Derivative Report
July 09,
2015
Nifty Vs OI
Comments
The Nifty futures open interest has decreased by 1.77%
BankNifty futures open interest has decreased by 5.21%
as market closed at 8363.05 levels.
The Nifty July future closed at a premium of 14.95 points
against premium of
5.80 points. The August series
closed at a premium of 55.65 points.
The Implied Volatility of at the money options has
increased from 14.56% to 15.99%.
Nifty PCR-OI has decreased from 1.14 to 1.10 levels.
The total OI of the market is Rs. 2,09,669/- cr. and the
stock futures OI is Rs. 58,846/- cr.
Few of the liquid counters where we have seen high cost
of carry are
JPOWER, SRF, JISLJALEQS, RCOM and
AMTEKAUTO.
View
OI Gainers
Yesterday, FII's sold in both cash market and Index
OI
PRICE
Futures. However the quantum was low, they were
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
net sellers of Rs. 354 in equity and Rs. 271 crores
in Index Futures
VEDL
40434000
28.53
146.60
-8.03
In Index options front, FIIs were net buyer of Rs.
YESBANK
12513500
17.99
801.15
-7.33
1058 crores with rise in open interest. PCR-OI
AMARAJABAT
267500
15.68
868.90
-1.65
decreased with rise in IV’s indicating buying in call
options. We saw good amount of buildup in the
SAIL
39664000
14.41
58.60
-7.28
range of 8300-8500 call options, we believe these
BAJFINANCE
71250
14.23
5227.85
-5.97
are long positions formed by bigger hands.
Whereas, in put options, we hardly saw any
OI Losers
relevant build-up, huge unwinding in 8500 put
OI
PRICE
option was visible. Maximum buildup in current
SCRIP
OI
CHANGE
PRICE
CHANGE
series in seen in 8500 call and 7900 put options.
(%)
(%)
In yesterday’s fall in Nifty we hardly saw any
PIDILITIND
443000
-14.89
564.70
-1.02
shorting position in both Index Futures and Index
UBL
870750
-7.69
1013.70
-0.30
Options. In fact, we are seeing huge buying in call
options. We would suggesting to trade with
KSCL
717000
-7.24
748.55
0.28
positive bias and avoid shorting at current levels.
OFSS
109750
-6.99
3883.95
-0.78
KTKBANK
19084000
-6.73
143.30
-4.72
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.10
0.93
YESBANK
46.14
BANKNIFTY
1.02
0.84
VEDL
55.16
INFY
0.55
0.46
TATAMOTORS
45.36
RELIANCE
0.61
0.58
TATAMTRDVR
41.67
TATASTEEL
0.43
0.50
SAIL
54.43
1
Derivative Report
July 09,
2015
Strategy Date
Symbol
Strategy
Status
June 29, 2015
LT
Ratio Bear Put Spread
Active
July 06, 2015
RELIANCE
Ratio Bull Call Spread
Active
Research Team Tel: 022 - 39357800
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