Derivative Report
June 09, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 0.50%
BankNifty futures open interest has increased by 1.06%
as market closed at 8044.15 levels.
The Nifty June future closed at a premium of 0.05 points
against discount of 0.45 points. The July series closed at
a premium of 34.85 points.
The Implied Volatility of at the money options has
increased from 17.56% to 18.43%.
Nifty PCR-OI has decreased from 0.90 to 0.87 levels.
The total OI of the market is Rs. 2,07,004/- cr. and the
stock futures OI is Rs. 58,998/- cr.
Few of the liquid counters where we have seen high cost
of carry are
JPPOWER, UNITECH, IFCI, BEL and
IBREALEST.
View
OI Gainers
FII's were sellers in both cash and future market.
Yesterday they sold of Rs. 749 crores of equity
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
cash; whereas they were net sellers of Rs
200
(%)
(%)
crores in Index futures with fall in open interest
suggesting unwinding of long positions in last
SUNTV
2567000
62.62
280.00
-21.78
trading session.
INDUSINDBK
5842500
13.35
804.30
-2.72
In Index options front, FIIs bought of worth Rs. 349
ADANIENT
6826500
11.73
100.05
-13.34
crores with rise in open interest indicating long
formation. PCR-OI decreased with rise in IV’s
CEATLTD
530500
9.95
659.80
-3.37
indicating buying in call options. We saw good
SOUTHBANK
9603000
9.10
23.00
-1.08
amount of open interest addition in the range of
8100-8400 call options, followed by some
unwinding in 8600 call option. Whereas, in put
OI Losers
options 7800 strike added good amount of open
OI
PRICE
interest. Some unwinding was also visible in 8000-
SCRIP
OI
CHANGE
PRICE
CHANGE
8200 put options. Maximum buildup in current
(%)
(%)
series is seen in 8500 call and 8000 put options.
BRITANNIA
165500
-5.97
2651.65
-2.37
Nifty corrected from 8467 levels mainly due to
APOLLOHOSP
529250
-4.81
1212.25
0.74
long unwinding, some short were also formed but
MINDTREE
203500
-4.57
1361.30
-0.72
the quantum is not that significant. Till we don’t see
meaningful selling by FIIs we won’t suggest
WOCKPHARMA
2738125
-4.51
1319.45
-4.09
shorting at current levels. We believe it’s a sell on
PFC
5086000
-4.47
260.20
-0.99
rise market but we may also see decent bounce so
don’t get carried away.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.87
0.75
SUNTV
124.29
BANKNIFTY
0.63
0.64
ADANIENT
129.92
SBIN
0.30
0.34
PETRONET
32.68
SUNPHARMA
0.43
0.33
CANBK
48.75
RELIANCE
0.51
0.54
TITAN
34.38
1
Derivative Report
June 09, 2015
Strategy Date
Symbol
Strategy
Status
June 01, 2015
INFY
Ratio Bull Call Spread
Active
June 08, 2015
SBIN
Ratio Bull Call Spread
Active
Research Team Tel: 022 - 39357800
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