Derivative Report
July 08,
2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 5.18%
BankNifty futures open interest has decreased by 2.52%
as market closed at 8510.80 levels.
The Nifty July future closed at a premium of 5.80 points
against premium of 15.60 points. The August series
closed at a premium of 44.00 points.
The Implied Volatility of at the money options has
increased from 14.25% to 14.56%.
Nifty PCR-OI has increased from 1.13 to 1.14 levels.
The total OI of the market is Rs. 2,08,579/- cr. and the
stock futures OI is Rs. 59,651/- cr.
Few of the liquid counters where we have seen high cost
of carry are PIDILITIND, NHPC, GMRINFRA, IOB and
ADANIPOWER.
View
OI Gainers
Yesterday, FII's activity in cash market segment
was subdued. Whereas, they bought index futures
OI
PRICE
worth Rs 957 crores with significant rise in open
SCRIP
OI
CHANGE
PRICE
CHANGE
interest, suggesting combination of both long and
(%)
(%)
short formation, in with majority of positions are
MCLEODRUSS
2395000
16.89
233.60
6.64
long.
APOLLOTYRE
10146000
15.85
178.70
3.41
In Index options front, FIIs were net buyer of Rs.
PIDILITIND
520500
15.03
570.50
4.99
908 crores with rise in open interest. We saw
decent amount of buildup in the range of 8600-
CASTROLIND
733500
13.72
459.25
3.21
8800 call options, followed by unwinding in 8500
CEATLTD
1965500
12.67
704.55
0.31
call option which may be due to profit booking.
Whereas, in put options, 8300 and 8500 strikes
OI Losers
added some open interest. We have also
witnessed some unwinding in 8000 & 8200 put
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
option. Maximum buildup in current series in seen
(%)
(%)
in 8500 call and 8000 put options.
IBREALEST
26532000
-8.18
57.35
1.06
Today seeing the global cues we believe market
BATAINDIA
748500
-7.79
1149.15
1.80
may open in red but seeing the F&O stats we are
seeing some positive development. FII bought
AMBUJACEM
5548000
-6.08
245.60
0.04
significantly in Index Futures yesterday, we are
IOB
13040000
-4.85
38.30
1.06
also seeing continues addition in 8600-8700 calls.
Those who are long should hold on to their longs.
RELINFRA
8088000
-4.72
411.30
4.99
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.14
1.11
L&TFH
46.69
BANKNIFTY
1.08
0.84
PIDILITIND
35.77
RELIANCE
0.64
0.51
ASIANPAINT
37.18
INFY
0.58
0.61
HAVELLS
33.27
TATASTEEL
0.51
0.41
MCLEODRUSS
53.74
1
Derivative Report
July 08,
2015
Strategy Date
Symbol
Strategy
Status
June 29, 2015
LT
Ratio Bear Put Spread
Active
July 06, 2015
RELIANCE
Ratio Bull Call Spread
Active
Research Team Tel: 022 - 39357800
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