Derivative Report
August 10, 2015
Comments
Nifty Vs OI
The Nifty futures open interest has decreased by 0.12%
BankNifty futures open interest has decreased by 6.23%
as market closed at 8564.60 levels.
The Nifty August future closed at a premium of 29.50
points against premium of 26.35 points. The September
series closed at a premium of 69.25 points.
The Implied Volatility of at the money options has
increased from 12.97% to 13.15%.
Nifty PCR-OI remained unchanged at 0.99 levels.
The total OI of the market is Rs. 2,13,910/- cr. and the
stock futures OI is Rs. 66,874/- cr.
Few of the liquid counters where we have seen high cost
of carry are JPPOWER, JPASSOCIAT, RCOM, UNITECH
and IFCI.
View
OI Gainers
Friday, FII's activity in cash market segment was
OI
PRICE
subdued. In Index Futures they were marginal
SCRIP
OI
CHANGE
PRICE
CHANGE
buyers with some rise in OI which may be blend of
(%)
(%)
long and shorts.
MOTHERSUMI
6970500
32.51
350.60
-5.83
In Index options front, FIIs were net buyer of Rs.
BHEL
31662000
16.40
263.40
-7.02
242 crores with rise in open interest. We saw some
buildup in 8800 call options. Whereas, in put
COALINDIA
20510000
13.67
416.85
-3.72
options, 8200 and 8300 strikes added some open
IOC
18609000
11.54
428.90
1.88
interest which may be FII’s long in order to hedge
their longs in Index Futures. Maximum buildup in
ADANIENT
12146500
11.42
90.55
-4.98
current series in seen in 8800 call and 8200 put
options.
OI Losers
Seeing the overall data, we believe Nifty may
OI
PRICE
strengthen further as we are seeing continues fresh
SCRIP
OI
CHANGE
PRICE
CHANGE
buying in Index Futures. Nifty has an immediate
(%)
(%)
resistance at 8700-8750 levels.
STAR
2934000
-10.60
1329.00
0.21
Large cap counters like BHEL, COALINDIA, M&M,
ONGC
25422000
-9.72
283.05
4.35
BPCL and DLF added good amount of open
interest in Friday’s trading session..
JPPOWER
61883000
-5.59
8.10
0.00
UNIONBANK
12398000
-5.52
206.90
-1.78
TATAMTRDVR
18483000
-5.33
268.25
1.42
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.99
0.95
BHEL
46.65
BANKNIFTY
0.91
0.85
HINDPETRO
43.80
RELIANCE
0.42
0.32
ONGC
34.42
TATAMOTORS
0.58
0.47
COALINDIA
36.58
SBIN
0.65
0.66
MOTHERSUMI
60.01
1
Derivative Report
August 10, 2015
Strategy Date
Symbol
Strategy
Status
August 03, 2015
HINDALCO
Bear Put Spread
Active
Research Team Tel: 022 - 39357800
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