Sept 16, 2014
Nifty Vs OI
The Nifty futures open interest decreased by 0.43% while
BankNifty futures open interest has decreased by 1.37%
as market closed at 8042.00 levels.
The Nifty September future closed at premium of 20.55
point against a premium of 32.35 points. The October
series closed at a premium of 65.15 points.
The Implied Volatility of at the money options has
increased from 11.63% to 12.41%.
Nifty PCR-OI has decreased from 0.96 to 0.91 levels.
The total OI of the market is Rs. 2,01,201/- cr. and the
stock futures OI is Rs. 56,943/- cr.
Few of the liquid counter stocks where we have seen high
cost of carry are UNITECH, GMRINFRA, ASHOKLEY,
HDFCBANK and IFCI.
Yesterday Nifty was under pressure and it closed on a
negative note, while FIIs activity in cash market
segment was subdued. In Index Futures after
continuous unwinding of long formation they have
started shorting in last trading session. They sold
significantly in Index Futures of worth Rs. 1394 crores
with some rise in open interest which indicated blend
of both long unwinding and short formation.
In Index Options they were net buyer with marginal
change in open interest which suggests blend of both
long and short covering. PCR-OI decreased with rise
in implied volatility and this is mainly due to good
amount of unwinding in 7900-8100 put options, we
hardly saw open interest addition in put options. We
believe put writer have squared off their position
anticipating further selling pressure in Nifty. On the
other hand in call options 8200 strike price added
majority of open interest yesterday, followed by
decent unwinding in 8300 strike price. Maximum
buildup in current series is seen in 8200 call options
and of put options still remains at 8000 strike price.
Sept 16, 2014
FII Statistics for 15-Sept-2014
Turnover on 15-Sept-2014
Nifty Spot =8042.00
Lot Size = 50
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Aug Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
Sept 16, 2014
Long call ladder
Long put ladder
Research Team Tel: 022 - 39357800
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