Derivative Report
July 18, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 2.09% while
BankNifty futures open interest has decreased by 5.23%
as market closed at 7640.45 levels.
The Nifty July future closed at premium of 18.30 point
against a premium of 18.65 points. The August series
closed at a premium of 55.75 points.
The Implied Volatility of at the money options has
decreased from 13.20% to 12.93%.
Nifty PCR-OI has increased from 0.78 to 0.82 levels.
The total OI of the market is Rs. 1,89,173/- cr. and the
stock futures OI is Rs. 53,353/- cr.
Few of the liquid counters stocks where we have seen
high cost of carry are GMRINFRA, HDIL, NHPC,
ADANIPOWER and KTKBANK.
OI Gainers
View
OI
PRICE
FIIs bought significantly in cash market segment of
SCRIP
OI
CHANGE
PRICE
CHANGE
worth Rs. 1912 crores. In F&O segment they were net
(%)
(%)
buyer with marginal change in open interest in Index
M&M
3225750
39.78
1183.45
-2.13
Futures indicating blend of both long positions and
covering of short positions formed earlier.
HAVELLS
377250
30.99
1280.70
4.92
ULTRACEMCO
730125
18.43
2592.95
2.99
In Index Options FIIs bought of worth Rs. 631 crores
with marginal change in open interest which is again
IRB
13724000
17.14
270.70
7.13
a mix of both long & short covering. In call options
RECLTD
5198000
13.57
325.10
-0.32
we saw 7700 call options adding good amount of
open interest with fall in implied volatility of call
options indicating fresh short positions formed
OI Losers
yesterday. On the other hand in put options we are
OI
PRICE
continuously witnessing buildup in 7500 & 7600
SCRIP
OI
CHANGE
PRICE
CHANGE
strike prices from last two trading sessions which may
(%)
(%)
be long positions. Maximum buildup in current series
KOTAKBANK
5496500
-12.57
914.90
3.21
is seen in 8000 call and 7500 put options.
MARUTI
1717625
-5.61
2560.35
-0.60
MRF
32625
-4.74
23288.55
1.63
BPCL
3081000
-4.66
591.10
-0.18
SBIN
4419125
-3.96
2602.25
0.95
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.82
0.83
CROMPGREAV
92.87
BANKNIFTY
0.96
0.76
APOLLOHOSP
38.24
RELIANCE
0.36
0.38
HAVELLS
44.69
INFY
0.53
0.42
KOTAKBANK
32.43
SBIN
0.63
0.50
ULTRACEMCO
31.48
1
Derivative Report
July 18, 2014
Strategy Date
Symbol
Strategy
Status
30-06-2014
Reliance
Ratio Bull Call Spread
Open
07-07-2014
ITC
Long Put Ladder
Open
14-07-2014
DLF
Short Strangle
Open
Research Team Tel: 022 - 39357800
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