Derivative Report
Mar 17, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 1.33%
BankNifty futures open interest has increased by 4.04%
as market closed at 8633.15 levels.
The Nifty March future closed at premium of
32.45
points against a premium of 26.65 points. The April
series closed at a premium of 105.70 points.
The Implied Volatility of at the money options has
increased from 15.13% to 16.02%.
Nifty PCR-OI has decreased from 0.94 to 0.91 levels.
The total OI of the market is Rs. 2,41,566/- cr. and the
stock futures OI is Rs. 74,555/- cr.
Few of the liquid counters where we have seen high cost
of carry are STAR, HDFCBANK, NHPC, ASHOKLEY and
IRB.
View
OI Gainers
FIIs were net sellers in cash market segment of worth
OI
PRICE
Rs. 762 crores. In Index Futures their activity was
SCRIP
OI
CHANGE
PRICE
CHANGE
again subdued, while in Stock Futures some longs
(%)
(%)
were formed.
HCLTECH
5023500
26.65
2057.00
2.04
In Index Options they remained active and they sold
of worth Rs. 835 crores with rise in open interest
NTPC
57872000
10.53
146.15
-2.53
indicating fresh short formation. PCR-OI decreased
WOCKPHARMA
2862500
7.90
1903.85
5.70
with rise in implied volatility suggesting long
formation in call options. 8700 & 8800 call options
IRB
7422000
7.77
231.40
-2.40
continue to add decent open interest which is mix of
CIPLA
7447000
7.69
698.00
-1.43
long and short positions.
8600 call option also
added decent buildup and we believe these are short
OI Losers
formation and this level may act as support now. On
the other hand in put options 8400 strikes added
OI
PRICE
decent buildup, followed by unwinding in 8300 put
SCRIP
OI
CHANGE
PRICE
CHANGE
options suggesting guys who had bought this strike
(%)
(%)
have left hopes of Nifty correcting to this levels.
SUNTV
840000
-7.89
418.90
-0.04
Maximum buildup in current series is seen in 9000
call & 8500 put option.
DLF
27088000
-6.45
164.80
4.14
PFC
5408000
-5.22
272.90
-0.42
FIIs data still haven’t showed any negative signal in
fact we have witness that these guys have bought call
IDEA
19264000
-5.19
174.25
-4.70
options of 8800-9000 strikes and the quantum is
AUROPHARMA
11643500
-4.51
1199.75
4.15
also huge. One should go long in Nifty Futures and
trade with positive bias.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.91
0.90
WOCKPHARMA
57.62
BANKNIFTY
0.64
0.70
GLENMARK
35.32
RELIANCE
0.47
0.53
SSLT
60.27
SBIN
0.31
0.30
ASIANPAINT
33.61
ITC
0.36
0.32
IDEA
59.50
1
Derivative Report
Mar 17, 2015
Strategy Date
Symbol
Strategy
Status
02-03-2015
NIFTY
Long Put
Profit booked on 10-03-15
09-03-2015
HEROMOTOCO
Long Call Ladder
Open
09-03-2015
NIFTY
Long Call
Open
Research Team Tel: 022 - 39357800
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