Derivative Report
September 18, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has decreased by 1.98%
BankNifty futures open interest has decreased by 5.27% as
market closed at 7899.15 levels.
The Nifty September future closed at a discount of 2.85
points against a discount of 0.55 points. The October
series closed at a premium of 32.00 points.
The Implied Volatility of at the money options has
decreased from 27.26% to 25.87%.
Nifty PCR-OI has increased from 0.93 to 0.95 levels.
The total OI of the market is Rs. 2,40,275/- cr. and the
stock futures OI is Rs. 57,936/- cr.
Few of the liquid counters where we have seen high cost of
carry
are
UNITECH, GMRINFRA, JPASSOCIAT,
SOUTHBANK and ENGINERSIN.
OI Gainers
View
OI
PRICE
Wednesday, FIIs were net sellers in cash market
SCRIP
OI
CHANGE
PRICE
CHANGE
segment to the tune of Rs. 337 crores. They sold
(%)
(%)
Index Futures marginally with fall in OI, suggesting
COLPAL
1088375
39.80
1950.70
1.46
mix of long unwinding and short covering in last
trading session.
DIVISLAB
1354850
30.95
2195.55
0.45
RPOWER
65532000
20.15
39.90
2.05
In Index Options front, they were net sellers of Rs.
287 crores with marginal change in OI. In call
PETRONET
3722000
17.19
171.30
-1.18
options we saw build-up in 7800 and 8200 strikes,
GODREJIND
2424300
10.68
350.90
-1.58
followed by unwinding in
8000 &
8300 call
options. While in put options, 7800 strike added
good amount of OI, some build-up was also visible
OI Losers
in 7500 & 7900 put option. Maximum OI is seen
in 8200 call and 7800 put options.
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
We continue to see meaningful selling in equities
(%)
(%)
by bigger hands. Even though Nifty gave a decent
JSWENERGY
5036000
-16.73
84.25
2.25
bounce, we are hardly witnessing any substantial
buying interest in Nifty. We still believe it’s a sell on
BEL
3468375
-9.49
1077.55
-0.52
rise market; 7900-8000 is an immediate resistance
MINDTREE
186250
-7.80
1378.80
0.04
for Nifty.
AMTEKAUTO
4898000
-6.35
49.95
-4.77
JPPOWER
34010000
-6.23
5.95
0.85
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.95
0.98
HEROMOTOCO
30.72
BANKNIFTY
0.86
0.76
HAVELLS
37.95
SBIN
0.43
0.41
HINDPETRO
53.42
RELIANCE
0.55
0.56
DABUR
41.29
YESBANK
1.07
0.92
EICHERMOT
49.77
1
Derivative Report
September 18, 2015
Strategy Date
Symbol
Strategy
Status
August 31, 2015
HINDALCO
Long Call
Active
September 07, 2015
RELIANCE
Short Strangle
Active
September 14, 2015
SUNPHARMA
Ratio Bull Call Spread
Active
Research Team Tel: 022 - 39357800
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