Derivative Report
Feb 19, 2015
Nifty Vs OI
Comments
The Nifty futures open interest increased by 0.30% levels
BankNifty futures open interest has decreased by 1.18%
as market closed at 8869.10 levels.
The Nifty February future closed at premium of 22.20
points against a premium of 35.70 points. The March
series closed at a premium of 79.45 points.
The Implied Volatility of at the money options has
increased from 16.40% to 16.44%.
Nifty PCR-OI has increased from 0.95 to 0.97 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 HDIL, IBREALEST,
IFCI, STAR and
CROMPGREAV.
View
OI Gainers
FIIs bought significantly in cash market segment, they
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
were net buyers of Rs. 2187 crores. They also bought
(%)
(%)
in Index Futures of worth Rs. 284 crores with rise in
open interest indicating fresh long positions.
HEROMOTOCO
3567750
83.35
2663.75
-4.76
In Index Options they were net buyers of Rs. 572
CESC
2908500
22.67
607.40
-0.55
crores with marginal change in open interest which
PETRONET
4912000
19.40
178.80
-2.14
suggests blend of long & short covering. We witness
9000-9100 call options adding decent open interest
ONGC
33073000
10.34
332.60
-2.58
which may be mix of both long & short positions.
DLF
24236000
8.72
149.95
-3.81
Unwinding in lower strikes 8600-8900 call options
was also visible. On the other hand in put options we
hardly saw any relevant buildup, 8700 & 8800 put
OI Losers
options were active amongst others. Maximum
OI
PRICE
buildup in Nifty options is seen in 9000 call & 8500
SCRIP
OI
CHANGE
PRICE
CHANGE
put options.
(%)
(%)
M&M
5351250
-8.83
1228.20
1.46
From last few days we are witnessing some fresh long
formation & short covering in Index Futures and we
UNITECH
187902000
-5.08
18.20
-1.62
believe FIIs are still long on Nifty. We expect Nifty to
HDFC
10837750
-4.66
1328.60
2.94
continue it’s up move and to breach resistance zone
of 8900-8950 levels.
BOSCHLTD
105750
-3.09
27117.70
5.75
LUPIN
8569000
-3.04
1681.85
1.13
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.97
0.97
HEROMOTOCO
34.93
BANKNIFTY
0.71
0.73
HEXAWARE
49.34
BANKBARODA
0.29
0.32
IOC
38.40
SBIN
0.57
0.51
EICHERMOT
49.30
RELIANCE
0.46
0.45
STAR
46.21
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Derivative Report
Feb 19, 2015
FII Statistics for 18-Feb-2015
Turnover on 18-Feb-2015
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Contracts
Value
Change
(` in cr.)
(%)
INDEX
INDEX
1095.35
810.90
284.45
893805
21046.97
0.42
5,09,358
14255.93
-7.24
FUTURES
FUTURES
INDEX
INDEX
11063.96
10491.57
572.39
2314427
64026.26
0.21
67,74,426
160871.72
-2.68
OPTIONS
OPTIONS
STOCK
STOCK
3404.68
3694.46
(289.78)
2000189
61255.90
1.12
8,46,426
27549.91
10.32
FUTURES
FUTURES
STOCK
STOCK
2065.64
2079.67
(14.04)
114792
3584.17
0.47
4,01,239
13147.64
2.38
OPTIONS
OPTIONS
TOTAL
17629.63
17076.61
553.02
5323213
149913.29
0.59
TOTAL
85,31,449
215825.19
-1.22
Nifty Spot =8869.10
Lot Size = 25
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8900
81.00
Buy
8900
85.25
39.15
60.85
8939.15
37.35
62.65
8862.65
Sell
Sell
9000
41.85
8800
47.90
Buy
Buy
8900
81.00
8900
85.25
61.65
138.35
8961.65
60.45
139.55
8839.55
Sell
9100
19.35
Sell
8700
24.80
Buy
9000
41.85
Buy
8800
47.90
22.50
77.50
9022.50
23.10
76.90
8776.90
Sell
9100
19.35
Sell
8700
24.80
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Feb Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Derivative Report
Feb 19, 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
E-mail: [email protected]
Website: www.angelbroking.com
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