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
1
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
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