Derivative Report
Sept 19, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 12.00% while
BankNifty futures open interest has increased by 1.73%
as market closed at 8114.75 levels.
The Nifty September future closed at premium of 21.95
point against a premium of 17.35 points. The October
series closed at a premium of 68.10 points.
The Implied Volatility of at the money options has
decreased from 13.00% to 11.19%.
Nifty PCR-OI has increased from 0.90 to 1.01 levels.
The total OI of the market is Rs. 2,01,201/- cr. and the
stock futures OI is Rs. 56,943/- cr.
Few of the liquid counter stocks where we have seen high
cost of carry are M&MFIN, MINDTREE, DISHTV,
JPASSOCIAT and EICHERMOT.
OI Gainers
View
OI
PRICE
Yesterday Nifty soared above 8100 mark but FIIs
SCRIP
OI
CHANGE
PRICE
CHANGE
activity was subdued in cash market segment. At the
(%)
(%)
same time in Index Futures they were net buyer of
worth Rs. 644 crores with reasonable amount of rise
MINDTREE
293500
55.50
1181.25
4.76
in open interest indicating blend of both long and
TVSMOTOR
4416000
31.74
221.70
3.99
short positions in last trading session.
HAVELLS
6606250
20.03
272.30
2.24
In Index Options they bought marginally with some
HEXAWARE
10942000
19.45
192.35
9.96
rise in open interest which suggests mix of short
covering and formations of long positions. We
INFY
4154000
19.34
3697.00
-1.02
witnessed good amount of volume in Nifty options
but FII were not that active. PCR-OI jumped higher
OI Losers
and moved above
1.00% while implied volatility
plunged which suggests selling pressure in put
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
options. We saw 8000 & 8100 put option adding
(%)
(%)
significant open interest and we believe these are
short positions. On the other hand in call options
HDIL
20608000
-14.53
93.50
9.48
8300 strike price added good amount of buildup,
UNITECH
171156000
-9.55
25.90
12.83
followed by significant unwinding in the range of
7900-8200 strike price. Maximum buildup in current
RELINFRA
5768000
-6.60
674.20
3.76
series is seen in 8200 call options and of put options
AMBUJACEM
12622000
-6.46
213.45
2.03
still remains at 8000 strike price.
SRTRANSFIN
870000
-6.40
962.45
1.01
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.01
0.95
HEXAWARE
65.35
BANKNIFTY
0.85
0.83
HEROMOTOCO
40.27
RELIANCE
0.40
0.41
DRREDDY
26.69
SBIN
0.68
0.61
ZEEL
39.91
INFY
0.53
0.40
MINDTREE
35.81
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Derivative Report
Sept 19, 2014
Strategy Date
Symbol
Strategy
Status
02-09-2014
DLF
Long call ladder
Open.
08-09-2014
NIFTY
Long put ladder
Open.
15-09-2014
HINDALCO
Short strangle
Open.
Research Team Tel: 022 - 39357800
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