Derivative Report
Nov 12, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 0.37% while
BankNifty futures open interest has increased by 3.73%
as market closed at 8362.65 levels.
The Nifty November future closed at premium of 33.20
points against a premium of
35.25 points. The
December series closed at a premium of 83.75 points.
The Implied Volatility of at the money options has
decreased from 11.65% to 11.45%.
Nifty PCR-OI remains unchanged at 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, RELIANCE, GMRINFRA,
MINDTREE and KOTAKBANK.
View
OI Gainers
FIIs continue buying in cash market segment; they
OI
PRICE
bought of worth Rs. 458 crores. In Index Futures they
SCRIP
OI
CHANGE
PRICE
CHANGE
were net seller with some rise in open interest which
(%)
(%)
suggests some fresh short formations in yesterday’s
UNIONBANK
9302000
21.79
219.00
3.38
trading session.
TVSMOTOR
4815000
17.12
248.35
-1.01
In Index Options they were net seller of worth Rs. 769
crores with rise in open interest signifying that these
BANKINDIA
9507000
14.79
293.70
2.89
guys are continuously going short in options from last
JISLJALEQS
35908000
12.47
87.50
7.98
two trading sessions. PCR-OI remained subdued
KTKBANK
19718000
10.30
137.00
6.65
while implied volatility decreased further. We are
observing good amount of open interest addition in
8300 put options from last two trading sessions, we
OI Losers
believe these are short formation by FIIs. On the
OI
PRICE
other hand in call options 8400 & 8600 strike price
SCRIP
OI
CHANGE
PRICE
CHANGE
added some open interest. Maximum open interest in
(%)
(%)
call options is witnessed in 8500 strike price & of put
CESC
1871000
-11.89
686.35
3.53
remains at 8000 levels.
APOLLOTYRE
9788000
-6.60
233.30
-1.33
Seeing continuous selling in
8300 put options
indicates Nifty may take some support near these
ABIRLANUVO
1634250
-6.21
1726.95
0.24
levels. The quantum of short is minor in nature than
ULTRACEMCO
867875
-5.63
2646.60
2.47
the quantum of long position. On should still trade
with positive bias.
CROMPGREAV
17420000
-5.62
195.80
1.19
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.00
1.06
KTKBANK
53.96
BANKNIFTY
1.55
0.91
INDIAVIX
88.97
RELIANCE
0.46
0.36
JISLJALEQS
69.14
SBIN
0.44
0.56
SRTRANSFIN
47.88
TATASTEEL
0.60
0.54
ADANIENT
37.09
1
Derivative Report
Nov 12, 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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