Derivative Report
Nov 13, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 2.75% while
BankNifty futures open interest has increased by 7.05%
as market closed at 8383.30 levels.
The Nifty November future closed at premium of 35.50
points against a premium of
35.25 points. The
December series closed at a premium of 86.55 points.
The Implied Volatility of at the money options has
decreased from 11.45% to 11.08%.
Nifty PCR-OI has increased from 1.00 to 1.04 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, LUPIN,
JSWENERGY and IFCI.
View
OI Gainers
FIIs continue buying in cash market segment; they
OI
PRICE
bought of worth Rs. 459 crores. In Index Futures they
SCRIP
OI
CHANGE
PRICE
CHANGE
were net buyers with rise in open interest which
(%)
(%)
suggests continuation of some fresh long formation
APOLLOHOSP
342000
14.38
1142.55
0.18
again after last two trading sessions.
OFSS
93500
14.20
3236.85
-2.74
In Index Options they bought significantly of worth
Rs. 1184 crores with some rise in open interest
RECLTD
7616000
12.80
302.80
1.74
signifying mix of long formation and covering of
MRF
52125
12.40
32286.10
-0.93
short positions formed earlier. PCR-OI increased
ADANIPORTS
8679000
10.89
300.70
3.28
further while implied volatility declined indicating
selling pressure in put options. We are observing
good amount of open interest addition in 8300 &
OI Losers
8400 put options; we believe these are blend of both
OI
PRICE
long & short positions. On the other hand in call
SCRIP
OI
CHANGE
PRICE
CHANGE
options 8500-8700 strike prices added some open
(%)
(%)
interest. Maximum open interest in call options is
SRTRANSFIN
1151250
-13.34
1039.20
1.82
witnessed in 8500 strike price & of put has shifted
from 8000 to 8300 levels.
UNIONBANK
8388000
-9.83
220.80
0.57
Seeing continuous selling in 8300 put options we
BANKBARODA
3567000
-8.10
1018.80
0.33
believe Nifty may take support near these levels. One
MINDTREE
411750
-6.15
1116.25
1.96
should trade with the positive bias & adopt buy on
dip strategy.
HEXAWARE
9852000
-5.97
212.50
-0.14
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.04
1.01
M&MFIN
47.29
BANKNIFTY
1.83
1.04
ASHOKLEY
54.07
RELIANCE
0.44
0.34
ABIRLANUVO
40.68
SBIN
0.44
0.50
UPL
48.50
TATASTEEL
0.57
0.61
POWERGRID
28.74
1
Derivative Report
Nov 13, 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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