Derivative Report
Jan 09, 2015
Nifty Vs OI
Comments
The Nifty futures open interest decreased by 4.51% while
BankNifty futures open interest has decreased by 1.28%
as market closed at 8234.60 levels.
The Nifty January future closed at premium of 22.65
points against a premium of 39.75 points. The February
series closed at a premium of 75.70 points.
The Implied Volatility of at the money options has
decreased from 16.90% to 14.67%.
Nifty PCR-OI has increased from 0.95 to 1.00 levels.
The total OI of the market is Rs. 1,82,488/- cr. and the
stock futures OI is Rs. 61,302/- cr.
Few of the liquid counters where we have seen high cost
of
carry
are DISHTV, UNITECH, EXIDEIND,
MOTHERSUMI and ENGINERSIN.
View
OI Gainers
OI
PRICE
FIIs were net sellers in cash market segment of worth
SCRIP
OI
CHANGE
PRICE
CHANGE
Rs. 466 crores. In Index Futures also they were net
(%)
(%)
sellers with rise in open interest indicating formation
of short positions in last trading session.
IGL
861000
42.79
454.75
5.35
In Index Options they were net buyers with rise in
DISHTV
21900000
23.90
68.60
3.64
open interest suggesting long formation. PCR-OI
TVSMOTOR
5027000
22.73
296.20
5.68
increased mainly due to open interest addition in put
options with good amount of unwinding in call
PFC
6869000
14.85
279.50
0.25
options, while implied volatility decreased on the
ENGINERSIN
2792000
13.77
224.40
1.73
closing basis. We saw some of open interest addition
in the 8200 put options and we believe these may be
OI Losers
FIIs long position. On the other hand in call options
we hardly saw any relevant buildup, good amount of
OI
PRICE
unwinding was seen in the range of 8100-8400
SCRIP
OI
CHANGE
PRICE
CHANGE
strike prices which may be profit booking by those
(%)
(%)
guys who were long on these strikes. Maximum
AMBUJACEM
4660000
-7.30
226.40
2.53
buildup in current series is seen in 8400 call & 8000
put options.
ICICIBANK
50261250
-6.03
347.45
2.43
SKSMICRO
5009000
-4.68
433.30
4.26
We still maintain our negative stance in market
seeing the quantum of unwinding in Index Futures
NIFTY
18579325
-4.51
8234.60
1.42
from past few days by FIIs. One should adopt sell on
SUNTV
1021000
-4.13
347.75
1.78
rise strategy and avoid going long in market.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.00
1.00
KOTAKBANK
38.73
BANKNIFTY
1.31
0.79
BPCL
37.03
RELIANCE
0.50
0.56
ASIANPAINT
47.68
INFY
0.85
0.81
IGL
44.53
TATASTEEL
0.54
0.50
HINDPETRO
45.72
1
Derivative Report
Jan 09, 2015
Strategy Date
Symbol
Strategy
Status
29-12-2014
NIFTY
Long Put
Loss booked on 02-01-2015.
29-12-2014
NIFTY
Ratio Put Spread
Open.
Research Team Tel: 022 - 39357800
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