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
DISCLAIMER
This document is solely for the personal information of the recipient, and must not be singularly used as the basis of any investment
decision. Nothing in this document should be construed as investment or financial advice. Each recipient of this document should
make such investigations as they deem necessary to arrive at an independent evaluation of an investment in the securities of the
companies referred to in this document (including the merits and risks involved), and should consult their own advisors to determine
the merits and risks of such an investment.
Angel Broking Pvt. Limited, its affiliates, directors, its proprietary trading and investment businesses may, from time to time, make
investment decisions that are inconsistent with or contradictory to the recommendations expressed herein. The views contained in
this document are those of the analyst, and the company may or may not subscribe to all the views expressed within.
Reports based on technical and derivative analysis center on studying charts of a stock's price movement, outstanding positions and
trading volume, as opposed to focusing on a company's fundamentals and, as such, may not match with a report on a company's
fundamentals.
The information in this document has been printed on the basis of publicly available information, internal data and other reliable
sources believed to be true, but we do not represent that it is accurate or complete and it should not be relied on as such, as this
document is for general guidance only. Angel Broking Pvt. Limited or any of its affiliates/ group companies shall not be in any way
responsible for any loss or damage that may arise to any person from any inadvertent error in the information contained in this
report. Angel Broking Pvt. Limited has not independently verified all the information contained within this document. Accordingly, we
cannot testify, nor make any representation or warranty, express or implied, to the accuracy, contents or data contained within this
document. While Angel Broking Pvt. Limited endeavours to update on a reasonable basis the information discussed in this material,
there may be regulatory, compliance, or other reasons that prevent us from doing so.
This document is being supplied to you solely for your information, and its contents, information or data may not be reproduced,
redistributed or passed on, directly or indirectly.
Angel Broking Pvt. Limited and its affiliates may seek to provide or have engaged in providing corporate finance, investment
banking or other advisory services in a merger or specific transaction to the companies referred to in this report, as on the date of
this report or in the past.
Neither Angel Broking Pvt. Limited, nor its directors, employees or affiliates shall be liable for any loss or damage that may arise
from or in connection with the use of this information.
Note: Please refer to the important `Stock Holding Disclosure' report on the Angel website (Research Section). Also, please refer to
the latest update on respective stocks for the disclosure status in respect of those stocks. Angel Broking Pvt. Limited and its affiliates
may have investment positions in the stocks recommended in this report.
Derivative Research Team
For Private Circulation Only
SEBI Registration No: INB 010996539
3