Derivative Report
June 19, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 8.30%
BankNifty futures open interest has decreased by 7.53%
as market closed at 8174.60 levels.
The Nifty June future closed at a discount of 17.05 points
against discount of 12.50 points. The July series closed
at a premium of 2.95 points.
The Implied Volatility of at the money options has
decreased from 16.18% to 14.21%.
Nifty PCR-OI has increased from 0.89 to 0.96 levels.
The total OI of the market is Rs. 2,33,917/- cr. and the
stock futures OI is Rs. 61,789/- cr.
Few of the liquid counters where we have seen high cost
of carry are UNITECH, JPASSOCIAT, ADANIPOWER,
IBREALESTand STAR.
View
OI Gainers
FII's were sellers in cash market segment; they sold
OI
PRICE
of Rs. 784 crores of equity cash. In Index futures
SCRIP
OI
CHANGE
PRICE
CHANGE
they were buyers of worth Rs. 144 crores with
(%)
(%)
significant rise in open interest suggesting blend of
OIL
431000
19.72
467.30
0.52
both long and short positions in last trading
session.
DISHTV
27996000
16.81
109.85
-4.06
In Index options front, FIIs bought of worth Rs.
DLF
29794000
15.23
107.15
-1.56
1697 crores with rise in open interest indicating
ENGINERSIN
3270000
15.14
223.45
5.90
long formation. In call options we hardly saw open
interest addition in any strike; huge unwinding was
SRF
236500
11.29
1073.65
3.19
visible in 8000-8200 call options. On the other
hand in put options 8000 & 8100 strikes added
OI Losers
significant open interest which is long positions
formed by FII’s, while 7900 & 8200 put options
OI
PRICE
also added decent open interest. Maximum
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
buildup in current series is seen in 8300 call and of
put options has shifted to 8000 strike.
CASTROLIND
252500
-6.48
453.05
2.52
We are hardly seeing any buying interest in Index
AMARAJABAT
175000
-5.28
887.35
1.63
Futures by FIIs, continuous buildup in put options is
IGL
868500
-3.82
398.85
-0.54
visible from past few days and we believe these are
longs getting formed. We believe 8200-8250 is a
CIPLA
7625500
-3.52
607.90
-0.82
major resistance for Nifty and one should form
SUNPHARMA
18097750
-3.47
854.60
1.41
shorts near its resistance levels.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.96
1.14
AMTEKAUTO
84.06
BANKNIFTY
0.77
0.89
IOC
44.91
RELIANCE
0.96
0.51
ENGINERSIN
45.07
SBIN
0.32
0.26
RELIANCE
40.06
INFY
0.55
0.65
ADANIPOWER
66.84
1
Derivative Report
June 19, 2015
Strategy Date
Symbol
Strategy
Status
June 01, 2015
INFY
Ratio Bull Call Spread
Active
June 08, 2015
SBIN
Ratio Bull Call Spread
Active
June 15, 2015
ITC
Short Strangle
Active
Research Team Tel: 022 - 39357800
DISCLAIMER
Angel Broking Private Limited (hereinafter referred to as “Angel”) is a registered Member of National Stock Exchange of India Limited, Bombay Stock
Exchange Limited and MCX Stock Exchange Limited. It is also registered as a Depository Participant with CDSL and Portfolio Manager with SEBI. It
also has registration with AMFI as a Mutual Fund Distributor. Angel Broking Private Limited is a registered entity with SEBI for Research Analyst in
terms of SEBI (Research Analyst) Regulations, 2014 vide registration number INH000000164. Angel or its associates has not been debarred/
suspended by SEBI or any other regulatory authority for accessing /dealing in securities Market. Angel or its associates including its relatives/analyst
do not hold any financial interest/beneficial ownership of more than 1% in the company covered by Analyst. Angel or its associates/analyst has not
received any compensation / managed or co-managed public offering of securities of the company covered by Analyst during the past twelve
months. Angel/analyst has not served as an officer, director or employee of company covered by Analyst and has not been engaged in market
making activity of the company covered by Analyst.
This document is solely for the personal information of the recipient, and must not be singularly used as the basis of any investment decision.
Nothing in this document should be construed as investment or financial advice. Each recipient of this document should make such investigations as
they deem necessary to arrive at an independent evaluation of an investment in the securities of the companies referred to in this document
(including the merits and risks involved), and should consult their own advisors to determine the merits and risks of such an investment.
Reports based on technical and derivative analysis center on studying charts of a stock's price movement, outstanding positions and trading volume,
as opposed to focusing on a company's fundamentals and, as such, may not match with a report on a company's fundamentals.
The information in this document has been printed on the basis of publicly available information, internal data and other reliable sources believed to
be true, but we do not represent that it is accurate or complete and it should not be relied on as such, as this document is for general guidance only.
Angel Broking Pvt. Limited or any of its affiliates/ group companies shall not be in any way responsible for any loss or damage that may arise to any
person from any inadvertent error in the information contained in this report. Angel Broking Pvt. Limited has not independently verified all the
information contained within this document. Accordingly, we cannot testify, nor make any representation or warranty, express or implied, to the
accuracy, contents or data contained within this document. While Angel Broking Pvt. Limited endeavors to update on a reasonable basis the
information discussed in this material, there may be regulatory, compliance, or other reasons that prevent us from doing so.
This document is being supplied to you solely for your information, and its contents, information or data may not be reproduced, redistributed or
passed on, directly or indirectly.
Neither Angel Broking Pvt. Limited, nor its directors, employees or affiliates shall be liable for any loss or damage that may arise from or in
connection with the use of this information.
Note: Please refer to the important ‘Stock Holding Disclosure' report on the Angel website (Research Section). Also, please refer to the latest update
on respective stocks for the disclosure status in respect of those stocks. Angel Broking Pvt. Limited and its affiliates may have investment positions in
the stocks recommended in this report.
Derivative Research Team
For Private Circulation Only
SEBI Registration No: INB 010996539
3
