Derivative Report
September 09, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 1.47%
BankNifty futures open interest has decreased by 7.08% as
market closed at 7688.25 levels.
The Nifty September future closed at a premium of 31.15
points against a premium of 15.70 points. The October
series closed at a premium of 68.20 points.
The Implied Volatility of at the money options has
decreased from 26.96% to 24.57%.
Nifty PCR-OI remained unchanged at 0.95 levels.
The total OI of the market is Rs. 2,24,742/- cr. and the
stock futures OI is Rs. 56,186/- cr.
Few of the liquid counters where we have seen high cost of
carry are GMRINFRA, UNITECH, ADANIPOWER, RPOWER
and ANDHRABANK.
OI Gainers
View
OI
PRICE
FIIs were net sellers in cash market segment to the
SCRIP
OI
CHANGE
PRICE
CHANGE
tune of Rs. 659 crores. While in Index Futures they
(%)
(%)
bought of worth Rs. 802 crores with rise in OI,
suggesting fresh long formation in last trading
IBULHSGFIN
5704000
29.01
722.05
0.17
session.
JSWENERGY
6156000
21.28
74.60
9.95
In Index Options, they were net sellers of Rs. 1594
SKSMICRO
4711000
21.21
441.20
-0.97
crores with rise in OI. In call options we saw build-
DHFL
2036500
15.09
432.80
1.30
up in 7700-7800 strikes, followed by unwinding in
8100 and 8200 strike. On the other hand in put
AMARAJABAT
458000
13.93
903.75
-2.94
options, the overall activity was subdued.
Maximum OI is seen in 8500 call and 7500 put
options.
OI Losers
We are witnessing continuous selling in equities by
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
bigger hands and majority of positions in Nifty and
(%)
(%)
BankNifty futures are short. Yesterday Nifty gave
an upswing of more than 100 pts, but surprisingly
APOLLOTYRE
7382000
-8.00
177.80
5.64
we hardly saw any activity in puts. This indicates
MINDTREE
217000
-6.77
1324.30
1.65
longs in put options are still intact. We still believe
it’s a sell on rise market;
7900-7950 is a
AMTEKAUTO
6718000
-6.17
27.45
-5.51
immediate resistance for Nifty.
ENGINERSIN
1407000
-5.70
184.25
4.39
NMDC
12704000
-5.46
94.10
2.84
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.95
0.80
SAIL
78.53
BANKNIFTY
0.61
0.59
YESBANK
68.82
SBIN
0.40
0.36
POWERGRID
35.67
RELIANCE
0.54
0.48
GAIL
66.77
LT
0.48
0.52
JSWSTEEL
63.78
1
Derivative Report
September 09, 2015
Strategy Date
Symbol
Strategy
Status
August 31, 2015
HINDALCO
Long Call
Active
September 07, 2015
RELIANCE
Short Strangle
Active
Research Team Tel: 022 - 39357800
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