Derivative Report
September 15, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has decreased by 1.17%
BankNifty futures open interest has increased by 5.56% as
market closed at 7872.25 levels.
The Nifty September future closed at a premium of 2.95
points against a premium of 0.05 points. The October
series closed at a premium of 39.90 points.
The Implied Volatility of at the money options has
increased from 26.37% to 26.90%.
Nifty PCR-OI has increased from 0.93 to 0.94 levels.
The total OI of the market is Rs. 2,35,513/- cr. and the
stock futures OI is Rs. 58,090/- cr.
Few of the liquid counters where we have seen high cost of
carry are UNITECH, NHPC, JPASSOCIAT, IFCI and
SOUTHBANK.
OI Gainers
View
OI
PRICE
Yesterday FIIs activity was subdued in both cash
SCRIP
OI
CHANGE
PRICE
CHANGE
market segment and in Index Futures. They sold
(%)
(%)
Index Futures marginally with fall in OI, suggesting
blend of long unwinding and short covering in last
BEL
4432125
197.28
1083.15
-1.27
trading session. Surprisingly, FIIs were most active
JUSTDIAL
1353250
16.58
929.00
14.11
in stock futures yesterday, wherein they bought of
Rs. 488 crores with rise in OI indicating fresh
COLPAL
630625
14.11
1905.00
2.90
buying.
AMBUJACEM
11404000
12.60
212.15
2.07
In Index Options front, they were net sellers of Rs.
DIVISLAB
968050
9.61
2186.30
1.82
171 crores with rise in OI. In call options we saw
build-up in
7800-7900 strikes. While in put
options, decent OI addition was seen in 7600 and
OI Losers
7800 strikes. Maximum OI is seen in 8000 call
OI
PRICE
and 7500 put options.
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
We continue to see selling in equities by bigger
hands. Even though Nifty gave a decent bounce in
AMTEKAUTO
5574000
-30.72
52.90
12.55
last week, we hardly saw any meaningful buying
DHFL
3310000
-11.71
226.10
1.48
interest in Nifty. We still believe it’s a sell on rise
market; 7900-7950 is an immediate resistance for
TATAMTRDVR
16211000
-4.12
248.75
2.62
Nifty.
HINDZINC
2688000
-3.86
136.10
4.53
CENTURYTEX
8000500
-3.82
530.10
3.88
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.94
0.92
JUSTDIAL
80.89
BANKNIFTY
0.84
0.70
COLPAL
31.22
SBIN
0.43
0.43
ADANIENT
91.15
RELIANCE
0.53
0.39
NTPC
48.44
YESBANK
0.85
0.67
STAR
68.95
1
Derivative Report
September 15, 2015
Strategy Date
Symbol
Strategy
Status
August 31, 2015
HINDALCO
Long Call
Active
September 07, 2015
RELIANCE
Short Strangle
Active
September 14, 2015
SUNPHARMA
Ratio Bull Call Spread
Active
Research Team Tel: 022 - 39357800
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