Derivative Report
Feb 16, 2015
Nifty Vs OI
Comments
The Nifty futures open interest increased by 2.66% levels
BankNifty futures open interest has increased by 1.17%
as market closed at 8808.50 levels.
The Nifty February future closed at premium of 36.05
points against a premium of 40.63 points. The March
series closed at a premium of 91.60 points.
The Implied Volatility of at the money options has
decreased from 15.89% to 14.96%.
Nifty PCR-OI has increased from 0.90 to 0.98 levels.
The total OI of the market is Rs. 2,40,738/- cr. and the
stock futures OI is Rs. 73.788/- cr.
Few of the liquid counters where we have seen high cost
of carry are UNITECH, JSWSTEEL, JISLJALEQS,
ANDHRABANK and HDFCBANK.
View
OI Gainers
FIIs were net buyers in cash market segment of Rs.
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
390 crores. They also bought significantly in Index
(%)
(%)
Futures of worth Rs. 1137 crores with rise in open
interest indicating fresh fresh long formation in last
MINDTREE
330250
16.39
1450.85
0.95
trading sessions.
PFC
8570000
15.36
274.70
-2.54
In Index Options they were net buyers of Rs. 249
BPCL
3649000
15.18
724.90
2.78
crores with rise in open interest which suggest long
formation. We witness 8700 & 8800 put options
IOC
5744000
14.70
310.25
-1.61
adding reasonable open interest which may be blend
ENGINERSIN
4052000
11.41
212.10
-0.40
of long & short positions. Some buildup was also
visible in 8400 put options. On the other hand in call
options we hardly saw any strike prices adding
OI Losers
relevant buildup, decent amount of profit booking
OI
PRICE
was visible in 8600-8900 call options. Maximum
SCRIP
OI
CHANGE
PRICE
CHANGE
buildup in Nifty options is seen in 9000 call & 8600
(%)
(%)
put options.
ORIENTBANK
5669000
-10.02
243.60
3.83
Nifty corrected without reasonable long unwinding or
MCLEODRUSS
2732000
-6.92
230.85
9.23
short formation and we believe long positions formed
ARVIND
7898000
-6.57
313.25
0.58
by FIIs last series are still in system. We expect Nifty
to continue it’s up moves and to breach resistance
MRF
84625
-5.71
40585.50
-0.48
zone of 8900-8950 levels.
BIOCON
4607500
-5.64
450.40
6.99
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.98
0.92
MCLEODRUSS
50.32
BANKNIFTY
0.67
0.59
BIOCON
42.79
BANKBARODA
0.29
0.23
SBIN
53.18
SBIN
0.61
0.64
M&M
42.19
RELIANCE
0.53
0.60
ABIRLANUVO
31.67
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Derivative Report
Feb 16, 2015
FII Statistics for 13-Feb-2015
Turnover on 13-Feb-2015
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Contracts
Value
Change
(` in cr.)
(%)
INDEX
INDEX
2445.74
1308.37
1137.37
907333
21326.53
2.46
5,95,707
16573.90
-9.85
FUTURES
FUTURES
INDEX
INDEX
13545.37
13295.80
249.57
2293067
62859.31
1.33
71,55,830
169450.34
9.07
OPTIONS
OPTIONS
STOCK
STOCK
3083.63
3513.85
(430.22)
1974189
60362.05
0.99
10,34,031
34739.08
20.47
FUTURES
FUTURES
STOCK
STOCK
2863.21
2922.65
(59.44)
111061
3437.30
(0.60)
5,49,322
18406.56
34.68
OPTIONS
OPTIONS
TOTAL
21937.95
21040.66
897.28
5285650
147985.18
1.35
TOTAL
93,34,890
239169.88
10.60
Nifty Spot =8805.50
Lot Size = 25
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8800
123.40
Buy
8800
81.25
48.75
51.25
8848.75
32.40
67.60
8767.60
Sell
Sell
8900
74.65
8700
48.85
Buy
Buy
8800
123.40
8800
81.25
80.85
119.15
8880.85
52.50
147.50
8747.50
Sell
9000
42.55
Sell
8600
28.75
Buy
8900
74.65
Buy
8700
48.85
32.10
67.90
8932.10
20.10
79.90
8679.90
Sell
9000
42.55
Sell
8600
28.75
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Feb Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Derivative Report
Feb 16, 2015
Strategy Date
Symbol
Strategy
Status
02-02-2015
NIFTY
Ratio Bull Call Spread
Open
09-02-2015
Reliance
Short Strangle
Open
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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