Derivative Report
September 14, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 0.58%
BankNifty futures open interest has decreased by 3.99% as
market closed at 7789.30 levels.
The Nifty September future closed at a premium of 0.05
points against a premium of 20.15 points. The October
series closed at a premium of 34.00 points.
The Implied Volatility of at the money options has
increased from 25.80% to 26.37%.
Nifty PCR-OI has decreased from 0.95 to 0.93 levels.
The total OI of the market is Rs. 2,31,093/- cr. and the
stock futures OI is Rs. 56,897/- cr.
Few of the liquid counters where we have seen high cost of
carry are JPPOWER, UNITECH, JPASSOCIAT, JSWENERGY
and ADANIENT.
OI Gainers
View
OI
PRICE
FIIs were net sellers in cash market segment to the
SCRIP
OI
CHANGE
PRICE
CHANGE
tune of Rs. 754 crores. While in Index Futures they
(%)
(%)
bought of worth Rs. 240 crores with rise in OI,
BEL
1490900
120.43
3291.15
-2.19
suggesting fresh long formation in last trading
session.
AMTEKAUTO
8046000
39.98
47.00
54.10
In Index Options, they sold significantly of Rs. 1233
AMBUJACEM
10128000
8.11
207.85
-2.14
crores with rise in OI. In call options we saw build-
SRTRANSFIN
2915250
4.89
881.50
0.92
up in 8000 strike. While in put options, we hardly
witness any strike adding decent fresh OI.
BPCL
5447900
4.57
853.30
1.34
Unwinding was visible in 7200 and 7400 put
options. Maximum OI is seen in 8000 call and
OI Losers
7500 put options.
OI
PRICE
We are witnessing continuous selling in equities by
SCRIP
OI
CHANGE
PRICE
CHANGE
bigger hands and majority of positions in Nifty and
(%)
(%)
BankNifty futures are short. Even though Nifty gave
EICHERMOT
213000
-8.29
18857.10
1.83
a decent bounce in last three-four trading sessions,
but we hardly saw any meaningful buying interest
SUNTV
9296500
-6.22
342.65
-0.68
in Nifty. We still believe it’s a sell on rise market;
CENTURYTEX
8318000
-5.98
510.30
0.69
7900-7950 is an immediate resistance for Nifty.
HINDALCO
57464000
-4.53
76.25
-0.46
INFY
16035250
-4.08
1091.05
0.56
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.93
0.89
AMTEKAUTO
326.37
BANKNIFTY
0.76
0.74
BRITANNIA
39.54
SBIN
0.42
0.42
COLPAL
25.53
RELIANCE
0.54
0.50
APOLLOHOSP
49.48
YESBANK
0.81
0.91
CAIRN
72.56
1
Derivative Report
September 14, 2015
Strategy Date
Symbol
Strategy
Status
August 31, 2015
HINDALCO
Long Call
Active
September 07, 2015
RELIANCE
Short Strangle
Active
Research Team Tel: 022 - 39357800
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