Derivative Report
Sept 10, 2014
Comments
Nifty Vs OI
The Nifty futures open interest decreased by 3.73% while
BankNifty futures open interest has decreased by 2.47%
as market closed at 8152.92 levels.
The Nifty September future closed at premium of 29.25
point against a premium of 19.20 points. The October
series closed at a premium of 73.35 points.
The Implied Volatility of at the money options has
increased from 11.88% to 11.91%.
Nifty PCR-OI has increased from 0.97 to 0.98 levels.
The total OI of the market is Rs. 1,85,229/- cr. and the
stock futures OI is Rs. 54,283/- cr.
Few of the liquid counter stocks where we have seen high
cost of carry are CIPLA, MCLEODRUSS, HDFCBANK, UPL
and JSWENERGY.
View
OI Gainers
Yesterday Nifty was under pressure and it closed on a
slightly negative note. FIIs were net buyer in cash
OI
PRICE
market segment of worth Rs. 479 crores. In Index
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
Futures they were net seller with fall in open interest
indicating unwinding of long positions formed earlier
HAVELLS
4860000
18.72
287.00
0.31
in last trading session.
APOLLOHOSP
371750
12.65
1202.35
1.45
In Index Options they were net seller with rise in open
ACC
1496000
10.55
1545.10
-0.19
interest which suggests selling pressure. In call
options we hardly saw any reasonable amount of
SUNTV
2486000
9.08
350.00
-0.79
buildup, 8500 strike added majority of buildup. On
TATACHEM
3956000
7.06
411.50
-1.23
the other hand in put options 8100 strike added
some buildup which may be short positions formed
by FIIs. Maximum buildup in current series is seen in
OI Losers
8200 call and 8000 put options.
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
Large cap counter where we saw good amount of
(%)
(%)
addition in open interest are ACC, CIPLA, HCLTECH,
TATAMOTORS and BHARTIARTL.
NMDC
20928000
-6.77
181.65
-1.46
IDEA
15618000
-6.09
174.75
5.01
HDIL
24672000
-5.69
94.40
-0.79
IOC
4613000
-4.85
397.65
-1.08
UBL
524000
-4.81
734.45
-0.08
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.98
1.12
L&TFH
33.44
BANKNIFTY
0.95
0.97
NHPC
45.84
RELIANCE
0.39
0.39
ABIRLANUVO
36.64
SBIN
0.54
0.49
IDEA
43.70
JINDALSTEL
0.79
0.63
ASHOKLEY
58.57
1
Derivative Report
Sept 10, 2014
Strategy Date
Symbol
Strategy
Status
02-09-2014
DLF
Long call ladder
Open.
08-09-2014
NIFTY
Long put ladder
Open.
Research Team Tel: 022 - 39357800
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