Derivative Report
Feb 18, 2015
Nifty Vs OI
Comments
The Nifty futures open interest increased by 1.64% levels
BankNifty futures open interest has increased by 1.75%
as market closed at 8809.35 levels.
The Nifty February future closed at premium of 35.70
points against a premium of 36.05 points. The March
series closed at a premium of 90.60 points.
The Implied Volatility of at the money options has
increased from 14.96% to 16.40%.
Nifty PCR-OI has decreased from 0.98 to 0.95 levels.
The total OI of the market is Rs. 2,40,738/- cr. and the
stock futures OI is Rs. 73.788/- cr.
Few of the liquid counters where we have seen high cost
of carry are IBREALEST, UBL, TATACOMM, EICHERMOT
and ABIRLANUVO.
View
OI Gainers
FIIs were net sellers in cash market segment of Rs.
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
182 crores. They also bought in Index Futures of
(%)
(%)
worth Rs.
512 crores with fall in open interest
indicating covering of short positions formed earlier.
CESC
2371000
98.33
610.85
-12.31
In Index Options they were net sellers of Rs. 534
JUSTDIAL
580125
8.87
1397.15
-3.44
crores with some rise in open interest which suggest
UBL
668500
8.17
967.35
-4.08
short formation. We witness 8900 call options adding
reasonable open interest which may be long
DABUR
3031000
7.06
266.85
-2.05
positions. Decent amount of buildup was also visible
DLF
22292000
7.06
155.50
0.35
in 9100-9300 call options which may be blend of
long & short. On the other hand in put options
decent amount of buildup was visible in 8700-8900
OI Losers
put options, followed by unwinding in 8400-8600
OI
PRICE
strike prices. Maximum buildup in Nifty options is
SCRIP
OI
CHANGE
PRICE
CHANGE
seen in 9000 call & 8500 put options.
(%)
(%)
M&M
5869750
-10.05
1210.45
1.30
Nifty corrected without reasonable long unwinding or
short formation and we believe long positions formed
BPCL
3345000
-8.33
725.85
-0.24
by FIIs last series are still in system. We expect Nifty
IBULHSGFIN
2636500
-8.17
616.05
0.33
to continue it’s up moves and to breach resistance
zone of 8900-8950 levels.
TATAMTRDVR
14970000
-4.98
350.60
1.24
HDIL
24976000
-4.51
117.75
7.01
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.95
0.96
NIFTY
17.38
BANKNIFTY
0.62
0.67
BANKNIFTY
27.71
BANKBARODA
0.30
0.25
BANKBARODA
51.30
SBIN
0.60
0.58
SBIN
51.56
RELIANCE
0.47
0.69
RELIANCE
31.66
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Derivative Report
Feb 18, 2015
Strategy Date
Symbol
Strategy
Status
02-02-2015
NIFTY
Ratio Bull Call Spread
Open
09-02-2015
Reliance
Short Strangle
Open
Research Team Tel: 022 - 39357800
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