Derivative Report
September 08, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 2.02%
BankNifty futures open interest has increased by 7.62% as
market closed at 7558.80 levels.
The Nifty September future closed at a premium of 15.70
points against a premium of 9.30 points. The October
series closed at a premium of 53.80 points.
The Implied Volatility of at the money options has
increased from 26.11% to 26.96%.
Nifty PCR-OI has decreased from 0.96 to 0.95 levels.
The total OI of the market is Rs. 2,20,830/- cr. and the
stock futures OI is Rs. 53,987/- cr.
Few of the liquid counters where we have seen high cost of
carry are UNITECH, UPL, ANDHRABANK, DABUR and
AMARAJABAT.
View
OI Gainers
FIIs were net sellers in both cash market segment
OI
PRICE
and in Index Futures. They sold equities to the tune
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
of Rs. 826 crores and Index Futures of worth Rs.
1087 crores with rise in OI, suggesting
JSWENERGY
5076000
8.00
67.85
-5.30
continuation of fresh short formation in last trading
DIVISLAB
734050
7.27
2097.90
-4.10
session.
MOTHERSUMI
6389250
6.16
278.20
-5.29
In Index Options, they were net sellers of Rs. 609
crores with rise in OI. In call options we saw build-
KSCL
1246000
6.13
455.35
0.46
up in the range of 7600-7900 strikes, wherein
ICICIBANK
57887800
6.10
250.25
-3.34
7600 call option added good amount of open
interest expecting some bounce in Nifty. On the
other hand in put options,
7200-7600 strikes
OI Losers
added good amount of build-up, followed by
unwinding in 7800 put options. Maximum OI is
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
seen in 8500 call and 7500 put options.
(%)
(%)
We are witnessing continuous selling in equities by
PIDILITIND
470000
-7.75
555.40
-0.54
bigger hands and majority of positions in Nifty and
COLPAL
538500
-5.05
1848.00
-2.24
BankNifty futures are shorts. We believe it’s a sell
on rise market, one should avoid bottom fishing.
VOLTAS
5179000
-4.71
253.85
-0.29
SYNDIBANK
9340000
-4.54
77.30
-0.83
INDUSINDBK
4588350
-4.26
820.50
-1.52
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.95
0.86
SRTRANSFIN
48.38
BANKNIFTY
0.56
0.61
STAR
67.99
SBIN
0.40
0.39
IDFC
40.95
RELIANCE
0.51
0.48
COLPAL
24.28
LT
0.43
0.38
APOLLOHOSP
42.87
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Derivative Report
September 08, 2015
FII Statistics for 07-September 2015
Turnover on 07-September 2015
Open Interest
Turnover
No. of
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Value
Change
Contracts
(` in cr.)
(%)
INDEX
1201.67
2289.00
(1087.33)
1020953
20852.67
2.39
738784
17559.7
-27.48
Index Futures
FUTURES
INDEX
Index
15396.89
16006.70
(609.81)
3763120
85157.18
2.95
6368263
133452.55
-23.77
OPTIONS
Options
STOCK
1887.52
1680.53
206.99
1822187
43142.89
0.15
647799
16059.2
-25.78
Stock Futures
FUTURES
STOCK
Stock
1567.29
1533.28
34.01
74487
1799.29
5.24
303388
7777.62
-29.51
OPTIONS
Options
20053.38
21509.51
(1456.14)
6680747
150952.04
2.11
8058234
174849.08
-24.62
Total
Total
Nifty Spot = 7558.80
Lot Size = 25
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
7600
154.60
Buy
7500
144.35
45.95
54.05
7645.95
33.10
66.90
7466.90
Sell
7700
108.65
Sell
7400
111.25
Buy
7600
154.60
Buy
7500
144.35
81.70
118.30
7681.70
58.90
141.10
7441.10
Sell
7800
72.90
Sell
7300
85.45
Buy
7700
108.65
Buy
7400
111.25
35.75
64.25
7735.75
25.80
74.20
7374.20
Sell
7800
72.90
Sell
7300
85.45
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Sept. Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Derivative Report
September 08, 2015
Strategy Date
Symbol
Strategy
Status
August 31, 2015
HINDALCO
Long Call
Active
September 07, 2015
RELIANCE
Short Strangle
Active
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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