Derivative Report
July 16,
2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 3.18%
BankNifty futures open interest has decreased by 0.45%
as market closed at 8523.80 levels.
The Nifty July future closed at a premium of 18.25 points
against premium of 11.80 points. The August series
closed at a premium of 55.70 points.
The Implied Volatility of at the money options has
decreased from 13.70% to 13.23%.
Nifty PCR-OI has increased from 1.07 to 1.14 levels.
The total OI of the market is Rs. 2,31,108/- cr. and the
stock futures OI is Rs. 63,913/- cr.
Few of the liquid counters where we have seen high cost
of carry are IFCI, JPPOWER, UNITECH, SOUTHBANK and
IBREALEST.
View
OI Gainers
Yesterday, FII's were net buyers in both cash
market and Index Futures. They bought equity of
OI
PRICE
Rs. 407 crores and Index Futures of worth Rs. 1088
SCRIP
OI
CHANGE
PRICE
CHANGE
crores with rise in OI. This suggesting fresh long
(%)
(%)
formation in Index Futures.
BIOCON
4418000
15.02
489.25
2.83
In Index options front, FIIs were net buyers of Rs.
ZEEL
10759000
11.49
376.95
0.20
803 crores with marginal change in open interest
JUSTDIAL
935000
10.16
1131.25
-2.23
indicating blend of longs and short covering. We
saw some buildup in 8900 call options, while huge
SOUTHBANK
19449000
9.92
25.50
2.41
amount of unwinding was visible in 8400 and 8500
GODREJIND
2286000
9.06
388.85
3.86
call option. Those who had gone short in these
calls have unwounded their positions. Whereas, in
OI Losers
put options, meaningful open interest addition
was seen in 8400 and 8500 strikes, which may be
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
short position as IV plunged yesterday. Maximum
(%)
(%)
buildup in current series has shifted to 8600 call
and 8400 put options.
TVSMOTOR
3754000
-12.47
266.85
0.74
From last two trading session, we are witnessing
TCS
3488500
-6.28
2541.25
1.60
meaningful buying in Index Futures by FII’s and at
INDIACEM
28372000
-5.94
89.15
-2.03
the same time build-up in call options has got
GLENMARK
1712250
-5.39
1074.80
1.72
shifted to 8600 strike. We suggest staying long
and trading with positive bias.
CROMPGREAV
12016000
-4.94
188.85
-0.58
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.14
1.09
AMTEKAUTO
71.27
BANKNIFTY
1.09
0.86
MARUTI
23.64
INFY
0.59
0.60
BIOCON
27.95
TATASTEEL
0.35
0.26
KSCL
38.84
RELIANCE
0.69
0.64
GODREJIND
40.68
1
Derivative Report
July 16,
2015
Strategy Date
Symbol
Strategy
Status
June 29, 2015
LT
Ratio Bear Put Spread
Active
July 06, 2015
RELIANCE
Ratio Bull Call Spread
Active
July 13, 2015
HINDUNILVR
Long Put Ladder
Active
Research Team Tel: 022 - 39357800
DISCLAIMER
Angel Broking Private Limited (hereinafter referred to as “Angel”) is a registered Member of National Stock Exchange of India Limited, Bombay
Stock Exchange Limited and MCX Stock Exchange Limited. It is also registered as a Depository Participant with CDSL and Portfolio Manager with
SEBI. It also has registration with AMFI as a Mutual Fund Distributor. Angel Broking Private Limited is a registered entity with SEBI for Research
Analyst in terms of SEBI (Research Analyst) Regulations, 2014 vide registration number INH000000164. Angel or its associates has not been
debarred/ suspended by SEBI or any other regulatory authority for accessing /dealing in securities Market. Angel or its associates including its
relatives/analyst do not hold any financial interest/beneficial ownership of more than 1% in the company covered by Analyst. Angel or its
associates/analyst has not received any compensation / managed or co-managed public offering of securities of the company covered by Analyst
during the past twelve months. Angel/analyst has not served as an officer, director or employee of company covered by Analyst and has not been
engaged in market making activity of the company covered by Analyst.
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.
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 endeavors 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.
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
