Derivative Report
Jan 13, 2015
Nifty Vs OI
Comments
The Nifty futures open interest increased by 2.67% while
BankNifty futures open interest has increased by 3.55%
as market closed at 8323.00 levels.
The Nifty January future closed at premium of 37.55
points against a premium of 31.00 points. The February
series closed at a premium of 86.60 points.
The Implied Volatility of at the money options has
increased from 12.34% to 14.30%.
Nifty PCR-OI has increased from 1.10 to 1.16 levels.
The total OI of the market is Rs. 1,99,721/- cr. and the
stock futures OI is Rs. 60,218/- cr.
Few of the liquid counters where we have seen high cost
of carry are
UNITECH, JPPOWER, IFCI, OFSS and
JISLJALEQS.
View
OI Gainers
FIIs were net buyers in cash market segment of worth
Rs. 245 crores. In Index Futures they were net sellers
OI
PRICE
with good amount of rise in open interest indicating
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
short formation in last trading session.
IBULHSGFIN
2567500
22.76
497.60
-0.37
In Index Options they bought marginally with some
rise in open interest suggesting long formation. PCR-
HINDUNILVR
7788500
19.38
896.60
3.74
OI increased mainly due to open interest addition in
DABUR
2106000
13.65
234.75
2.36
put options, while implied volatility also decreased on
the closing basis indicating buying in put options. We
EICHERMOT
265125
9.95
14857.65
1.02
saw good amount of open interest addition in the
UBL
384500
9.23
912.95
1.09
range of 8000-8300 put options and some buildup
was also seen in 7800 put options. We believe these
open interest addition in put options may be FIIs long
OI Losers
position. On the other hand in call options we hardly
OI
PRICE
saw any relevant buildup, some unwinding was
SCRIP
OI
CHANGE
PRICE
CHANGE
witness in 8300 & 8400 strike prices which may be
(%)
(%)
profit booking by those guys who were long on these
DRREDDY
1156250
-9.25
3207.25
1.35
strikes. Maximum buildup in current series is seen in
8400 call & 8000 put options.
TECHM
1835875
-7.14
2754.00
2.44
We still maintain our negative stance in market
EXIDEIND
9148000
-4.55
188.70
-0.68
seeing the quantum of unwinding in Index Futures by
INFY
8277000
-4.27
2115.95
1.58
FIIs from past few days and fresh short formation
BOSCHLTD
106500
-3.40
20326.25
4.34
yesterday. One should adopt sell on rise strategy and
avoid going long in market.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.16
1.00
COALINDIA
34.53
BANKNIFTY
1.26
0.70
BHARATFORG
55.63
INFY
1.05
0.85
INDUSINDBK
28.18
RELIANCE
0.52
0.85
CESC
45.05
TATASTEEL
0.52
0.51
SUNTV
61.90
1
Derivative Report
Jan 13, 2015
Strategy Date
Symbol
Strategy
Status
29-12-2014
NIFTY
Long Put
Loss booked on 02-01-2015.
29-12-2014
NIFTY
Ratio Put Spread
Open.
12-01-2015
ITC
Short Straddle
Open.
Research Team Tel: 022 - 39357800
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