Derivative Report
Apr 09, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 3.25%
BankNifty futures open interest has increased by 2.61%
as market closed at 8714.40 levels.
The Nifty April future closed at premium of 48.25 points
against a premium of 51.00 points. The May series
closed at a premium of 94.35 points.
The Implied Volatility of at the money options has
decreased from 13.26% to 13.15%.
Nifty PCR-OI has increased from 1.01 to 1.04 levels.
The total OI of the market is Rs. 2,06,210/- cr. and the
stock futures OI is Rs. 67,396/- cr.
Few of the liquid counters where we have seen high cost
of carry are ZEEL, JPPOWER, RCOM, POWERGRID and
IOC.
OI Gainers
View
OI
PRICE
FIIs were net sellers in cash market segment of worth
SCRIP
OI
CHANGE
PRICE
CHANGE
Rs. 479 crores. While in Index Futures they were net
(%)
(%)
buyers of worth Rs. 1173 crores with rise in open
interest suggesting long formation in last trading
RECLTD
22681000
211.34
332.20
3.31
session.
SUNTV
2010000
40.27
387.95
-5.27
In Index Options they were marginal sellers with rise
MINDTREE
323250
28.78
1519.20
3.34
in open interest indicating blend short & long
BPCL
3391000
15.81
825.75
3.02
formation. In call options 8800 & 9000 strikes added
decent amount of buildup, we believe these are short
COLPAL
639875
15.76
2109.05
0.06
positions. Unwinding was also visible in 8500 &
8700 call options. On the other hand in put options
OI Losers
8500-8700 strikes added huge buildup. Maximum
buildup in current series is seen in 9000 call & 8400
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
put option.
(%)
(%)
Yesterday we saw good amount of buildup in Index
ARVIND
7022000
-8.44
281.05
0.09
Futures and we believe FIIs have formed these long
positions. Nifty has resistance near 8800-8850 levels
JSWENERGY
12200000
-7.88
119.10
-0.29
which may be tested, but we won’t suggested to go
IRB
6701000
-5.81
264.85
4.46
aggressively long as from start of this series we have
been seeing huge buying in put options.
RELINFRA
6135500
-5.32
455.55
2.22
TATASTEEL
26042500
-4.90
338.30
0.85
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.04
0.97
COALINDIA
38.24
BANKNIFTY
0.81
0.74
RELIANCE
32.60
RELIANCE
0.61
0.48
IRB
40.59
SBIN
0.51
0.45
CROMPGREAV
40.24
AXISBANK
0.38
0.53
HINDPETRO
43.03
1
Derivative Report
Apr 09, 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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