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
www.angelbroking.com
1
Derivative Report
Sept 19, 2014
FII Statistics for 18-Sept-2014
Turnover on 18-Sept-2014
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Contracts
Value
Change
(` in cr.)
(%)
INDEX
INDEX
2736.32
2091.50
644.82
263889
10735.62
12.12
4,97,655
20100.15
71.77
FUTURES
FUTURES
INDEX
INDEX
28173.69
28134.37
39.32
1643972
66685.08
1.03
71,51,924
288917.66
73.19
OPTIONS
OPTIONS
STOCK
STOCK
3191.02
3110.15
80.86
1312790
49115.07
(0.33)
8,30,865
33745.91
15.71
FUTURES
FUTURES
STOCK
STOCK
3345.97
3240.47
105.50
83545
3064.54
10.20
5,00,528
19530.29
17.54
OPTIONS
OPTIONS
TOTAL
37447.00
36576.49
870.50
3304196
129600.31
1.50
TOTAL
89,80,976
362294.29
61.52
Nifty Spot =8114.75
Lot Size = 50
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8100
70.35
Buy
8100
35.95
47.15
52.85
8147.15
21.50
78.50
8078.50
Sell
Sell
8200
23.20
8000
14.45
Buy
Buy
8100
70.35
8100
35.95
64.50
135.50
8164.50
29.90
170.10
8070.10
Sell
8300
5.85
Sell
7900
6.05
Buy
8200
23.20
Buy
8000
14.45
17.35
82.65
8217.35
8.40
91.60
7991.60
Sell
8300
5.85
Sell
7900
6.05
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Aug Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
www.angelbroking.com
2
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
E-mail: [email protected]
Website: www.angelbroking.com
DISCLAIMER
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.
Angel Broking Pvt. Limited, its affiliates, directors, its proprietary trading and investment businesses may, from time to time, make
investment decisions that are inconsistent with or contradictory to the recommendations expressed herein. The views contained in
this document are those of the analyst, and the company may or may not subscribe to all the views expressed within.
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 endeavours 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.
Angel Broking Pvt. Limited and its affiliates may seek to provide or have engaged in providing corporate finance, investment
banking or other advisory services in a merger or specific transaction to the companies referred to in this report, as on the date of
this report or in the past.
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
Email Id : - [email protected]
For Private Circulation Only
SEBI Registration No: INB 010996539
www.angelbroking.com
3