Derivative Report
Oct 20, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 9.04% while
BankNifty futures open interest has increased by 11.06%
as market closed at 7779.70 levels.
The Nifty October future closed at premium of 37.35
points against a premium of
29.90 points. The
November series closed at a premium of 78.30 points.
The Implied Volatility of at the money options has
decreased from 16.27% to 15.22%.
Nifty PCR-OI has increased from 0.83 to 0.84 levels.
The total OI of the market is Rs. 2,14,628/- cr. and the
stock futures OI is Rs. 53,015/- cr.
Few of the liquid counter stocks where we have seen high
cost of carry are JPPOWER, JPASSOCIAT, NHPC,
HDFCBANK and GMRINFRA.
View
OI Gainers
In last trading session NIFTY recovered from its some
OI
PRICE
losses but closed below 7800 levels. FIIs continue
SCRIP
OI
CHANGE
PRICE
CHANGE
selling in cash market segment; they were net seller
(%)
(%)
of worth Rs.
1430 crores. In Index Futures
TCS
5282625
18.10
2441.15
-8.64
interestingly after long time FIIs were bought in a big
way, they bought of Rs. 1030 crores with significant
HCLTECH
3330000
17.60
1505.50
-9.30
rise in open interest indicating fresh long formation.
GLENMARK
2285500
16.73
710.05
-1.17
In Index Options they were net buyers with rise in
CESC
1115500
16.32
671.20
-2.29
open interest signifying some fresh long formation.
PCR-OI has increased while IV’s plunged nearly 100
BANKBARODA
3928500
15.61
871.95
0.28
basis points. We witnessed significant open interest
additions in the range of 7900-8000 call options
OI Losers
which are mostly long positions and FIIs are also part
of it. On the other hand in put options we saw good
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
amount buildup in 7700 strike price. Maximum open
(%)
(%)
interest in this series is seen in 8000 call option &
7800 put options
VOLTAS
7120000
-8.62
230.10
4.37
ORIENTBANK
5638000
-7.66
247.45
5.40
It is surprising to see FIIs buying in Index Future
despite being selling in cash market segment. They
TATACOMM
5502000
-5.67
365.85
1.06
have also been buying higher strikes of call options
HDIL
28784000
-5.59
76.55
3.09
from last two trading sessions. Clubbing all together
and seeing the global market and SGX Nifty we
EICHERMOT
119000
-4.90
11334.35
3.01
believe market may show some strenght.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.84
0.80
TCS
50.88
BANKNIFTY
1.17
0.76
HCLTECH
55.28
RELIANCE
0.38
0.48
HDFCBANK
28.22
INFY
0.85
0.79
ICICIBANK
31.75
TCS
0.25
0.41
IDEA
53.36
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Derivative Report
Oct 20, 2014
Strategy Date
Symbol
Strategy
Status
29-09-2014
NIFTY
Long Put
Did not trigger.
07-10-2014
HINDALCO
Ratio Bull Call Spread
Open.
13-10-2014
LT
Ratio Bear Put Spread
Open.
Research Team Tel: 022 - 39357800
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