Derivative Report
Aug 14, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 9.95% while
BankNifty futures open interest has increased by 2.34%
as market closed at 7727.05 levels.
The Nifty August future closed at premium of 6.80 point
against a premium of 21.20 points. The September
series closed at a premium of 40.00 points.
The Implied Volatility of at the money options has
decreased from 12.45% to 11.81%.
Nifty PCR-OI has increased from 0.89 to 0.94 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 DABUR, JPPOWER, BIOCON,
NMDC and RANBAXY.
OI Gainers
View
OI
PRICE
FIIs were net buyer in cash market segment of worth
SCRIP
OI
CHANGE
PRICE
CHANGE
Rs. 718 crores. In F&O segment they again they
(%)
(%)
bought of worth Rs. 717 crores in Index Futures with
significant rise in open interest after long time which
DABUR
2268000
18.74
211.15
2.90
can be blend of both long & short positions.
COLPAL
393750
13.97
1465.15
-0.71
In Index options they were net buyer with rise in open
APOLLOHOSP
317750
11.59
1132.35
5.80
interest indicating fresh long formation, PCR-OI has
HDFC
7679750
11.54
1144.10
2.29
jumped higher due to significant buildup in call
options. Yesterday we saw good amount of buildup
SUNTV
1315000
11.54
373.75
-5.29
in 7700 put options and seeing the FIIs figure we
believe it may be long positions which we are
OI Losers
continuously observing from last two trading sessions.
On the other hand in call options we hardly saw any
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
reasonable buildup,
7900 strike price was
(%)
(%)
comparatively active and also added some buildup in
last trading session. Maximum open interest in
GLENMARK
380500
-14.01
702.65
2.09
current series is seen in 8000 call and 7600 put
IRB
14268000
-11.36
243.05
-3.43
options.
HINDPETRO
6667000
-7.34
415.15
2.24
GAIL
3790000
-7.27
411.80
-0.57
HEXAWARE
5676000
-6.74
148.15
-1.16
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.94
1.00
UNITECH
118.10
BANKNIFTY
0.78
0.81
JPASSOCIAT
73.30
SBIN
0.38
0.48
BHEL
60.79
RELIANCE
0.45
0.39
ANDHRABANK
61.16
AXISBANK
0.36
0.59
NHPC
50.16
1
Derivative Report
Aug 14, 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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