Derivative Report
June 16, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has decreased by 3.87%
BankNifty futures open interest has increased by 5.43%
as market closed at 8013.90 levels.
The Nifty June future closed at a discount of 4.70 points
against discount of 4.20 points. The July series closed at
a premium of 26.55 points.
The Implied Volatility of at the money options has
increased from 15.96% to 16.68%.
Nifty PCR-OI has increased from 0.85 to 0.89 levels.
The total OI of the market is Rs. 2,23,048/- cr. and the
stock futures OI is Rs. 58,979/- cr.
Few of the liquid counters where we have seen high cost
of carry are JPPOWER, UNITECH, SOUTHBANK, NHPC
and RCOM.
View
OI Gainers
FII's were sellers in cash market segment; they sold
OI
PRICE
of Rs. 604 crores of equity cash. In Index futures
SCRIP
OI
CHANGE
PRICE
CHANGE
they were marginal sellers with fall in open interest
(%)
(%)
suggesting unwinding of long positions in last
AJANTPHARM
355000
20.75
1425.25
-2.18
trading session.
ARVIND
4223000
14.20
228.15
-3.04
In Index options front, FIIs sold of worth Rs. 247
crores with some rise in open interest indicating
HEXAWARE
4814000
12.01
260.25
-4.67
short formation. In call options we hardly saw any
ACC
1160625
9.56
1370.25
-2.44
open interest addition yesterday; good amount of
unwinding was visible in the range of 8000-8600
ALBK
8068000
8.03
90.00
-2.96
call options. On the other hand in put options
7700 strike added decent open interest which is
OI Losers
FIIs long positions. Maximum buildup in current
series is seen in 8500 call and of put options has
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
got shifted to 7800 strike.
(%)
(%)
We are hardly seeing any buying interest in Index
CASTROLIND
300000
-11.24
433.65
1.10
Futures by FIIs, continuous buildup in 7800 put
KSCL
232250
-7.47
815.80
3.52
options is visible from past few days and we
believe these are longs getting formed. We would
BAJAJ-AUTO
1455500
-5.13
2332.00
2.05
suggest being light in this market till we see any
SUNPHARMA
18535000
-4.84
836.65
2.47
meaningful activity.
LUPIN
4480750
-3.64
1716.75
-0.54
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.89
0.79
POWERGRID
21.08
BANKNIFTY
0.63
0.66
JPPOWER
76.06
SBIN
0.26
0.39
IBULHSGFIN
33.82
INFY
0.56
0.65
HEXAWARE
53.28
SUNPHARMA
0.42
0.40
JPASSOCIAT
111.41
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Derivative Report
June 16, 2015
Strategy Date
Symbol
Strategy
Status
June 01, 2015
INFY
Ratio Bull Call Spread
Active
June 08, 2015
SBIN
Ratio Bull Call Spread
Active
June 15, 2015
ITC
Short Strangle
Active
Research Team Tel: 022 - 39357800
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