Derivative Report
Feb 09, 2015
Nifty Vs OI
Comments
The Nifty futures open interest increased by 0.61% levels
BankNifty futures open interest has decreased by 7.11%
as market closed at 8661.05 levels.
The Nifty February future closed at premium of 50.85
points against a premium of 39.60 points. The March
series closed at a premium of 112.95 points.
The Implied Volatility of at the money options has
decreased from 18.55% to 18.33%.
Nifty PCR-OI has decreased from 0.89 to 0.87 levels.
The total OI of the market is Rs. 2,17,522/- cr. and the
stock futures OI is Rs. 69,644/- cr.
Few of the liquid counters where we have seen high cost
of carry are JPPOWER, GMRINFRA, RELIANCE,
HINDZINC and BOSCHLTD.
View
OI Gainers
FIIs activity in cash market segment was subdued. In
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
Index Futures they sold of worth Rs. 1179 crores with
(%)
(%)
fall in open interest suggesting unwinding of long
positions in last trading session.
AUROPHARMA
9469000
10.42
1108.95
-3.44
There was decent selling in Index Options of worth
CANBK
8263000
9.43
414.75
-3.16
Rs. 1332 crores with rise in open interest indicating
HDIL
25844000
9.32
114.55
8.84
fresh short formation. PCR-OI decreased mainly to
due to open interest addition in call options, while
M&M
5120000
9.31
1149.75
-2.42
implied volatility remained more or less inline on the
SUNTV
1029000
8.66
381.05
-5.58
closing basis. We witness maximum open interest
addition in
9000 options, which may be short
positions. 8800-8900 and 9200 strike prices of call
OI Losers
options also added decent buildup. On the other
OI
PRICE
hand in put options 8300 & 8400 strike price added
SCRIP
OI
CHANGE
PRICE
CHANGE
some buildup hoping market correcting further.
(%)
(%)
MINDTREE
326000
-10.81
1358.70
1.60
Friday we saw FIIs booking profit and the quantum
was also decent but still we don’t see selling in Index
ARVIND
9128000
-9.51
283.10
-1.64
Futures. 8600-8650 is a support for market; we
ALBK
10504000
-7.91
109.45
2.56
believe market will now remain in range of 8600-
8950.
PTC
12624000
-7.75
88.85
-5.27
DISHTV
29264000
-7.71
78.15
0.26
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.87
0.78
TATAMTRDVR
43.51
BANKNIFTY
0.57
0.45
APOLLOTYRE
51.14
BANKBARODA
0.27
0.26
PTC
47.03
RELIANCE
0.47
0.49
SUNPHARMA
30.28
SBIN
0.44
0.52
TATAMOTORS
45.50
1
Derivative Report
Feb 09, 2015
Strategy Date
Symbol
Strategy
Status
02-02-2015
NIFTY
Ratio Bull Call Spread
Open
Research Team Tel: 022 - 39357800
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