Derivative Report
May 20, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 1.16%
BankNifty futures open interest has decreased by 3.02%
as market closed at 8365.65 levels.
The Nifty May future closed at premium of 0.65 points
against a discount of 0.85 points. The June series closed
at a premium of 29.15 points.
The Implied Volatility of at the money options has
decreased from 18.09% to 17.40%.
Nifty PCR-OI has decreased from 1.05 to 1.02 levels.
The total OI of the market is Rs. 2,22,008/- cr. and the
stock futures OI is Rs. 60,493/- cr.
Few of the liquid counters where we have seen high cost
of carry are
GMRINFRA, RPOWER,
RCOM, PTC and
SUNTV.
OI Gainers
View
OI
PRICE
FII's activity in cash market segment was subdued,
SCRIP
OI
CHANGE
PRICE
CHANGE
whereas there bought of Rs 647 crores of Index
(%)
(%)
futures with rise in open interest suggesting fresh
long formation.
COLPAL
799250
20.17
2082.35
0.20
ARVIND
8308000
16.24
247.00
-1.42
In options front, FIIs were net buyers of Rs. 1048
crores with marginal change in open interest which
DRREDDY
895750
10.55
3647.85
0.70
indicates blend of long and short covering.
BHARATFORG
3035000
10.15
1294.20
-0.09
Yesterday PCR-OI decreased mainly due to open
interest addition in call options, we saw good
POWERGRID
18378000
9.76
138.55
-0.65
amount of buildup in the range of 8400-8600 call
options which may be blend of long and short
OI Losers
positions. Whereas in put options decent amount
of buildup was seen in 8300-8400 strikes followed
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
by huge unwinding in the range of 7600-8200 put
(%)
(%)
options.
IRB
4904000
-12.24
239.55
2.04
Yesterday Nifty again showed strength but couldn’t
manage to close above its resistance zone of 8400
WIPRO
6054000
-6.81
552.35
1.47
level. FIIs also participated in yesterday’s move by
ASIANPAINT
4895000
-6.17
775.45
0.86
forming some fresh long positions in Index Futures,
still we would suggest not to go long until Nifty
APOLLOTYRE
9450000
-4.53
183.55
-1.37
sustain above 8400 mark with meaningful buying.
SRTRANSFIN
2469000
-4.51
845.95
0.13
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.02
1.02
BATAINDIA
36.29
BANKNIFTY
0.90
1.08
PETRONET
35.96
RELIANCE
0.48
0.53
JUSTDIAL
60.56
SBIN
0.57
0.52
JPPOWER
62.62
TATASTEEL
0.90
0.77
MOTHERSUMI
52.89
1
Derivative Report
May 20, 2015
Strategy Date
Symbol
Strategy
Status
04-05-15
RELIANCE
Bull Call Spread
Open
11-05-15
INFY
Bull Call Spread
Open
18-05-15
NIFTY
Ratio Bear Put Spread
Open
Research Team Tel: 022 - 39357800
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