Derivative Report
August 14, 2015
Comments
Nifty Vs OI
The Nifty futures open interest has decreased by 1.72%
BankNifty futures open interest has decreased by 6.50%
as market closed at 8355.85 levels.
The Nifty August future closed at a premium of 25.15
points against premium of 16.00 points. The September
series closed at a premium of 61.30 points.
The Implied Volatility of at the money options has
decreased from 16.98% to 16.30%.
Nifty PCR-OI has increased from 0.87 to 0.88 levels.
The total OI of the market is Rs. 2,27,828/- cr. and the
stock futures OI is Rs. 65,222/- cr.
Few of the liquid counters where we have seen high cost
of carry are IBREALEST, JISLJALEQS, AXISBANK,
JSWENERGY and BAJAJ-AUTO.
OI Gainers
View
OI
PRICE
Yesterday Nifty was quite volatile in a range but
SCRIP
OI
CHANGE
PRICE
CHANGE
closed flat. They were net sellers in both cash &
(%)
(%)
Index Futures. They sold equities of Rs.625 crores
and Index Futures of worth Rs.235 crores with fall
HAVELLS
3817000
14.42
268.70
-0.59
in OI. This suggests long unwinding in last trading
IBULHSGFIN
4471500
12.56
759.65
0.09
session.
GODREJIND
2094000
11.15
374.25
-2.16
In Index Options front, they bought significantly to
BHARTIARTL
14865000
10.88
385.80
-2.87
the tune of Rs.945 crores with rise in OI. In call
options we saw 8400 & 8600 strikes adding decent
AUROPHARMA
16782000
9.18
739.60
-1.13
build-up, followed by unwinding in
8900 call
option. While in put options, 8100 & 7800 strikes
added some OI. Maximum open interest is visible
OI Losers
in 8600 call and 8200 put options.
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
Seeing continuous long unwinding in Nifty, we
(%)
(%)
believe it may breach its support zone of 8250-
8300. BankNifty showed some short covering
VOLTAS
5047000
-10.78
303.45
2.05
bounce yesterday but too many shorts are still in
PAGEIND
70875
-10.71
14091.90
-4.30
system. From the above data we believe there is
further pain left in our market.
OIL
628000
-5.92
449.00
-0.03
APOLLOTYRE
12934000
-5.16
187.60
-0.27
LUPIN
4090250
-4.73
1757.20
1.91
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.88
0.89
JINDALSTEL
75.03
BANKNIFTY
0.64
0.71
RCOM
67.76
SBIN
0.36
0.33
VEDL
71.59
RELIANCE
0.37
0.38
RPOWER
49.36
TATAMOTORS
0.43
0.52
TATASTEEL
51.86
1
Derivative Report
August 14, 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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