Derivative Report
Oct 14, 2014
Comments
Nifty Vs OI
The Nifty futures open interest decreased by 3.29% while
BankNifty futures open interest has increased by 8.67%
as market closed at 7884.25 levels.
The Nifty October future closed at premium of 27.15
point against a premium of 26.85 points. The November
series closed at a premium of 77.10 points.
The Implied Volatility of at the money options has
increased from 13.61% to 13.76%.
Nifty PCR-OI remains unchanged at 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 JPASSOCIAT,
JPPOWER, NHPC,
UCOBANK and COALINDIA.
View
OI Gainers
OI
PRICE
NIFTY was under pressure in the first half but
SCRIP
OI
CHANGE
PRICE
CHANGE
recovered in the next half and closed on a positive
(%)
(%)
note. FIIs continue selling in cash market segment;
they were net seller of worth Rs. 671 crores. In Index
M&M
2424500
19.65
1268.95
-3.66
Futures again they sold considerably with some fall in
FEDERALBNK
17212000
12.29
135.70
5.65
open interest indicating both unwinding of long
positions formed earlier and short formation in last
CESC
990500
12.17
717.60
-2.74
trading session.
UNIONBANK
9684000
10.32
206.95
3.33
In Index Options FIIs bought of worth Rs. 648 crores
GLENMARK
1809500
8.78
723.40
1.70
with rise in open interest suggesting fresh long
formation, implied volatility more or less is in line.
OI Losers
We witnessed that the only strike price that added
decent buildup yesterday was 7800 put options and
OI
PRICE
we believe FIIs have gone long in this strike. In call
SCRIP
OI
CHANGE
PRICE
CHANGE
options we hardly saw any relevant buildup, majority
(%)
(%)
was activity was seen in 7800 call options.
MOTHERSUMI
5366000
-8.12
384.80
4.30
Seeing the quantum of long unwinding in Index
INFY
4130750
-5.13
3942.55
1.11
Futures & buying in put options by FIIs in last two
KOTAKBANK
2887500
-4.81
1008.50
0.44
trading session we believe market may trade with
negative bias and the support zone of 7800 may be
TATASTEEL
18444000
-4.36
457.75
2.28
tested.
TATAPOWER
25452000
-3.84
85.15
2.83
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.88
0.84
M&M
36.63
BANKNIFTY
0.98
0.75
FEDERALBNK
56.86
INFY
0.91
0.87
SAIL
47.43
RELIANCE
0.42
0.43
MOTHERSUMI
49.53
SBIN
0.52
0.57
DABUR
24.54
1
Derivative Report
Oct 14, 2014
Strategy Date
Symbol
Strategy
Status
29-09-2014
NIFTY
Long Put
Did not trigger.
07-10-2014
HINDALCO
Ratio Bull Call Spread
Open.
13-10-2014
LT
Ratio Bear Put Spread
Open.
Research Team Tel: 022 - 39357800
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