Derivative Report
July 10,
2015
Nifty Vs OI
Comments
The Nifty futures open interest has decreased by 1.51%
BankNifty futures open interest has decreased by 3.39%
as market closed at 8328.55 levels.
The Nifty July future closed at a premium of 17.55 points
against premium of 14.95 points. The August series
closed at a premium of 58.55 points.
The Implied Volatility of at the money options has
decreased from 15.99% to 15.72%.
Nifty PCR-OI has decreased from 1.10 to 1.05 levels.
The total OI of the market is Rs. 2,13,920/- cr. and the
stock futures OI is Rs. 59,605/- cr.
Few of the liquid counters where we have seen high cost
of carry are ADANIPOWER, TATAMTRDVR, UNITECH, OIL
and ENGINERSIN.
View
OI Gainers
Yesterday, FII's sold in both cash market and Index
OI
PRICE
Futures. They were net sellers of Rs. 254 in equity
SCRIP
OI
CHANGE
PRICE
CHANGE
and in Index Futures they sold significantly of
(%)
(%)
worth Rs. 1247 crores with fall in open interest.
This suggest unwinding of long positions in Index
BAJFINANCE
92500
29.82
5045.30
-3.49
Futures.
OIL
890000
21.25
424.40
-1.77
In Index options front, FIIs were net buyer of Rs.
BATAINDIA
821000
14.83
1141.15
0.59
767 crores with rise in open interest. PCR-OI
BPCL
4793500
14.79
871.10
-5.38
decreased further with rise in IV’s indicating
buying in call options. We saw good amount of
UPL
9593000
12.85
514.80
-3.03
buildup in the range of 8300-8600 call options,
wherein 8400 added huge build-up. We believe
OI Losers
this build-up in call options are long positions
OI
PRICE
formed by bigger hands. Whereas, in put options,
SCRIP
OI
CHANGE
PRICE
CHANGE
some build-up was seen in 7700 put, followed by
(%)
(%)
unwinding in 8000 put option. Maximum buildup
BANKINDIA
12061000
-8.89
179.60
2.37
in current series in seen in 8500 call and 7900 put
ALBK
7830000
-8.42
92.05
4.01
options.
APOLLOHOSP
405750
-4.75
1320.60
0.75
Seeing the over-all data we believe market may
trade in a broader range of 8000 to 8600. We
ANDHRABANK
15004000
-3.62
71.20
2.37
suggest the trade stock specific in this market.
INDUSINDBK
4298500
-3.62
891.05
0.83
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.05
0.84
BPCL
39.81
BANKNIFTY
0.98
0.74
TCS
23.79
INFY
0.52
0.60
BHEL
39.40
TCS
0.80
0.64
ALBK
42.84
RELIANCE
0.63
0.47
LT
26.56
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Derivative Report
July 10,
2015
FII Statistics for 09-July 2015
Turnover on 09-July 2015
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Value
Change
Contracts
(` in cr.)
(%)
INDEX
5,19,516
13525.16
-48.40
1106.89
2354.02
(1247.13)
727151
16253.83
(2.57)
Index Futures
FUTURES
INDEX
Index
11299.21
10531.92
767.29
3120982
76709.60
2.99
55,76,087
124368.08
-45.13
OPTIONS
Options
STOCK
7,77,565
21208.63
-27.82
1860.85
2357.81
(496.97)
1720940
46695.34
1.06
Stock Futures
FUTURES
STOCK
Stock
1547.39
1623.97
(76.59)
89210
2391.41
4.06
4,28,486
12401.65
-10.36
OPTIONS
Options
15814.33
16867.72
(1053.39)
5658283
142050.18
1.67
73,01,654
171503.52
-42.08
Total
Total
Nifty Spot = 8328.55
Lot Size = 25
Bull-Call Spreads
Bear-Put Spreads
Action
Strike Price
Risk
Reward BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8400
100.20
Buy
8300
109.25
39.30
60.70
8439.30
32.20
67.80
8267.80
Sell
8500
60.90
Sell
8200
77.05
Buy
8400
100.20
Buy
8300
109.25
66.05
133.95
8466.05
55.35
144.65
8244.65
Sell
8600
34.15
Sell
8100
53.90
Buy
8500
60.90
Buy
8200
77.05
26.75
73.25
8526.75
23.15
76.85
8176.85
Sell
8600
34.15
Sell
8100
53.90
Note: Above mentioned Bullish or Bearish Spreads in Nifty (July Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Derivative Report
July 10,
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
E-mail: [email protected]
Website: www.angelbroking.com
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