the other hand in put options 8500 &
OI Losers
8700 strikes added good amount of buildup, some
open interest addition was also seen in 8300 put
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
options. Maximum buildup in current series is seen in
(%)
(%)
9000 call & 8400 put option.
CENTURYTEX
7946000
-6.38
730.95
5.77
We are hardly seeing any reasonable buildup in Nifty
from last few sessions. Metal & Mining sector out
TECHM
12943000
-5.97
657.10
1.64
performed yesterday while banking counters continue
HINDUNILVR
6050000
-5.19
917.20
0.68
to show weakness. One should trade stock specific till
we see any relevant activity in Nifty.
TATAMTRDVR
14446030
-3.75
344.35
0.54
EICHERMOT
238250
-2.95
16054.90
1.10
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.01
0.92
BATAINDIA
36.95
BANKNIFTY
0.88
0.82
GAIL
34.81
RELIANCE
0.58
0.33
NHPC
22.16
SBIN
0.47
0.46
POWERGRID
20.93
AXISBANK
0.39
0.43
PTC
45.71
1
Derivative Report
Apr 08, 2015
Strategy Date
Symbol
Strategy
Status
30-03-15
ITC
Long Call Ladder
Open
06-04-15
MARUTI
Ratio Bear Put Spread
Open
Research Team Tel: 022 - 39357800
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