Derivative Report
Oct 17, 2014
Comments
Nifty Vs OI
The Nifty futures open interest decreased by 1.19% while
BankNifty futures open interest has decreased by 1.37%
as market closed at 7748.20 levels.
The Nifty October future closed at premium of 29.90
points against a premium of
31.25 points. The
November series closed at a premium of 75.15 points.
The Implied Volatility of at the money options has
increased from 13.86% to 16.27%.
Nifty PCR-OI has decreased from 0.87 to 0.83 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 GMRINFRA, DISHTV, IDEA, GRASIM and
GLENMARK.
View
OI Gainers
Yesterday NIFTY plunged more than 100 basis points
and closed below major support zone of 7800 which
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
was in line to our expectation. FIIs also participated in
(%)
(%)
this fall, they continue selling in cash market
segment; they were net seller of worth Rs.
1128
ULTRACEMCO
995250
12.57
2317.60
-6.10
crores. In Index Futures again they were net seller of
M&M
2630000
9.15
1219.10
-4.37
Rs. 729 crores with significant fall in open interest
indicating continuation of long unwinding in last
IOC
5639000
8.88
359.25
-2.11
trading session.
BAJAJ-AUTO
1328875
8.62
2363.55
-1.72
In Index Options FIIs were net buyers with rise in
IDEA
17256000
8.08
146.90
-4.49
open interest signifying some fresh long formation.
PCR-OI has decreased while IV’s jumped higher
which indicates buying in call options. We witnessed
OI Losers
significant open interest additions in the range of
OI
PRICE
7800-8000 call options which are mostly long
SCRIP
OI
CHANGE
PRICE
CHANGE
positions. In put options we saw good amount of
(%)
(%)
profit booking in 7800 strike price while lower strike
TVSMOTOR
3888000
-19.34
224.65
-0.86
prices 7400 & 7600 put options continue adding
open interest and we believe these are long positions.
HDIL
30488000
-10.48
74.50
-0.40
DLF
25576000
-9.93
110.35
4.83
Maximum buildup of call option has shifted to 8000
call options which may now act as new support for
KOTAKBANK
2568500
-8.35
991.60
-2.38
market. Seeing continuous selling in cash market and
INFY
3846500
-6.35
3865.30
-0.30
long unwinding in Index Futures one should adopt
sell on rise strategy in this market.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.83
0.91
UBL
52.68
BANKNIFTY
0.99
0.90
MCLEODRUSS
48.23
INFY
0.84
0.83
ULTRACEMCO
43.90
RELIANCE
0.37
0.44
CROMPGREAV
65.16
TCS
0.40
0.54
UPL
56.93
1
Derivative Report
Oct 17, 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
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