Derivative Report
Oct 08, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 4.19% while
BankNifty futures open interest has increased by 5.66%
as market closed at 7852.40 levels.
The Nifty October future closed at premium of 38.50
point against a premium of 38.10 points. The November
series closed at a premium of 87.30 points.
The Implied Volatility of at the money options has
increased from 12.32% to 13.96%.
Nifty PCR-OI has decreased from 0.90 to 0.88 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 DABUR, IFCI, HEROMOTOCO, BPCL
and DISHTV.
View
OI Gainers
Yesterday market plunged nearly 100 points and
OI
PRICE
closed near 7850 mark. FIIs sold in cash market
SCRIP
OI
CHANGE
PRICE
CHANGE
segment of worth Rs. 332 crores. In Index Futures
(%)
(%)
they were net buyer with good amount of rise in open
interest indicating blend of both long & short
ADANIPORTS
9524000
18.31
259.90
-5.32
positions in last trading session.
TATASTEEL
19250000
9.67
440.15
-1.96
In Index Options they bought marginally with some
BPCL
3756500
8.24
650.55
0.01
rise in open interest suggesting again a mix of both
DLF
25190000
7.92
141.60
-5.75
long & short positions. PCR-OI has decreased due to
greater part of open interest addition in call options
PFC
8904000
7.90
226.00
-5.01
while implied volatility also jumped higher after 2-3
trading sessions. In call options we saw significant
OI Losers
buildup in 8000 call options, while 7900 and 8100
call options also added decent open interest. Seeing
OI
PRICE
continuous buildup in 8100 call options we believe
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
this level may now act as a resistance for Nifty. On
the other hand in put options 7700 & 7800 strike
APOLLOTYRE
12308000
-9.19
208.60
5.37
prices added good amount of buildup in last trading
JSWENERGY
7384000
-8.97
71.10
1.72
session, we believe 7800 support level for Nifty may
be tested. Maximum buildup in current series in call
PTC
8560000
-8.51
82.40
1.29
options still remains at 8200 strike price and that of
TVSMOTOR
5038000
-6.57
224.10
-2.32
put options is at 7800 strike price.
GLENMARK
1541500
-6.21
719.30
1.86
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.88
0.84
SSLT
36.39
BANKNIFTY
0.86
0.74
PETRONET
49.01
RELIANCE
0.37
0.31
GMRINFRA
95.11
SBIN
0.39
0.60
CAIRN
37.53
INFY
0.49
0.52
ADANIPORTS
51.13
1
Derivative Report
Oct 08, 2014
Strategy Date
Symbol
Strategy
Status
29-09-2014
NIFTY
Long Put
Did not trigger.
07-10-2014
HINDALCO
Ratio Bull Call Spread
Open.
Research Team Tel: 022 - 39357800
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