Derivative Report
August 19, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has decreased by
0.55% BankNifty futures open interest has decreased
by 3.89% as market closed at 8466.55 levels.
The Nifty August future closed at a premium of 15.15
points against premium of
10.75 points. The
September series closed at a premium of
54.15
points.
The Implied Volatility of at the money options has
decreased from 15.60% to 15.23%.
Nifty PCR-OI has increased from 0.95 to 0.98 levels.
The total OI of the market is Rs. 2,37,829/- cr. and the
stock futures OI is Rs. 68,708/- cr.
Few of the liquid counters where we have seen high
cost of carry are JPPOWER, UNITECH, IFCI, DLF and
ADANIPOWER.
View
OI Gainers
Yesterday, FII's were net sellers in cash market
OI
PRICE
segment to the tune of Rs.255 crores, In Index
SCRIP
OI
CHANGE
PRICE
CHANGE
Futures, they were marginal buyers with fall in
(%)
(%)
OI, suggesting blend of short covering and
BEL
574000
15.17
3719.80
-2.29
long unwinding.
HDIL
18800000
14.54
79.50
-3.52
In Index Options, they bought of worth Rs.678
crores with marginal change in OI. This
OFSS
280500
14.26
4409.05
3.65
indicates blend of long and short covering. In
IBREALEST
39604000
14.19
64.90
1.41
yesterday’s options data we are hardly
witnessing any meaningful OI addition. In call
CESC
2008500
10.57
570.75
-3.45
options,
8500 strike added some build-up
followed by unwinding in 8400, 8700 and 8900
OI Losers
strikes. While in put options, some OI addition
was visible in 8200 and 8500 strikes. Maximum
OI
PRICE
OI in current series is seen in 8600 call and
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
8200 put options.
AMARAJABAT
420500
-7.94
1039.60
-1.73
Seeing the above data, we suggest not going
aggressively long in this market and adopting
KSCL
1643000
-7.67
522.60
5.24
ratio bear put spread to trade in Nifty. We
IOC
17470000
-5.00
400.00
3.65
expect Nifty to remain in pressure as we are
hardly seeing any fresh buying interest in Nifty
ALBK
7656000
-4.66
98.35
1.86
from past few trading sessions.
SBIN
59438000
-4.45
284.65
1.79
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.98
0.90
ASHOKLEY
41.74
BANKNIFTY
0.80
0.85
GAIL
35.78
RELIANCE
0.38
0.33
OFSS
29.92
SBIN
0.59
0.43
CESC
34.19
TATAMOTORS
0.40
0.37
DIVISLAB
36.27
1
Derivative Report
August 19, 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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