Derivative Report
Aug 11, 2014
Comments
Nifty Vs OI
The Nifty futures open interest decreased by 6.15% while
BankNifty futures open interest has increased by 7.72%
as market closed at 7568.55 levels.
The Nifty August future closed at premium of 23.10 point
against a premium of 20.40 points. The September
series closed at a premium of 61.00 points.
The Implied Volatility of at the money options has
increased from 13.03% to 13.56%.
Nifty PCR-OI has decreased from 0.84 to 0.79 levels.
The total OI of the market is Rs. 1,67,167/- cr. and the
stock futures OI is Rs. 51,227/- cr.
Few of the liquid counters stocks where we have seen
high cost of carry are TATAPOWER, LICHSGFIN,
TATACOMM, TATAMTRDVR and SSLT.
OI Gainers
View
OI
PRICE
FIIs were net seller in cash market segment of worth
SCRIP
OI
CHANGE
PRICE
CHANGE
Rs.
503 crores. In F&O segment they sold
(%)
(%)
significantly in Index Futures with fall in open interest
indicating unwinding of long positions formed earlier
NHPC
84984000
15.79
21.95
-2.44
in last trading session.
TATAMOTORS
17591000
12.49
432.90
-2.03
In Index options FIIs were net buyer with rise in open
SSLT
22774000
7.80
267.80
-5.87
interest indicating some fresh long formation, PCR-OI
AMBUJACEM
10648000
7.51
203.45
-3.31
decreased in last trading session mainly due to
buildup in call options. 7600 & 7700 strike price of
JUBLFOOD
1525000
7.04
1126.15
-5.05
call options added good amount of buildup which we
believe are long positions formed by FIIs. On the
OI Losers
other hand in put options decent amount of buildup
was seen in 7100 strike price followed by unwinding
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
in 7600 & 7700 strikes. Maximum open interest in
(%)
(%)
current series is seen in
8000 call & 7500 put
options.
OFSS
198125
-26.11
3442.30
1.27
APOLLOHOSP
287500
-25.47
1014.95
2.33
HEXAWARE
6344000
-18.18
145.35
2.60
BHARATFORG
1938000
-16.68
736.00
-2.75
GLENMARK
422500
-14.56
658.75
-1.79
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.79
0.88
SSLT
45.39
BANKNIFTY
0.79
0.67
IGL
37.84
RELIANCE
0.44
0.34
JUBLFOOD
50.77
SBIN
0.51
0.66
IOC
48.77
AXISBANK
0.34
0.41
ORIENTBANK
52.26
1
Derivative Report
Aug 11, 2014
Strategy Date
Symbol
Strategy
Status
04-08-2014
BANKNIFTY
Ratio Put Spread
Open
Research Team Tel: 022 - 39357800
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