Derivative Report
Nov 20, 2014
Nifty Vs OI
Comments
The Nifty futures open interest decreased by 1.98% while
BankNifty futures open interest has increased by 5.30%
as market closed at 8382.30 levels.
The Nifty November future closed at premium of 27.25
points against a premium of
26.00 points. The
December series closed at a premium of 74.25 points.
The Implied Volatility of at the money options has
increased from 10.48% to 10.67%.
Nifty PCR-OI has decreased from 1.09 to 1.08 levels.
The total OI of the market is Rs. 2,23,059/- cr. and the
stock futures OI is Rs. 62,159/- cr.
Few of the liquid counter stocks where we have seen high
cost of carry are IOB, BHARATFORG, JISLJALEQS, L&TFH
and DISHTV.
View
OI Gainers
FIIs activity in cash market segment was subdued. In
OI
PRICE
Index Futures they were marginal buyers with fall in
SCRIP
OI
CHANGE
PRICE
CHANGE
open interest which suggests that FIIs covered some
(%)
(%)
of their short positions in last trading session.
APOLLOTYRE
10606000
11.43
225.10
-3.52
In Index Options the bought significantly of worth Rs.
ZEEL
8518000
9.26
388.55
1.35
1303 crores with rise in open interest which indicates
fresh long formation yesterday. PCR-OI decreased
RANBAXY
10232000
9.01
602.15
-4.30
mainly due to unwinding in put options while implied
IOC
7551000
8.65
343.75
-2.51
volatility increased marginally. We witness some
SUNPHARMA
11691250
8.31
850.10
-1.90
open interest addition in 8000 put options in last
trading sessions, followed by good amount of
unwinding in 8400 & 8500 strike price which may be
OI Losers
profit booking of guys who had gone long in these
OI
PRICE
strike prices. On the other hand in call options we
SCRIP
OI
CHANGE
PRICE
CHANGE
hardly saw any relevant buildup; good amount of
(%)
(%)
unwinding was seen in 8600 strike price which may
ASIANPAINT
6289500
-8.25
683.10
-2.64
be short positions which got covered yesterday.
UCOBANK
21432000
-6.28
85.80
-2.72
Seeing some pressure in large cap stock we believe
market may give some dips but one should avoid
SRTRANSFIN
1231500
-6.26
1064.90
1.54
going short as we haven’t seen any relevant short
HEROMOTOCO
2099500
-5.66
3000.35
-0.56
formation in Nifty yet.
CROMPGREAV
16367000
-5.49
196.00
-3.66
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.08
1.13
PETRONET
37.75
BANKNIFTY
1.51
1.18
APOLLOHOSP
43.76
SBIN
0.73
0.69
CENTURYTEX
50.60
RELIANCE
0.48
0.38
RANBAXY
42.47
TATASTEEL
0.54
0.60
L&TFH
36.01
1
Derivative Report
Nov 20, 2014
Strategy Date
Symbol
Strategy
Status
03-11-2014
NIFTY
Long Call
Open
10-11-2014
RELIANCE
Short Strangle
Open
17-11-2014
HDFCBANK
Ratio Call Spread
Open
Research Team Tel: 022 - 39357800
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