Derivative Report
Aug 12, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 2.26% while
BankNifty futures open interest has decreased by 2.08%
as market closed at 7625.95 levels.
The Nifty August future closed at premium of 15.45 point
against a premium of 20.40 points. The September
series closed at a premium of 52.05 points.
The Implied Volatility of at the money options has
increased from 13.03% to 13.56%.
Nifty PCR-OI remains unchanged at 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 GMRINFRA, TATAMTRDVR,
HDFCBANK, FEDERALBNK and IRB.
OI Gainers
View
OI
PRICE
FIIs were net seller in cash market segment of worth
SCRIP
OI
CHANGE
PRICE
CHANGE
Rs. 162 crores. In F&O segment they were net buyer
(%)
(%)
in Index Futures with rise in open interest indicating
some long formation in last trading session. In Stock
GAIL
4325000
37.65
390.40
-4.33
Futures FIIs were quite active yesterday, they bought
SUNTV
1132000
31.78
397.75
-4.36
of worth Rs. 498 crores with marginal rise in open
interest which suggests blend of both long & short
HDFC
5756250
16.29
1063.20
3.24
positions.
TATAMOTORS
20309000
15.45
446.55
3.14
In Index options FIIs were net buyer with rise in open
M&M
2769500
14.68
1308.60
6.44
interest indicating some fresh long formation, PCR-OI
remained unchanged while implied volatility
OI Losers
increased. We saw some fresh buildup in 8000 call
options which is strengthening the resistance level of
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
8000 mark. On the other hand in put options decent
(%)
(%)
amount of buildup was seen in 7600 strike price
which maybe long positions formed by FIIs.
OFSS
161625
-18.42
3447.45
0.11
Maximum open interest in current series is seen in
M&MFIN
4905000
-12.95
260.30
5.68
8000 call & 7500 put options.
APOLLOHOSP
258500
-10.09
1036.50
2.42
YESBANK
8503000
-6.01
533.95
2.19
HINDPETRO
7251000
-4.92
409.10
2.49
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.79
0.79
M&M
43.00
BANKNIFTY
0.72
0.77
AUROPHARMA
53.59
SBIN
0.49
0.53
M&MFIN
47.28
RELIANCE
0.44
0.29
GAIL
38.48
AXISBANK
0.35
0.40
HDFC
33.47
1
Derivative Report
Aug 12, 2014
Strategy Date
Symbol
Strategy
Status
04-08-2014
BANKNIFTY
Ratio Put Spread
Open
11-08-2014
NIFTY
Long Put
Open
Research Team Tel: 022 - 39357800
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