Derivative Report
Feb 12, 2015
Nifty Vs OI
Comments
The Nifty futures open interest decreased by 0.31% levels
BankNifty futures open interest has increased by 2.50%
as market closed at 8627.40 levels.
The Nifty February future closed at premium of 43.50
points against a premium of 45.85 points. The March
series closed at a premium of 101.30 points.
The Implied Volatility of at the money options has
decreased from 17.20% to 15.76%.
Nifty PCR-OI has increased from 0.87 to 0.89 levels.
The total OI of the market is Rs. 2,17,522/- cr. and the
stock futures OI is Rs. 69,644/- cr.
Few of the liquid counters where we have seen high cost
of carry are BHARTIARTL, WIPRO, GMRINFRA,
JISLJALEQS and BOSCHLTD.
OI Gainers
View
OI
PRICE
FIIs were net sellers in cash market segment of Rs.
SCRIP
OI
CHANGE
PRICE
CHANGE
371 crores. Yesterday FIIs activity was marginal in
(%)
(%)
both Index Futures & Index Options. They sold of
worth Rs. 202 crores in Index Futures with fall in
GLENMARK
2924000
17.17
748.90
0.15
open interest suggesting unwinding of long positions
SUNTV
1161000
12.07
433.10
4.14
in last trading session.
BATAINDIA
1146250
11.77
1290.85
-2.75
We hardly witness relevant buildup in both call & put
SRTRANSFIN
835750
9.89
1158.85
1.36
options. Decent amount of unwinding was visible in
8600 & 8900 call and 8300 put options. Maximum
UNIONBANK
12309000
9.79
179.70
-0.39
buildup in Nifty options is seen in 9000 call & 8500
put options.
OI Losers
Nifty corrected without any short formation and we
OI
PRICE
believe long positions formed by FIIs last series are
SCRIP
OI
CHANGE
PRICE
CHANGE
still in system. We suggest not going short in this
(%)
(%)
market and staying light.
PETRONET
3942000
-14.19
189.65
3.26
Market may remain in a range of 8350-8400 on the
HDIL
27508000
-9.08
110.30
-2.33
lower side and 8900-8950 on the higher side.
CESC
1111000
-8.48
716.80
6.37
COALINDIA
20547000
-6.88
372.10
0.70
HAVELLS
6023000
-5.30
260.50
4.18
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.89
0.77
SYNDIBANK
67.11
BANKNIFTY
0.55
0.56
EICHERMOT
46.37
BANKBARODA
0.28
0.26
SAIL
52.12
SBIN
0.40
0.34
CESC
50.05
RELIANCE
0.52
0.67
AUROPHARMA
58.47
1
Derivative Report
Feb 12, 2015
Strategy Date
Symbol
Strategy
Status
02-02-2015
NIFTY
Ratio Bull Call Spread
Open
09-02-2015
Reliance
Short Strangle
Open
Research Team Tel: 022 - 39357800
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