Derivative Report
Sept 17, 2014
Comments
Nifty Vs OI
The Nifty futures open interest decreased by 1.79% while
BankNifty futures open interest has decreased by 0.78%
as market closed at 7932.90 levels.
The Nifty September future closed at premium of 27.95
point against a premium of 20.55 points. The October
series closed at a premium of 73.80 points.
The Implied Volatility of at the money options has
decreased from 12.41% to 12.34%.
Nifty PCR-OI has decreased from 0.91 to 0.87 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 GMRINFRA, APOLLOHOSP, NHPC,
NTPC and GLENMARK.
OI Gainers
View
OI
PRICE
Yesterday it was the red day for market, NIFTY
SCRIP
OI
CHANGE
PRICE
CHANGE
plunged more than 100 points. FIIs also participated
(%)
(%)
in this downward move; they were net seller of worth
Rs. 828 crores. They also formed some fresh short
TVSMOTOR
3154000
25.46
210.80
-4.19
positions in Index Futures yesterday.
HDIL
28680000
9.70
86.40
-8.67
In Index Options they bought significantly of worth
PFC
9178000
8.98
249.05
-6.80
Rs. 1076 crores with rise in open interest which
JSWENERGY
8256000
8.52
74.80
-6.72
suggests blend of short covering and formations of
long positions. PCR-OI decreased with marginal
EICHERMOT
107250
7.79
11484.75
-6.03
change in implied volatility which indicated mix of
both long and short positions in call options. 8000
OI Losers
strike price of call options added significant buildup,
7900, 8100 and 8200 strike prices also added some
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
buildup. On the other hand in put options
7800
(%)
(%)
strike price added majority of open interest yesterday,
followed by good amount of unwinding in 8000 &
UNIONBANK
8644000
-18.28
210.10
-4.92
8100 strike price, we believe writers of put options
MCDOWELL-N
910750
-17.19
2368.25
0.14
are squaring off their position from last two trading
session anticipating further selling pressure in Nifty.
IGL
971000
-16.08
410.90
-3.16
Maximum buildup in current series is seen in 8200
MARUTI
1945375
-11.74
2950.35
-0.57
call options and of put options still remains at 8000
strike price.
HEROMOTOCO
1301000
-10.66
2790.50
-0.42
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.87
0.92
GMRINFRA
71.10
BANKNIFTY
0.72
0.73
TATAPOWER
45.36
RELIANCE
0.37
0.34
IDBI
53.62
SBIN
0.46
0.58
TATAMTRDVR
49.01
LT
0.52
0.58
HINDZINC
38.91
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Derivative Report
Sept 17, 2014
Strategy Date
Symbol
Strategy
Status
02-09-2014
DLF
Long call ladder
Open.
08-09-2014
NIFTY
Long put ladder
Open.
15-09-2014
HINDALCO
Short strangle
Open.
Research Team Tel: 022 - 39357800
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