Derivative Report
Mar 12, 2015
Nifty Vs OI
Comments
The Nifty futures open interest increased by
0.56%
BankNifty futures open interest has increased by 3.57%
as market closed at 8699.95 levels.
The Nifty March future closed at premium of
52.10
points against a premium of 48.25 points. The April
series closed at a premium of 121.60 points.
The Implied Volatility of at the money options has
increased from 15.84% to 15.93%.
Nifty PCR-OI has increased from 0.94 to 0.95 levels.
The total OI of the market is Rs. 2,31,168.2/- cr. and the
stock futures OI is Rs. 73,417.75/- cr.
Few of the liquid counters where we have seen high cost
of carry are UNITECH, HDFCBANK, IGL, JPPOWER, and
ICICIBANK.
View
OI Gainers
FIIs were net sellers in cash market segment of worth
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
Rs. 444 crores. In Index Futures they bought of Rs.
(%)
(%)
337 crores with marginal change in open interest
indicating blend of short covering & long formation
HCLTECH
3462875
36.17
2061.60
0.35
in last trading session.
JUSTDIAL
1054500
27.76
1147.30
-8.88
In Index Options FIIs activity was muted. We saw
IBULHSGFIN
2940500
14.13
571.65
-4.40
8800-9100 call options added decent open interest
with rise in implied volatility suggesting fresh long
IGL
783000
13.56
441.35
1.39
formation in these higher strikes. On the other hand
MINDTREE
210500
12.27
1401.45
-0.51
in put options 8600 strike added some buildup.
Maximum buildup in current series is seen in 9000
call & 8500 put option.
OI Losers
OI
PRICE
Yesterday we hardly saw any relevant activity; FIIs
SCRIP
OI
CHANGE
PRICE
CHANGE
data still haven’t showed any negative signal in fact
(%)
(%)
we saw buying figure in Index Futures yesterday. Still
JSWENERGY
17712000
-8.25
109.40
-2.50
their long positions are in system and they have also
bought call options of 8800-9000 strikes in this week
ALBK
10202000
-4.76
106.25
0.66
which they are still holding. We suggest not to short
DIVISLAB
647375
-3.56
1777.65
0.45
this market aggressively and trade stock specific.
UPL
3490000
-3.48
427.85
-1.90
CENTURYTEX
7741500
-3.38
575.75
3.38
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.95
0.89
JUSTDIAL
62.16
BANKNIFTY
0.72
0.69
IDEA
47.31
SBIN
0.33
0.37
SUNTV
60.33
RELIANCE
0.46
0.34
BHARTIARTL
50.95
ITC
0.40
0.29
HINDALCO
53.39
1
Derivative Report
Mar 12, 2015
Strategy Date
Symbol
Strategy
Status
02-03-2015
NIFTY
Long Put
Profit booked on 10-03-15
09-03-2015
HEROMOTOCO
Long Call Ladder
Open
Research Team Tel: 022 - 39357800
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