Derivative Report
Mar 10, 2015
Nifty Vs OI
Comments
The Nifty futures open interest decreased by
3.37%
BankNifty futures open interest has increased by 0.21%
as market closed at 8756.75 levels.
The Nifty March future closed at premium of
28.10
points against a premium of 51.00 points. The April
series closed at a premium of 95.25 points.
The Implied Volatility of at the money options has
increased from 13.47% to 15.54%.
Nifty PCR-OI has decreased from 0.96 to 0.92 levels.
The total OI of the market is Rs. 2,21,055/- cr. and the
stock futures OI is Rs. 73,755/- cr.
Few of the liquid counters where we have seen high cost
of carry are HDFCBANK, STAR, BPCL, DIVISLAB and
SKSMICRO.
OI Gainers
View
OI
PRICE
FIIs were net buyer in cash market segment of worth
SCRIP
OI
CHANGE
PRICE
CHANGE
Rs. 838 crores. In Index Futures they sold significantly
(%)
(%)
of Rs. 1884 crores with decent fall in open interest
indicating long unwinding in last trading session.
IGL
696000
14.10
432.05
-0.15
DIVISLAB
699125
8.58
1762.05
-0.65
In Index Options they bought aggressively of worth
Rs. 2943 crores with rise in open interest suggesting
HINDALCO
34044000
6.06
140.80
-4.97
fresh long formation. PCR-OI decreased with rise in
CAIRN
14037000
4.34
234.85
-2.28
implied volatility indicating buying in call options. We
saw reasonable amount of buildup in 8800-9000
GAIL
7541000
4.20
385.85
-4.74
call options which must be FIIs long positions,
followed by good amount of unwinding in 9300 call
OI Losers
options. On the other hand in put options 8400 strike
added huge buildup but the quantum of open
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
interest addition in call options is on the higher side.
(%)
(%)
Maximum buildup in current series is seen in 9000
call & 8500 put options.
MOTHERSUMI
2905000
-10.70
477.70
-1.07
Yesterday for the first time in current series we saw
BPCL
2431500
-7.95
764.00
-1.40
decent unwinding by FIIs in Index Futures. Most of the
SRTRANSFIN
977000
-6.97
1195.00
0.13
long positions formed back in last two series are still
in system and these are FIIs positions. One should
UNIONBANK
13348000
-5.27
169.60
-1.39
not aggressively short this market.
RECLTD
6539000
-5.09
342.00
-3.08
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.92
0.92
MINDTREE
39.70
BANKNIFTY
0.72
0.69
GAIL
36.61
SBIN
0.38
0.46
IBULHSGFIN
41.10
ITC
0.40
0.34
IRB
47.00
RELIANCE
0.49
0.48
RCOM
55.94
1
Derivative Report
Mar 10, 2015
Strategy Date
Symbol
Strategy
Status
02-03-2015
NIFTY
Long Put
Open
09-03-2015
HEROMOTOCO
Long Call Ladder
Open
Research Team Tel: 022 - 39357800
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