Derivative Report
June 12, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 8.24%
BankNifty futures open interest has increased by 12.89%
as market closed at 7965.35 levels.
The Nifty June future closed at a discount of 6.15 points
against discount of 4.40 points. The July series closed at
a premium of 27.90 points.
The Implied Volatility of at the money options has
increased from 16.56% to 17.35%.
Nifty PCR-OI has decreased from 0.87 to 0.84 levels.
The total OI of the market is Rs. 2,18,454/- cr. and the
stock futures OI is Rs. 57,850/- cr.
Few of the liquid counters where we have seen high cost
of carry are UNITECH, RCOM, CAIRN, JPASSOCIAT and
SOUTHBANK.
View
OI Gainers
FII's were sellers in cash market segment; they sold
OI
PRICE
of Rs. 622 crores of equity cash. In Index futures
SCRIP
OI
CHANGE
PRICE
CHANGE
they were net buyers with significant rise in open
(%)
(%)
interest suggesting blend of long and short
CANBK
14680000
24.31
283.80
-3.40
formation in last trading session.
IOB
13396000
18.30
36.00
-4.13
In Index options front, FIIs sold of worth Rs. 176
crores with rise in open interest indicating mix of
BAJFINANCE
42625
12.91
4663.80
2.25
long and short formation. In call options we saw
TATAPOWER
27376000
8.41
69.85
-5.22
significant open interest addition in 8000-8200
strikes; some buildup was also seen in 8300-8400
CASTROLIND
308500
7.49
429.30
-2.48
strikes which may be short formation. On the other
hand in put options 7600-7700 and 7900 strikes
OI Losers
added huge open interest which is FIIs long
positions. Profit booking was visible in 8000 and
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
8100 put options. Maximum buildup in current
(%)
(%)
series is seen in 8500 call and of put options has
got shifted to 7800 strike.
AMARAJABAT
216250
-13.93
875.85
-3.45
APOLLOHOSP
472000
-12.63
1218.85
1.06
Yesterday Nifty surpassed its majort support zone
of 8000 levels. We are also seeing buying in lower
SUNTV
2292500
-8.88
288.50
-2.62
put strike, seeing the above data we believe Nifty
VOLTAS
7011000
-8.85
333.85
-3.04
may remain in pressure. Buying put options can be
a good strategy as IV’s are still low.
PIDILITIND
293500
-8.42
540.00
-2.21
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.84
0.75
ASIANPAINT
37.30
BANKNIFTY
0.62
0.71
TATAPOWER
45.77
SBIN
0.28
0.39
TATAMTRDVR
42.67
SUNPHARMA
0.44
0.43
HEXAWARE
51.41
RELIANCE
0.44
0.52
KOTAKBANK
36.41
1
Derivative Report
June 12, 2015
Strategy Date
Symbol
Strategy
Status
June 01, 2015
INFY
Ratio Bull Call Spread
Active
June 08, 2015
SBIN
Ratio Bull Call Spread
Active
Research Team Tel: 022 - 39357800
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