Derivative Report
Jan 14, 2015
Nifty Vs OI
Comments
The Nifty futures open interest increased by 2.44% while
BankNifty futures open interest has decreased by 3.55%
as market closed at 8299.40 levels.
The Nifty January future closed at premium of 17.10
points against a premium of 37.55 points. The February
series closed at a premium of 67.30 points.
The Implied Volatility of at the money options has
increased from 14.30% to 14.78%.
Nifty PCR-OI has decreased from 1.16 to 1.14 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 JPPOWER, LICHSGFIN, MARUTI, HINDZINC
and SRTRANSFIN.
View
OI Gainers
FIIs were net buyers in cash market segment of worth
Rs. 235 crores. In Index Futures they were net buyers
OI
PRICE
with significant amount of rise in open interest which
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
may be blend of long & short formation in last
trading session.
IBULHSGFIN
3050500
18.81
492.20
-0.62
In Index Options they bought of worth Rs. 572 crores
TVSMOTOR
5803000
16.11
308.95
3.59
with marginal change in open interest suggesting mix
IRB
8134000
14.51
235.35
-5.00
of short covering and long formation. PCR-OI
decreased mainly due to open interest addition in call
MINDTREE
428750
12.61
1331.35
3.23
options, while implied volatility increased on the
JUSTDIAL
607625
12.55
1546.40
5.03
closing basis. We saw decent amount of open interest
addition in 8200 put option which may be long
position. On the other hand in call options we hardly
OI Losers
saw any relevant buildup, marginal buildup was seen
OI
PRICE
in
8400-8700 strike price. Maximum buildup in
SCRIP
OI
CHANGE
PRICE
CHANGE
current series is seen in 8400 call & 8000 put
(%)
(%)
options.
UBL
332000
-13.65
926.10
0.87
We still maintain our negative stance in market
BOSCHLTD
94500
-11.27
20403.55
0.31
seeing the quantum of unwinding in Index Futures in
current series. 8400-8450 is the resistance level for
CANBK
7217000
-10.06
444.70
0.39
market, one should adopt sell on rise strategy and
SUNTV
985000
-9.96
371.00
-1.37
avoid going long in market.
INFY
7615000
-8.00
2088.90
-1.44
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.14
1.04
ULTRACEMCO
35.42
BANKNIFTY
1.25
0.82
GRASIM
30.46
INFY
1.01
0.81
ADANIENT
40.69
RELIANCE
0.50
0.65
JUSTDIAL
53.27
TATASTEEL
0.54
0.52
ACC
27.80
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Derivative Report
Jan 14, 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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