Derivative Report
August 18, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has decreased by 2.47%
BankNifty futures open interest has decreased by 1.80% as
market closed at 8477.30 levels.
The Nifty August future closed at a premium of 10.75
points against premium of 24.15 points. The September
series closed at a premium of 49.30 points.
The Implied Volatility of at the money options has
increased from 14.40% to 15.60%.
Nifty PCR-OI has decreased from 1.00 to 0.95 levels.
The total OI of the market is Rs. 2,33,358/- cr. and the
stock futures OI is Rs. 67,612/- cr.
Few of the liquid counters where we have seen high cost of
carry are JPASSOCIAT, IBREALEST, JPPOWER, UNITECH
and SOUTHBANK.
View
OI Gainers
FIIs activity in cash market segment was subdued.
OI
PRICE
In Index Futures they were net sellers of Rs.600
SCRIP
OI
CHANGE
PRICE
CHANGE
crores with fall in OI. This suggests unwinding of
(%)
(%)
long positions in last trading session.
KSCL
1779500
36.28
496.60
-16.81
In Index Options, they bought to the tune of Rs.550
PIDILITIND
1179500
14.29
584.85
0.81
crores with marginal change in OI, indicating
blend of longs and short covering. We saw some
CIPLA
14155000
10.05
705.45
-5.08
build-up in 8500 call option. While in put option,
JSWSTEEL
10960750
7.62
971.45
7.49
we hardly saw fresh OI addition in any strikes.
Good amount of unwinding was visible in 8000-
MINDTREE
342500
7.20
1407.30
2.23
8500 put options which may be due to profit
booking by those who were long. Maximum OI is
seen in 8600 call and 8200 put options.
OI Losers
OI
PRICE
Seeing the above data, we suggest not going
SCRIP
OI
CHANGE
PRICE
CHANGE
aggressively long in this market and adopting ratio
(%)
(%)
bear put spread strategy to trade in Nifty. We are
AMARAJABAT
456750
-12.08
1057.90
8.10
expecting Nifty to remain in pressure, as we are
hardly seeing any fresh buying interest in Nifty
UNIONBANK
12048000
-10.90
219.70
5.25
from past few days.
SBIN
62204000
-7.69
279.65
3.90
DLF
32248000
-6.88
129.80
-2.66
APOLLOTYRE
12218000
-4.22
192.95
0.23
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.95
0.94
KSCL
103.91
BANKNIFTY
0.81
0.71
BANKBARODA
84.72
SBIN
0.50
0.40
CANBK
82.36
RELIANCE
0.40
0.35
AMTEKAUTO
83.50
TATAMOTORS
0.41
0.42
CIPLA
38.82
1
Derivative Report
August 18, 2015
Strategy Date
Symbol
Strategy
Status
August 03, 2015
HINDALCO
Bear Put Spread
Profit Booked on 12th August 2015
August 10, 2015
BANKNIFTY
Long Strangle
Profit Booked on 12th August 2015
August 17, 2015
NIFTY
Ratio Bear Put Spread
Active
Research Team Tel: 022 - 39357800
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