Derivative Report
Aug 13, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 3.63% while
BankNifty futures open interest has increased by 2.48%
as market closed at 7727.05 levels.
The Nifty August future closed at premium of 21.20 point
against a premium of 15.45 points. The September
series closed at a premium of 54.65 points.
The Implied Volatility of at the money options has
decreased from 13.56% to 12.45%.
Nifty PCR-OI has increased from 0.79 to 0.89 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 JPPOWER, GMRINFRA, RCOM,
ANDHRABANK and HINDALCO.
OI Gainers
View
OI
PRICE
FIIs were net buyer in cash market segment of worth
SCRIP
OI
CHANGE
PRICE
CHANGE
Rs.
370 crores. In F&O segment they bought
(%)
(%)
significantly of worth Rs. 1390 crores in Index Futures
with fall in open interest indicating covering of short
HDFC
6885250
19.61
1116.40
4.99
positions formed earlier. While in Stock Futures also
COLPAL
345500
14.50
1473.70
-0.39
FIIs were quite active in last two trading sessions, they
were net buyer with marginal rise in open interest
APOLLOHOSP
284750
10.15
1076.70
3.53
yesterday which suggests blend of both long & short
JISLJALEQS
29372000
6.98
94.50
-3.41
positions.
TITAN
5899000
6.81
349.10
2.24
In Index options they bought reasonable with rise in
open interest indicating huge fresh long formation,
OI Losers
PCR-OI has jumped higher due to significant buildup
in call options. We witnessed significant buildup in
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
both 7600 & 7700 put options and we believe this
(%)
(%)
may be FIIs long positions. On the other hand in call
options
8000 strike price showed some buildup
DIVISLAB
533750
-11.85
1474.00
-2.63
followed by decent unwinding in 7600, 7700 and
SSLT
22566000
-6.01
278.35
0.94
7900 strikes which is mostly profit booking.
Maximum open interest in current series is seen in
GODREJIND
2993000
-5.58
333.80
-0.03
8000 call option and of put options has shifted from
GAIL
4087000
-5.50
413.45
5.74
7500 to 7600 strike.
JSWENERGY
6860000
-4.88
77.05
3.97
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.89
0.99
TATAMOTORS
45.83
BANKNIFTY
0.78
0.70
HDFC
39.69
SBIN
0.48
0.47
GAIL
45.55
RELIANCE
0.45
0.27
PTC
61.53
AXISBANK
0.37
0.48
GLENMARK
45.00
1
Derivative Report
Aug 13, 2014
Strategy Date
Symbol
Strategy
Status
04-08-2014
BANKNIFTY
Ratio Put Spread
Open
11-08-2014
NIFTY
Long Put
Loss booked on 12-08-2014.
Research Team Tel: 022 - 39357800
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