Derivative Report
Feb 20, 2015
Nifty Vs OI
Comments
The Nifty futures open interest increased by
0.03%
BankNifty futures open interest has increased by 3.70%
as market closed at 8895.30 levels.
The Nifty February future closed at premium of 20.85
points against a premium of 22.20 points. The March
series closed at a premium of 77.65 points.
The Implied Volatility of at the money options has
increased from 16.44% to 17.86%.
Nifty PCR-OI has increased from 0.97 to 0.99 levels.
The total OI of the market is Rs. 2,40,738/- cr. and the
stock futures OI is Rs. 73.788/- cr.
Few of the liquid counters where we have seen high cost
of carry are UNITECH, BAJAJ-AUTO, HDIL, JPASSOCIAT
and COALINDIA.
View
OI Gainers
FIIs bought significantly in cash market segment, they
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
were net buyers of Rs. 1542 crores. They were net
(%)
(%)
sellers in Index Futures of worth Rs. 503 crores with
fall in open interest indicating long unwinding in
TITAN
9918000
21.86
432.75
0.59
yesterday’s session.
BOSCHLTD
126125
19.27
26201.85
-2.73
In Index Options they sold of Rs. 323 crores with fall
DLF
26428000
9.04
150.25
0.10
in open interest which suggests unwinding of their
positions. We hardly saw any relevant buildup in call
TECHM
3146000
8.88
2830.15
-2.11
options, decent amount of unwinding in 9000 &
HINDPETRO
8870500
8.10
594.90
0.90
9200 call options was visible which may be profit
booking by those guys who were long on it. On the
other hand 8800 & 8900 put options were active
OI Losers
amongst others and added decent buildup with rise
OI
PRICE
in implied volatility which indicates long formation.
SCRIP
OI
CHANGE
PRICE
CHANGE
Maximum buildup in Nifty options is seen in 9000
(%)
(%)
call & of put options has got shifted to 8800 strike
JINDALSTEL
27184000
-12.44
195.35
25.52
price.
GODREJIND
2563561
-7.41
331.60
0.02
Nifty has resistance zone of 8900-8950 levels. We
TCS
5412500
-7.24
2681.05
1.54
don’t expect major upside from these levels.
AMBUJACEM
6619000
-6.79
265.05
-1.26
ACC
1465000
-6.45
1615.15
-2.09
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.99
1.03
JINDALSTEL
119.24
BANKNIFTY
0.66
0.55
JSWSTEEL
44.62
BANKBARODA
0.27
0.24
TATAMTRDVR
48.22
SBIN
0.51
0.51
IDEA
38.31
RELIANCE
0.46
0.38
ADANIPOWER
64.23
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Derivative Report
Feb 20, 2015
Strategy Date
Symbol
Strategy
Status
02-02-2015
NIFTY
Ratio Bull Call Spread
Open
09-02-2015
Reliance
Short Strangle
Open
16-02-2015
ONGC
Ratio Bull Call Spread
Open
Research Team Tel: 022 - 39357800
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