Derivative Report
Oct 13, 2014
Comments
Nifty Vs OI
The Nifty futures open interest decreased by 5.74% while
BankNifty futures open interest has decreased by 3.23%
as market closed at 7859.95 levels.
The Nifty October future closed at premium of 26.85
point against a premium of 29.80 points. The November
series closed at a premium of 74.80 points.
The Implied Volatility of at the money options has
increased from 11.92% to 13.61%.
Nifty PCR-OI has increased from 0.87 to 0.88 levels.
The total OI of the market is Rs. 1,94,997/- cr. and the
stock futures OI is Rs. 53,015/- cr.
Few of the liquid counter stocks where we have seen high
cost of carry are NHPC, JUSTDIAL, HEXAWARE,
IBREALEST and WIPRO.
View
OI Gainers
Friday Nifty plunged
100 points and FIIs also
participated in this fall, they were net seller in cash
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
market segment of worth Rs. 719 crores. In Index
(%)
(%)
Futures again they sold considerably with fall in open
interest indicating unwinding of long positions
ORIENTBANK
6880000
18.83
224.10
-4.79
formed earlier in last trading session.
SUNTV
1862000
8.76
334.70
-2.29
In Index Options FIIs bought significantly, they were
BHARATFORG
5046000
8.35
761.25
-5.70
net buyer of Rs. 2222 crores with rise in open interest
suggesting fresh long formation, implied volatility
SYNDIBANK
11972000
7.58
112.15
-1.87
also jumped higher. We witnessed buildup up in both
INFY
4354125
7.16
3888.65
6.47
call and put options but the quantum of open interest
addition in put options was more prominent. We
saw 7400, 7600 and 7700 put options adding good
OI Losers
amount of buildup and we believe FIIs have gone
OI
PRICE
long in these strikes. In call options we saw 7900 &
SCRIP
OI
CHANGE
PRICE
CHANGE
8000 strike price adding some buildup. Long
(%)
(%)
positions formed in these call options has no
IGL
781000
-6.80
422.10
-1.08
comparison with short positions formed in 8000 &
8100 call options in last 3-4 trading sessions.
ASIANPAINT
4338000
-6.61
663.25
1.16
DLF
20926000
-5.53
152.65
-0.23
Seeing the quantum of long unwinding in Index
Futures & buying in put options by FIIs we believe the
MARUTI
1906250
-5.13
2966.20
-1.49
support zone of 7800 may be tested and market may
IRB
11952000
-5.11
228.50
-1.53
even go below these levels.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.88
1.07
INFY
43.56
BANKNIFTY
0.87
0.85
TATAMOTORS
43.28
INFY
0.84
0.69
ITC
27.40
RELIANCE
0.45
0.41
BHARTIARTL
26.20
SBIN
0.50
0.69
SSLT
41.23
1
Derivative Report
Oct 13, 2014
Strategy Date
Symbol
Strategy
Status
29-09-2014
NIFTY
Long Put
Did not trigger.
07-10-2014
HINDALCO
Ratio Bull Call Spread
Open.
Research Team Tel: 022 - 39357800
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