Derivative Report
August 13, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has decreased by 3.03%
BankNifty futures open interest has increased by 7.90%
as market closed at 8349.45 levels.
The Nifty August future closed at a premium of 16.00
points against premium of 28.45 points. The September
series closed at a premium of 54.60 points.
The Implied Volatility of at the money options has
increased from 14.71% to 16.98%.
Nifty PCR-OI has decreased from 0.92 to 0.87 levels.
The total OI of the market is Rs. 2,23,809/- cr. and the
stock futures OI is Rs. 65,195/- cr.
Few of the liquid counters where we have seen high cost
of carry are JPPOWER, UNITECH, BEL, APOLLOHOSP and
UCOBANK.
View
OI Gainers
Yesterday Nifty plunged more than 100 points; FIIs
OI
PRICE
also actively participated in this fall. They were net
SCRIP
OI
CHANGE
PRICE
CHANGE
sellers in both cash & Index Futures in huge
(%)
(%)
quantum. They sold equities of Rs.1855 crores and
HINDALCO
45940000
18.53
96.35
-6.91
Index Futures of worth Rs.2500 crores with fall in
OI. This suggests long unwinding in last trading
SBIN
68985000
9.56
257.70
-4.63
session.
PFC
10117000
8.64
238.60
-3.75
In Index Options front, they bought significantly to
TATASTEEL
37627000
7.99
249.95
0.73
the tune of Rs.2732 crores with rise in OI. PCR-OI
COALINDIA
26606000
7.93
373.15
-5.47
decreased further with rise in IV’s indicating
buying in call options. In call options we saw 8400-
OI Losers
8600 strikes adding meaningful build-up. While in
put options, 8300 strike added huge OI, followed
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
by decent unwinding in
8400-8600 strikes.
(%)
(%)
Maximum open interest is visible in 8700 call and
8200 put options.
APOLLOTYRE
13638000
-17.70
188.10
2.76
PETRONET
3954000
-10.62
190.15
0.48
Seeing yesterday’s fall with good volume we
believe Nifty may breach its support zone of 8250-
AMBUJACEM
6096000
-8.54
223.65
0.00
8300. BankNifty added good amount of fresh
SUNPHARMA
12994250
-7.98
869.80
3.30
shorts yesterday, suggesting further pain.
ANDHRABANK
14324000
-7.92
71.45
-2.59
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.87
0.90
IOC
48.09
BANKNIFTY
0.66
0.68
KSCL
49.79
SBIN
0.35
0.32
HINDPETRO
54.50
RELIANCE
0.39
0.44
VEDL
56.96
TATAMOTORS
0.46
0.49
HINDALCO
51.00
1
Derivative Report
August 13, 2015
Strategy Date
Symbol
Strategy
Status
August 03, 2015
HINDALCO
Bear Put Spread
Profit booked on August 12, 2015
August 10, 2015
BANKNIFTY
Long Strangle
Profit booked on August 12, 2015
Research Team Tel: 022 - 39357800
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