Derivative Report
Oct 16, 2014
Comments
Nifty Vs OI
The Nifty futures open interest decreased by 0.32% while
BankNifty futures open interest has decreased by 1.37%
as market closed at 7846.00 levels.
The Nifty October future closed at premium of 31.25
point against a premium of 27.15 points. The November
series closed at a premium of 77.05 points.
The Implied Volatility of at the money options has
increased from 13.76% to 13.86%.
Nifty PCR-OI has decreased from 0.88 to 0.87 levels.
The total OI of the market is Rs. 1,94,997/- cr. and the
stock futures OI is Rs. 53,015/- cr.
Few of the liquid counter stocks where we have seen high
cost of carry are JPPOWER, ITC, JISLJALEQS, IDEA and
INDIACEM.
View
OI Gainers
NIFTY continue being under pressure in last trading
session and FIIs also participated in this fall, they
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
continue selling in cash market segment; they were
(%)
(%)
net seller of worth Rs. 694 crores. In Index Futures
again they were net seller with fall in open interest
DLF
28396000
33.83
104.95
-28.45
indicating unwinding of long positions formed
HDIL
34056000
25.72
75.15
-5.38
earlier.
JUSTDIAL
344375
14.98
1645.35
-0.53
In Index Options FIIs bought of worth Rs. 469 crores
with marginal change in open interest suggesting
SUNTV
2230000
14.54
307.75
-5.85
blend of long formation and short covering, implied
HDFC
8036750
7.17
1004.05
-1.21
volatility remained more or less is in line on the
closing basis. PCR-OI has decreased due to more of
unwinding in put options of 7700 & 7900 strike
OI Losers
prices which may be profit booking by buyer of these
OI
PRICE
strike prices. At the same some open interest addition
SCRIP
OI
CHANGE
PRICE
CHANGE
was witness in 7600 put options on the hopes that
(%)
(%)
the market may continue being under pressure. On
SRTRANSFIN
909000
-14.41
904.25
2.90
the other hand in call options we hardly saw any
relevant buildup, majority of activity was seen in
ORIENTBANK
6456000
-7.59
241.25
3.11
8300 call options.
VOLTAS
7606000
-5.28
233.65
-1.41
Seeing the quantum of long unwinding in Index
BHARATFORG
5061000
-5.21
776.05
0.46
Futures & buying in put options by FIIs in last three
SAIL
39216000
-4.72
77.45
3.71
trading session we believe support zone of 7800 may
be tested.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.87
0.86
DLF
169.89
BANKNIFTY
1.00
0.75
SUNTV
46.34
RELIANCE
0.40
0.45
BAJAJ-AUTO
25.51
INFY
0.88
0.85
LICHSGFIN
45.12
SBIN
0.63
0.58
HINDUNILVR
22.87
1
Derivative Report
Oct 16, 2014
Strategy Date
Symbol
Strategy
Status
29-09-2014
NIFTY
Long Put
Did not trigger.
07-10-2014
HINDALCO
Ratio Bull Call Spread
Open.
13-10-2014
LT
Ratio Bear Put Spread
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
