May 11, 2015
Nifty Vs OI
The Nifty futures open interest has decreased by 7.32%
BankNifty futures open interest has decreased by 12.33%
as market closed at 8191.50 levels.
The Nifty May future closed at premium of 19.05 points
against a premium of 24.85 points. The June series
closed at a premium of 48.75 points.
The Implied Volatility of at the money options has
decreased from 19.18% to 18.27%.
Nifty PCR-OI has increased from 0.94 to 0.97 levels.
The total OI of the market is Rs. 1,99,328/- cr. and the
stock futures OI is Rs. 57,818/- cr.
Few of the liquid counters where we have seen high cost
of carry are CENTURYTEX, COLPAL, TVSMOTOR,
BOSCHLTD and JINDALSTEL.
FII's continued to sell in cash market, yesterday they
sold of Rs. 437 crores of equity cash, whereas they
bought of Rs. 194 crores in Index futures with fall
in open interest suggesting covering of some short
In Index Options front, FIIs bought significantly of
worth Rs. 2122 crores with rise in open interest.
PCR-OI increased mainly due to majority of open
interest addition in put options with rise in put IV’s
indicating long formation. We continue to witness
further OI addition in 7700 and 8100 put options,
while in call options some buildup was seen in
8600 strike which may be short
Seeing continues selling in cash and Future market
with buildup in lower put strikes we believe market
will still remain in pressure. We may see some
bounce in market which may be a shorting
May 11, 2015
FII Statistics for 08-May2015
Turnover on 08-May2015
Nifty Spot = 8191.50
Lot Size = 25
Note: Above mentioned Bullish or Bearish Spreads in Nifty (May Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
May 11, 2015
Bull Call Spread
Research Team Tel: 022 - 39357800
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