Derivative Report
Aug 20, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 2.75% while
BankNifty futures open interest has increased by 5.88%
as market closed at 7897.50 levels.
The Nifty August future closed at premium of 12.15 point
against a premium of 3.45 points. The September series
closed at a premium of 43.05 points.
The Implied Volatility of at the money options has
increased from 11.32% to 11.69%.
Nifty PCR-OI has decreased from 1.07 to 1.06 levels.
The total OI of the market is Rs. 1,90,957/- cr. and the
stock futures OI is Rs. 53,384/- cr.
Few of the liquid counters stocks where we have seen
high cost of carry are UBL, ACC, SIEMENS, HDFCBANK
and SUNTV.
View
OI Gainers
OI
PRICE
Yesterday market gave an upswing and made a new
SCRIP
OI
CHANGE
PRICE
CHANGE
life time high of 7918.55. FIIs also participated in
(%)
(%)
this move and were net buyer in cash market
segment of worth Rs. 559 crores. In F&O segment
SUNTV
2232000
26.60
365.20
-1.32
again they were net buyer in Index Futures with rise in
ACC
1198250
26.16
1523.95
1.11
open interest indicating fresh long positions in
yesterday’s trading session.
APOLLOHOSP
376750
21.93
1172.55
4.98
In Index options they bought in a big way of worth Rs.
COLPAL
698500
20.43
1486.35
2.41
2852 crores with rise in open interest indicating
BPCL
3732500
17.74
674.05
3.60
significant long formation. We are continuously
seeing addition in
7700-7900 put options and
OI Losers
yesterday even the quantum was huge. We believe
FIIs are going long in these put strikes and at the
OI
PRICE
same time they are forming fresh long positions in
SCRIP
OI
CHANGE
PRICE
CHANGE
Index Futures which suggest they are hedging their
(%)
(%)
futures positions. On the other hand in call options
LT
7688000
-7.61
1532.65
1.14
we saw out-the-money strike prices 8000 & 8100 to
be quite active, they added good amount of buildup
HDFC
6455750
-6.99
1085.05
-2.44
in last trading session. Maximum open interest in
TATACHEM
3816000
-6.88
372.20
-0.61
current series is seen in 8000 call and of put options
has shifted from 7600 to 7700 which will now act as
ADANIPORTS
9908000
-5.82
287.15
4.57
a support for Nifty.
ZEEL
5375000
-5.35
283.55
1.07
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.06
1.06
UBL
30.03
BANKNIFTY
0.99
0.85
BAJAJ-AUTO
25.38
SBIN
0.44
0.37
ASHOKLEY
60.43
RELIANCE
0.49
0.45
INDUSINDBK
28.67
AXISBANK
0.58
0.51
SRTRANSFIN
40.80
1
Derivative Report
Aug 20, 2014
Strategy Date
Symbol
Strategy
Status
04-08-2014
BANKNIFTY
Ratio Put Spread
Open
11-08-2014
NIFTY
Long Put
Loss booked on 12-08-2014.
18-08-2014
BHEL
Ratio Bull Call Spread
Open
Research Team Tel: 022 - 39357800
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