Derivative Report
Nov 10, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 1.96% while
BankNifty futures open interest has decreased by 3.88%
as market closed at 8337.00 levels.
The Nifty November future closed at premium of 44.65
points against a premium of
41.85 points. The
December series closed at a premium of 103.60 points.
The Implied Volatility of at the money options has
increased from 12.00% to 12.10%.
Nifty PCR-OI has increased from 0.96 to 0.97 levels.
The total OI of the market is Rs. 2,04,024/- cr. and the
stock futures OI is Rs. 56,143/- cr.
Few of the liquid counter stocks where we have seen high
cost of carry are GMRINFRA, UNITECH, HDFCBANK,
UBL and PTC.
View
OI Gainers
Friday Nifty was under some pressure but it managed
to recover in second half and closed flat. FIIs
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
continue significant buying in cash market segment;
(%)
(%)
they bought of worth Rs. 2537 crores. In Index
Futures they were net buyer with rise in open interest
HEROMOTOCO
2681875
46.57
2887.60
-1.99
which suggests continuation of fresh buying.
TATACHEM
5535000
27.65
418.85
0.96
In Index Options they were net buyer with rise in
PETRONET
5974000
17.55
201.10
0.00
open interest signifying that these guys are going
long in options. PCR-OI increased further while
RANBAXY
8565500
12.39
667.45
1.86
implied volatility also increased marginally indicating
KOTAKBANK
3778250
12.04
1122.90
-0.44
buying in put option. We witnessed good amount of
open interest addition in 7800 & 8400 put options,
8100 strike price also added some buildup in last
OI Losers
trading sessions. 8000 put option has maximum
OI
PRICE
open interest and this level may act as major support
SCRIP
OI
CHANGE
PRICE
CHANGE
for Nifty. In call options 8400- 8500 & 8700 strike
(%)
(%)
price added some open interest and we believe these
COLPAL
457875
-10.07
1780.45
3.63
are also long positions. Maximum open interest in
call options is witnessed in 8500 call options.
DLF
23020000
-9.24
134.50
5.98
IBREALEST
41212000
-7.65
75.05
3.58
Seeing the quantum of buying in Index Futures and
significant buildup in out of the money call options
BPCL
2897000
-6.80
759.15
2.61
we believe momentum while remain strong. One
ASHOKLEY
67339000
-6.73
47.45
1.17
should adopt buy on dip strategy.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.97
1.09
COLPAL
27.32
BANKNIFTY
1.63
1.26
DRREDDY
36.09
RELIANCE
0.50
0.53
ZEEL
41.29
SBIN
0.39
0.56
GLENMARK
41.75
INFY
0.78
0.70
HINDPETRO
49.03
1
Derivative Report
Nov 10, 2014
Strategy Date
Symbol
Strategy
Status
03-11-2014
NIFTY
Long Call
Open
Research Team Tel: 022 - 39357800
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