Derivative Report
Oct 09, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 0.52% while
BankNifty futures open interest has increased by 1.23%
as market closed at 7842.70 levels.
The Nifty October future closed at premium of 52.80
point against a premium of 38.50 points. The November
series closed at a premium of 101.80 points.
The Implied Volatility of at the money options has
decreased from 13.96% to 13.56%.
Nifty PCR-OI has decreased from 0.88 to 0.86 levels.
The total OI of the market is Rs. 1,78,329/- cr. and the
stock futures OI is Rs. 51,735/- cr.
Few of the liquid counter stocks where we have seen high
cost of carry are TITAN, JISLJALEQS, GODREJIND, UPL
and HDFCBANK.
View
OI Gainers
Yesterday Nifty was under pressure but recovered
from the lower levels of 7815 and closed nearly 10
OI
PRICE
points down. FIIs also participated in this downward
SCRIP
OI
CHANGE
PRICE
CHANGE
move; they sold in cash market segment of worth Rs.
(%)
(%)
1440 crores. In Index Futures they were net seller
ZEEL
6106000
18.86
309.60
0.53
with good amount of fall in open interest indicating
blend of both long unwinding & covering of short
DRREDDY
1115250
14.33
2966.20
-4.27
positions formed earlier.
BHARTIARTL
8152000
13.40
399.70
-0.46
In Index Options FIIs activity was subdued; they were
HDFC
7804250
13.10
1014.65
-0.29
marginal buyer with rise in open interest suggesting
INFY
3876500
12.21
3650.15
-4.38
some buying in Index Options yesterday. PCR-OI
decreased further due to continuous open interest
addition in call options while implied volatility also
OI Losers
plunged nearly 40 basis points. In call options we
OI
PRICE
saw some buildup in 8000 & 8100 strike price which
SCRIP
OI
CHANGE
PRICE
CHANGE
may be short positions as IV’s of call options declined
(%)
(%)
yesterday. Due to continuous open interest addition
OFSS
99500
-8.08
3429.00
-0.72
in 8100 strike maximum buildup in call options has
shifted from 8200 to 8100 strike price and we
DLF
23538000
-6.56
148.85
5.08
believe this level may now act as a resistance for
TVSMOTOR
4750000
-5.72
225.50
0.85
Nifty. On the other we witnessed buyer of 7800 put
options booking profit yesterday, while some fresh
IDFC
47418000
-5.51
138.85
2.28
buildup in out the money put options of 7400 strike
PETRONET
4620000
-4.55
183.30
2.09
price was also observed. Maximum open interest in
put options is seen in 7800 strike price.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.86
0.86
TECHM
29.45
BANKNIFTY
0.90
0.85
INFY
33.55
RELIANCE
0.38
0.42
WIPRO
32.71
INFY
0.52
0.49
HCLTECH
26.36
SBIN
0.43
0.60
DRREDDY
35.48
1
Derivative Report
Oct 09, 2014
Strategy Date
Symbol
Strategy
Status
29-09-2014
NIFTY
Long Put
Did not trigger.
07-10-2014
HINDALCO
Ratio Bull Call Spread
Open.
Research Team Tel: 022 - 39357800
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