Derivative Report
May 19, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has decreased by 1.10%
BankNifty futures open interest has increased by 9.18%
as market closed at 8373.65 levels.
The Nifty May future closed at discount of 0.85 points
against a discount of 1.15 points. The June series closed
at a premium of 25.65 points.
The Implied Volatility of at the money options has
decreased from 18.99% to 18.09%.
Nifty PCR-OI has increased from 0.96 to 1.05 levels.
The total OI of the market is Rs. 2,20,039/- cr. and the
stock futures OI is Rs. 60,066/- cr.
Few of the liquid counters where we have seen high cost
of carry are JPASSOCIAT, JPPOWER, NHPC, PTC and
UCOBANK.
OI Gainers
View
OI
PRICE
FII's continued to sell in cash market, yesterday they
SCRIP
OI
CHANGE
PRICE
CHANGE
sold of Rs. 202 crores of equity cash, whereas
(%)
(%)
there bought Rs 228 crores of Index futures with
fall in open interest suggesting covering of short
ASIANPAINT
5217000
19.94
768.85
-2.78
positions formed earlier.
ZEEL
14934000
17.90
311.95
3.19
In options front, FIIs were net buyers of Rs. 1245
ARVIND
7147000
16.55
250.55
-1.30
crores with marginal change in open interest which
BPCL
2201500
15.26
793.05
3.38
indicates blend of long and short covering.
Yesterday we saw huge amount of buildup in 8200
CANBK
10114000
13.22
355.10
-2.15
and 8300 put options which may be blend of long
and short positions. Decend amount of unwinding
OI Losers
was also visible in 7900 and 7500 put strikes.
Whereas in call options some buildup was seen in
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
8800 strike followed by unwiniding 8300-8500
(%)
(%)
call options which may be due to short covering
seeing yesterdays move.
POWERGRID
16744000
-11.98
139.45
-0.18
Yesterday Nifty showed strength but couldn’t
OFSS
142375
-8.81
3489.70
-0.49
manage to close above its resistance zone of 8400
APOLLOHOSP
361250
-8.60
1274.30
1.76
level. We would suggest not to go long till Nifty
does not sustain above 8400 mark.
IGL
977500
-6.90
414.00
2.56
LUPIN
3979125
-6.01
1734.75
2.71
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.05
1.03
JISLJALEQS
86.57
BANKNIFTY
0.86
0.92
APOLLOTYRE
58.70
RELIANCE
0.47
0.59
GAIL
35.34
SBIN
0.55
0.59
ZEEL
35.97
SUNPHARMA
0.42
0.29
DRREDDY
36.54
1
Derivative Report
May 19, 2015
Strategy Date
Symbol
Strategy
Status
04-05-15
RELIANCE
Bull Call Spread
Open
11-05-15
INFY
Bull Call Spread
Open
18-05-15
NIFTY
Ratio Bear Put Spread
Open
Research Team Tel: 022 - 39357800
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