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
1
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
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
