Derivative Report
Jan 20, 2015
Comments
Nifty Vs OI
The Nifty futures open interest increased by 0.34
levels BankNifty futures open interest has increased
by 1.46% as market closed at 8550.70 levels.
The Nifty January future closed at premium of 23.40
points against a premium of
21.25 points. The
February series closed at a premium of 71.90 points.
The Implied Volatility of at the money options has
increased from 14.85% to 15.74%.
Nifty PCR-OI has increased from 1.23 to 1.27 levels.
The total OI of the market is Rs. 2,25,587/- cr. and
the stock futures OI is Rs. 63,289/- cr.
Few of the liquid counters where we have seen
high cost of carry are JPPOWER, ADANIPOWER,
OFSS, HEXAWARE and INDIACEM.
View
OI Gainers
FIIs were net buyers of worth Rs.433 in cash
OI
PRICE
market segment. In Index Futures their activity
SCRIP
OI
CHANGE
PRICE
CHANGE
was subdued; they were marginal buyers with
(%)
(%)
some rise in open interest in last trading session.
M&MFIN
7146000
25.06
287.25
-6.60
In Index Options they sold of worth Rs. 654 crores
with some rise in open interest indicating blend
MINDTREE
455000
15.34
1414.70
2.48
of long unwinding and short formation. PCR-OI
IBULHSGFIN
3013000
14.30
571.95
0.68
increased mainly due to good amount of open
HEROMOTOCO
1753875
11.09
2841.30
-1.95
interest addition in put options, while implied
volatility also increased on the closing basis. We
BPCL
4389000
10.29
645.20
-1.77
witness good amount of open interest addition
in 8300-8600 put option, which may be long
OI Losers
position. On the other hand in call options we
hardly saw relevant buildup, some open interest
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
addition was seen in 8900 strike price followed
(%)
(%)
by unwinding in lower strikes
8400
& 8600.
Maximum buildup in current series has got
SUNTV
1522000
-11.20
404.90
-3.08
shifted from 8600 to 8700 call options & of put
APOLLOHOSP
415250
-9.83
1200.25
1.03
options still remains at 8000 put options.
BAJAJ-AUTO
1750000
-5.21
2403.90
-0.51
Seeing last three days data we believe it won’t
FEDERALBNK
15894000
-3.54
146.95
1.48
be good idea to sell on rise as of now. One
should adopt stock specific approach to trade
HDIL
29404000
-3.10
79.80
-2.06
in this market.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.27
1.04
M&MFIN
54.38
BANKNIFTY
1.52
0.94
KTKBANK
55.59
RELIANCE
0.64
0.63
HINDUNILVR
47.69
INFY
1.06
0.69
GAIL
34.92
TATASTEEL
0.52
0.55
JSWENERGY
54.14
1
Derivative Report
Jan 20, 2015
Strategy Date
Symbol
Strategy
Status
29-12-2014
NIFTY
Long Put
Loss booked on 02-01-2015.
05-01-2014
NIFTY
Ratio Put Spread
Open.
12-01-2015
ITC
Short Straddle
Open.
19-01-2015
ICICIBANK
Ratio Put Spread
Open.
Research Team Tel: 022 - 39357800
Website:
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