Derivative Report
Nov 11, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 0.25% while
BankNifty futures open interest has decreased by 3.53%
as market closed at 8344.25 levels.
The Nifty November future closed at premium of 35.25
points against a premium of
44.65 points. The
December series closed at a premium of 85.45 points.
The Implied Volatility of at the money options has
decreased from 12.10% to 11.65%.
Nifty PCR-OI has increased from 0.97 to 1.00 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 HDFCBANK, PTC, IFCI, UNITECH and
RELIANCE.
View
OI Gainers
Yesterday Nifty was under some pressure but it
OI
PRICE
managed to recover in second half and gave a
SCRIP
OI
CHANGE
PRICE
CHANGE
closing in green. FIIs continue significant buying in
(%)
(%)
cash market segment; they bought of worth Rs. 355
HAVELLS
4462500
17.24
304.30
5.51
crores. In Index Futures they were marginal seller with
some rise in open interest which suggests some short
POWERGRID
21294000
15.26
148.10
2.37
formations.
TATACHEM
6196000
11.94
423.70
1.24
In Index Options they were net seller of worth Rs. 566
ADANIPORTS
7648000
9.55
290.70
-0.65
crores with rise in open interest signifying that these
MOTHERSUMI
4241500
7.43
410.30
-4.65
guys have started going short in options. PCR-OI
increased further while implied volatility decreased
indicating selling in put option. We witnessed good
OI Losers
amount of open interest addition in
8300 put
OI
PRICE
options, 8100 & 8400 strike price also added some
SCRIP
OI
CHANGE
PRICE
CHANGE
buildup in last trading sessions. We believe these are
(%)
(%)
short formation by FIIs in put options. On the other
COLPAL
374375
-18.24
1877.30
5.30
hand in call options 8500 & 8600 strike price added
good amount of open interest in the hope market
PETRONET
5388000
-9.81
200.35
-0.77
breaching near these levels. Maximum open interest
SRTRANSFIN
1400750
-8.00
967.90
-0.81
in call options is witnessed in 8500 strike price & of
put remains at 8000 levels.
ASHOKLEY
62735000
-6.84
49.35
3.68
We believe momentum will still remain positive; one
COALINDIA
12564000
-5.78
349.10
1.22
should adopt buy on dip strategy.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.00
1.02
ITC
28.32
BANKNIFTY
1.48
1.03
COLPAL
36.27
RELIANCE
0.47
0.46
BHARATFORG
50.09
SBIN
0.41
0.57
HAVELLS
49.54
INFY
0.84
0.89
MOTHERSUMI
45.90
1
Derivative Report
Nov 11, 2014
Strategy Date
Symbol
Strategy
Status
03-11-2014
NIFTY
Long Call
Open
10-11-2014
RELIANCE
Short Strangle
Open
Research Team Tel: 022 - 39357800
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