Derivative Report
Sept 15, 2014
Comments
Nifty Vs OI
The Nifty futures open interest decreased by 1.04% while
BankNifty futures open interest has increased by 0.20%
as market closed at 8105.50 levels.
The Nifty September future closed at premium of 32.35
point against a premium of 33.70 points. The October
series closed at a premium of 74.90 points.
The Implied Volatility of at the money options has
decreased from 11.81% to 11.63%.
Nifty PCR-OI remains unchanged at 0.96 levels.
The total OI of the market is Rs. 2,05,876/- cr. and the
stock futures OI is Rs. 57,770/- cr.
Few of the liquid counter stocks where we have seen high
cost of carry are GMRINFRA, EICHERMOT, JPPOWER,
HDFCBANK and HDIL.
OI Gainers
View
OI
PRICE
FIIs were net buyer in cash market segment of worth
SCRIP
OI
CHANGE
PRICE
CHANGE
Rs. 182 crores. In Index Futures they were net seller
(%)
(%)
with fall in open interest indicating continuation of
long unwinding in last trading session. In Stock
EICHERMOT
88125
41.28
12023.80
3.58
Futures even they were net seller of Rs. 636 crores
MOTHERSUMI
3788000
36.50
436.65
-0.53
with some rise in open interest which may be due to
long unwinding & short formation.
BHARATFORG
3564000
31.42
894.00
-2.83
OFSS
139500
20.39
3937.15
7.28
In Index Options they were marginal seller with rise
in open interest which suggests blend of both long
EXIDEIND
13164000
19.33
175.05
6.10
and short positions. In call options 8100 & 8300
strike prices were active and they also added some
OI Losers
buildup. We have notice 8300 strike adding open
interest from last two three trading sessions due to
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
which maximum buildup of current series has shifted
(%)
(%)
to 8300 strike price. On the other hand we hardly
saw reasonable activity in put options, majority of
MCDOWELL-N
1146250
-11.76
2295.35
0.52
addition in open interest was seen in 8100 put
DIVISLAB
467250
-5.75
1756.20
1.91
options. While maximum buildup that of put options
remains at 8000 strike price.
RECLTD
7888000
-5.35
282.75
-0.28
IRB
13408000
-4.83
262.25
-0.47
BPCL
4660000
-4.51
683.15
0.06
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.96
0.97
MOTHERSUMI
56.14
BANKNIFTY
0.88
0.89
BHARATFORG
40.56
RELIANCE
0.38
0.28
RANBAXY
36.62
SBIN
0.61
0.58
SUNPHARMA
33.45
ICICIBANK
0.47
0.47
RECLTD
50.01
1
Derivative Report
Sept 15, 2014
Strategy Date
Symbol
Strategy
Status
02-09-2014
DLF
Long call ladder
Open.
08-09-2014
NIFTY
Long put ladder
Open.
Research Team Tel: 022 - 39357800
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