Derivative Report
Jan 16, 2015
Nifty Vs OI
Comments
The Nifty futures open interest increased by 17.49 levels
BankNifty futures open interest has decreased by 3.08%
as market closed at 8494.15 levels.
The Nifty January future closed at premium of 20.90
points against a premium of 29.80 points. The February
series closed at a premium of 65.40 points.
The Implied Volatility of at the money options has
decreased from 15.54% to 14.42%.
Nifty PCR-OI has increased from 1.11 to 1.19 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, TITAN,
IDFC, STAR and
HDFCBANK.
View
OI Gainers
Yesterday Nifty rallied nearly 250 points after repo
cut was announced. FIIs were net buyers of worth
OI
PRICE
Rs.1738 in cash market segment. In Index Futures
SCRIP
OI
CHANGE
PRICE
CHANGE
they bought in a big way of worth Rs. 3896 crores
(%)
(%)
with significant rise in open interest which suggest
HINDALCO
33632000
7.08
141.90
-0.28
long formation in last trading session.
HINDUNILVR
8743000
0.98
921.55
0.06
In Index Options they bought of worth Rs.
3599
crores with some rise in open interest suggesting
TATACHEM
4536000
2.09
445.80
0.44
blend of short covering and long formation. PCR-OI
DRREDDY
1274125
1.19
3240.55
1.26
increased mainly due to reasonable amount of open
interest addition in put options, while implied volatility
TATASTEEL
23753500
-2.87
384.75
2.31
decreased on the closing basis. We witness huge
open interest addition in 8400 & 8500 put option,
OI Losers
which may be long position formed by FIIs to hedge
OI
PRICE
their long positions in Index Futures. Good amount of
SCRIP
OI
CHANGE
PRICE
CHANGE
unwinding was also witnessed in 7600-8000 put
(%)
(%)
options. On the other hand in call options decent
amount of buildup was seen in the range 8600-8900
SRTRANSFIN
1009000
-21.90
1110.85
7.07
strike prices followed by unwinding in lower strikes
BOSCHLTD
77000
-15.73
21334.80
1.36
8000-8400 call options. Maximum buildup in current
series has got shifted from 8400 to 8700 call options
DABUR
1690000
-15.58
249.90
-0.62
& of put options still remains at 8000 put options.
ORIENTBANK
3376000
-11.90
334.20
5.38
Seeing yesterday’s data it won’t be good idea to sell
IBULHSGFIN
2736000
-11.28
533.70
6.33
on rise as of now.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.19
0.97
IDFC
44.31
BANKNIFTY
1.43
0.84
HDIL
100.57
INFY
1.24
0.62
POWERGRID
32.06
RELIANCE
0.53
0.66
HDFC
48.48
TCS
0.71
0.61
DLF
72.09
1
Derivative Report
Jan 16, 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
