Derivative Report
Aug 08, 2014
Comments
Nifty Vs OI
The Nifty futures open interest decreased by 3.62% while
BankNifty futures open interest has decreased by 1.40%
as market closed at 7649.25 levels.
The Nifty August future closed at premium of 20.40 point
against a premium of 19.40 points. The September
series closed at a premium of 58.60 points.
The Implied Volatility of at the money options has
decreased from 13.45% to 13.03%.
Nifty PCR-OI has decreased from 0.86 to 0.84 levels.
The total OI of the market is Rs. 1,45,359/- cr. and the
stock futures OI is Rs. 51,095/- cr.
Few of the liquid counters stocks where we have seen
high cost of carry are OFSS, GMRINFRA, UNITECH,
AMBUJACEM and TATACOMM.
OI Gainers
View
OI
PRICE
FIIs activity in cash market segment was subdued. In
SCRIP
OI
CHANGE
PRICE
CHANGE
F&O segment they were net seller in Index Futures
(%)
(%)
with fall in open interest indicating unwinding of long
positions formed earlier in last trading session.
JUBLFOOD
1424750
15.20
1186.70
-4.30
ARVIND
6174000
14.46
239.80
3.41
In Index options FIIs were net buyer with rise in open
interest indicating some fresh long formation, PCR-OI
ACC
878500
14.24
1473.75
2.69
decreased yesterday mainly due to unwinding in put
VOLTAS
5840000
13.80
209.50
5.17
options. Yesterday we have hardly seen any
reasonable buildup in both call & put options, 7300
UBL
661250
12.99
742.50
0.65
put options showed some unwinding due to which
maximum buildup has now shifted to
7500 put
OI Losers
options which is a major support zone for market.
Maximum open interest in current series in call
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
options is seen in 8000 strike price.
(%)
(%)
Large cap stocks where we have seen good amount
PFC
8508000
-13.69
267.20
1.69
of rise in open interest are ACC, HEROMOTOCO,
AMBUJACEM, M&M and TCS.
SUNTV
914000
-10.22
422.40
0.66
APOLLOHOSP
385750
-6.77
987.85
2.34
PNB
4799000
-5.88
926.35
-2.56
IDEA
16826000
-5.21
159.65
1.62
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.84
0.81
UPL
41.83
BANKNIFTY
0.79
0.66
JUBLFOOD
45.86
RELIANCE
0.45
0.37
ACC
36.79
SBIN
0.45
0.44
VOLTAS
64.53
AXISBANK
0.40
0.53
IOC
44.85
1
Derivative Report
Aug 08, 2014
Strategy Date
Symbol
Strategy
Status
04-08-2014
BANKNIFTY
Ratio Put Spread
Open
Research Team Tel: 022 - 39357800
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