Derivative Report
September 16, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 0.36%
BankNifty futures open interest has decreased by 1.96% as
market closed at 7829.10 levels.
The Nifty September future closed at a discount of 0.55
points against a premium of 2.95 points. The October
series closed at a premium of 37.80 points.
The Implied Volatility of at the money options has
increased from 26.90% to 27.26%.
Nifty PCR-OI has decreased from 0.94 to 0.93 levels.
The total OI of the market is Rs. 2,35,644/- cr. and the
stock futures OI is Rs. 57,564/- cr.
Few of the liquid counters where we have seen high cost of
carry are CENTURYTEX, AMBUJACEM, DHFL, GMRINFRA
and ASHOKLEY.
OI Gainers
View
OI
PRICE
Yesterday FIIs were net sellers in cash market
SCRIP
OI
CHANGE
PRICE
CHANGE
segment to the tune of Rs. 910 crores. They bought
(%)
(%)
Index Futures of Rs. 257 crores with rise in OI,
suggesting some fresh long formation in last
COLPAL
778500
23.45
1922.70
0.93
trading session.
BHARATFORG
3916250
10.96
966.10
-5.91
In Index Options front, they were net sellers of Rs.
OIL
779500
9.40
437.00
0.09
1721 crores with marginal change in OI. In call
IOB
16108000
9.10
33.40
-2.48
options we saw build-up in 7800 and 8100 strikes,
followed by unwinding in 8500 call options. While
LT
7478925
8.85
1558.30
-3.08
in put options, we hardly saw any strike adding
reasonable OI, some unwinding was visible in
8000 put option. Maximum OI is seen in 8000 call
OI Losers
and 7500 put options.
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
We continue to see meaningful selling in equities
(%)
(%)
by bigger hands. Even though Nifty gave a decent
bounce, we are hardly witnessing any substantial
BEL
3832125
-13.54
1083.20
0.00
buying interest in Nifty. We still believe it’s a sell on
BAJFINANCE
185125
-6.62
5253.65
1.74
rise market; 7900-7950 is an immediate resistance
for Nifty.
AMTEKAUTO
5230000
-6.17
52.45
-0.85
JSWENERGY
6048000
-5.82
82.40
-2.14
ADANIPORTS
12442000
-5.79
332.75
0.62
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.93
0.76
BHARATFORG
66.34
BANKNIFTY
0.80
0.80
LT
39.16
SBIN
0.42
0.38
JSWSTEEL
63.13
RELIANCE
0.53
0.56
AMBUJACEM
46.76
YESBANK
0.85
0.70
TATASTEEL
75.94
1
Derivative Report
September 16, 2015
Strategy Date
Symbol
Strategy
Status
August 31, 2015
HINDALCO
Long Call
Active
September 07, 2015
RELIANCE
Short Strangle
Active
September 14, 2015
SUNPHARMA
Ratio Bull Call Spread
Active
Research Team Tel: 022 - 39357800
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