Derivative Report
Apr 21, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 1.26%
BankNifty futures open interest has increased by 12.12%
as market closed at 8448.10 levels.
The Nifty April future closed at premium of 21.80 points
against a premium of 32.85 points. The May series
closed at a premium of 77.80 points.
The Implied Volatility of at the money options has
increased from 14.97% to 16.35%.
Nifty PCR-OI has decreased from 0.97 to 0.89 levels.
The total OI of the market is Rs. 2,32,834/- cr. and the
stock futures OI is Rs. 67,653/- cr.
Few of the liquid counters where we have seen high cost
of carry are BHARATFORG, UNITECH, GMRINFRA,
SRTRANSFIN and NHPC.
OI Gainers
View
OI
PRICE
FII's continue to sell in cash market segment and
SCRIP
OI
CHANGE
PRICE
CHANGE
yesterday they were sellers to the tune of Rs 1500
(%)
(%)
crores. In index futures they unwounded
NMDC
17508000
8.84
126.05
-5.97
significant amount of long positions.
CROMPGREAV
15905000
8.64
173.15
-0.32
Despite FIIs index future unwinding we saw
significant built-up of short positions in BankNifty
HEROMOTOCO
2929875
8.22
2326.25
-3.89
futures and some in Nifty futures as well. This
JUSTDIAL
1100750
8.18
1120.85
-4.34
indicates that most traders are bearish on market
as of now and this consensus may lead to further
RELINFRA
6965500
7.93
433.05
-4.78
rise in implied volatility which has already
OI Losers
increased by more than 200 bps in last two
OI
PRICE
sessions.
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
In options segment we have witnessed huge built-
up in 8600 and 8500 call. This we believe is blend
HINDZINC
3352000
-20.15
170.45
-1.45
of both long and short and which further indicates
DABUR
2095000
-6.72
269.25
-1.41
that volatility may only increase from here and
don't expect one way correction. 8600 and 8700
HAVELLS
3957000
-6.34
292.30
1.95
put writers seem to have given away their bets.
MRF
56250
-6.05
39939.45
-2.68
HINDPETRO
8905000
-5.11
635.70
-0.27
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.89
0.83
NMDC
40.29
BANKNIFTY
0.67
0.69
RELIANCE
37.40
RELIANCE
0.44
0.55
HEROMOTOCO
33.25
TCS
0.35
0.45
EXIDEIND
36.00
AXISBANK
0.26
0.32
GODREJIND
43.35
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Derivative Report
Apr 21, 2015
Strategy Date
Symbol
Strategy
Status
30-03-15
ITC
Long Call Ladder
Open
06-04-15
MARUTI
Ratio Bear Put Spread
Open
13-04-15
BANKNIFTY
Short Strangle
Open
20-04-15
NIFTY
Ratio Bear Put Spread
Open
Research Team Tel: 022 - 39357800
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