Derivative Report
Aug 18, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 2.84% while
BankNifty futures open interest has increased by 3.01%
as market closed at 7791.70 levels.
The Nifty August future closed at premium of 12.00 point
against a premium of 6.80 points. The September series
closed at a premium of 45.00 points.
The Implied Volatility of at the money options has
decreased from 11.81% to 10.87%.
Nifty PCR-OI has increased from 0.94 to 0.99 levels.
The total OI of the market is Rs. 1,90,957/- cr. and the
stock futures OI is Rs. 53,384/- cr.
Few of the liquid counters stocks where we have seen
high cost of carry are TATAMTRDVR, IBREALEST,
MCLEODRUSS, JPPOWER and GMRINFRA.
OI Gainers
View
OI
PRICE
FIIs were net buyer in cash market segment of worth
SCRIP
OI
CHANGE
PRICE
CHANGE
Rs. 625 crores. In F&O segment again they bought of
(%)
(%)
worth Rs. 604 crores in Index Futures with rise in
open interest indicating fresh long positions.
COLPAL
514250
30.60
1448.95
-1.08
DABUR
2672000
17.81
217.90
2.87
In Index options they were net seller with rise in open
interest indicating fresh short formation, PCR-OI has
VOLTAS
6472000
17.46
221.20
8.33
jumped higher due to significant buildup in put
ZEEL
6446000
15.23
270.00
0.46
options while implied volatility plunged 100 basis
points. In put options we saw significant buildup in
RECLTD
6019000
12.19
285.60
1.54
7700 & 7800 strike price and we believe these are
short positions formed by FIIs. On the other hand we
OI Losers
saw some buildup in 7900 call options followed by
unwinding in 7700 call options which is due to profit
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
booking. Maximum open interest in current series is
(%)
(%)
seen in 8000 call and 7600 put options.
HDIL
26808000
-16.95
90.25
-1.04
GAIL
3424000
-9.66
425.70
3.41
PFC
7866000
-8.43
265.50
3.26
CANBK
8935000
-7.01
375.05
2.39
YESBANK
7677000
-5.88
540.85
-0.76
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.99
1.04
JSWSTEEL
49.62
BANKNIFTY
0.82
0.80
VOLTAS
72.50
SBIN
0.37
0.43
HEROMOTOCO
27.75
RELIANCE
0.47
0.38
DABUR
31.75
AXISBANK
0.37
0.45
MCDOWELL-N
33.65
1
Derivative Report
Aug 18, 2014
Strategy Date
Symbol
Strategy
Status
04-08-2014
BANKNIFTY
Ratio Put Spread
Open
11-08-2014
NIFTY
Long Put
Loss booked on 12-08-2014.
Research Team Tel: 022 - 39357800
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