Derivative Report
Jan 15, 2015
Nifty Vs OI
Comments
The Nifty futures open interest decreased by 2.00% while
BankNifty futures open interest has increased by 3.99%
as market closed at 8277.55 levels.
The Nifty January future closed at premium of 29.80
points against a premium of 17.10 points. The February
series closed at a premium of 80.50 points.
The Implied Volatility of at the money options has
increased from 14.78% to 15.54%.
Nifty PCR-OI has decreased from 1.14 to 1.11 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, SSLT, TITAN, EXIDEIND and
GMRINFRA.
View
OI Gainers
FIIs activity in cash market segment was subdued. In
OI
PRICE
Index Futures they were net buyers with marginal rise
SCRIP
OI
CHANGE
PRICE
CHANGE
in open interest which may be due to short covering
(%)
(%)
in last trading session.
HINDALCO
31408000
14.78
142.15
-6.15
In Index Options they bought of worth Rs. 319 crores
HINDUNILVR
8658500
10.89
924.05
4.11
with rise in open interest suggesting long formation.
PCR-OI decreased mainly due to open interest
TATACHEM
4443000
8.60
443.05
-0.69
addition in call options, while implied volatility
DRREDDY
1259125
8.59
3208.25
-0.53
increased on the closing basis indicating long
formation in call options. We saw some open interest
TATASTEEL
24456000
8.24
376.85
-3.87
addition in 8300-8500 call option which may be
long position. On the other hand in put options
OI Losers
decent amount of buildup was seen in 7600 & 7900
strike prices followed by unwinding in 8200 call
OI
PRICE
options. Maximum buildup in current series is seen in
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
8400 call & 8000 put options.
JUSTDIAL
554750
-8.70
1504.25
-2.61
We still maintain our negative stance in market
seeing the quantum of unwinding in Index Futures
OFSS
83250
-8.26
3368.30
1.93
and shorting in stock futures in current series. 8400-
ACC
1241250
-6.23
1478.35
2.42
8450 is the resistance level for market, one should
adopt sell on rise strategy and avoid going long in
MINDTREE
406500
-5.19
1387.90
4.03
market.
SUNTV
938000
-4.77
365.65
-1.41
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.11
1.09
NHPC
33.66
BANKNIFTY
1.17
0.86
DABUR
42.69
INFY
1.10
0.71
SSLT
59.32
RELIANCE
0.47
0.51
HINDALCO
50.55
TATASTEEL
0.52
0.58
HINDZINC
36.63
1
Derivative Report
Jan 15, 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
DISCLAIMER
This document is solely for the personal information of the recipient, and must not be singularly used as the basis of any investment
decision. Nothing in this document should be construed as investment or financial advice. Each recipient of this document should
make such investigations as they deem necessary to arrive at an independent evaluation of an investment in the securities of the
companies referred to in this document (including the merits and risks involved), and should consult their own advisors to determine
the merits and risks of such an investment.
Angel Broking Pvt. Limited, its affiliates, directors, its proprietary trading and investment businesses may, from time to time, make
investment decisions that are inconsistent with or contradictory to the recommendations expressed herein. The views contained in
this document are those of the analyst, and the company may or may not subscribe to all the views expressed within.
Reports based on technical and derivative analysis center on studying charts of a stock's price movement, outstanding positions and
trading volume, as opposed to focusing on a company's fundamentals and, as such, may not match with a report on a company's
fundamentals.
The information in this document has been printed on the basis of publicly available information, internal data and other reliable
sources believed to be true, but we do not represent that it is accurate or complete and it should not be relied on as such, as this
document is for general guidance only. Angel Broking Pvt. Limited or any of its affiliates/ group companies shall not be in any way
responsible for any loss or damage that may arise to any person from any inadvertent error in the information contained in this
report. Angel Broking Pvt. Limited has not independently verified all the information contained within this document. Accordingly, we
cannot testify, nor make any representation or warranty, express or implied, to the accuracy, contents or data contained within this
document. While Angel Broking Pvt. Limited endeavours to update on a reasonable basis the information discussed in this material,
there may be regulatory, compliance, or other reasons that prevent us from doing so.
This document is being supplied to you solely for your information, and its contents, information or data may not be reproduced,
redistributed or passed on, directly or indirectly.
Angel Broking Pvt. Limited and its affiliates may seek to provide or have engaged in providing corporate finance, investment
banking or other advisory services in a merger or specific transaction to the companies referred to in this report, as on the date of
this report or in the past.
Neither Angel Broking Pvt. Limited, nor its directors, employees or affiliates shall be liable for any loss or damage that may arise
from or in connection with the use of this information.
Note: Please refer to the important `Stock Holding Disclosure' report on the Angel website (Research Section). Also, please refer to
the latest update on respective stocks for the disclosure status in respect of those stocks. Angel Broking Pvt. Limited and its affiliates
may have investment positions in the stocks recommended in this report.
Derivative Research Team
For Private Circulation Only
SEBI Registration No: INB 010996539
3
