Derivative Report
Aug 21, 2014
Comments
Nifty Vs OI
The Nifty futures open interest decreased by 0.18% while
BankNifty futures open interest has decreased by 1.26%
as market closed at 7875.30 levels.
The Nifty August future closed at premium of 15.40 point
against a premium of 12.15 points. The September
series closed at a premium of 46.80 points.
The Implied Volatility of at the money options has
decreased from 11.69% to 11.48%.
Nifty PCR-OI has decreased from 1.06 to 1.03 levels.
The total OI of the market is Rs. 1,90,957/- cr. and the
stock futures OI is Rs. 53,384/- cr.
Few of the liquid counters stocks where we have seen
high cost of carry are IGL, JPPOWER, ASIANPAINT,
HDFCBANK and HEXAWARE.
View
OI Gainers
OI
PRICE
FIIs were net buyer in cash market segment of worth
SCRIP
OI
CHANGE
PRICE
CHANGE
Rs. 251 crores, while in F&O segment again they
(%)
(%)
were net buyer in Index Futures with rise in open
interest indicating continuation of fresh long positions
GLENMARK
521500
50.07
722.65
0.70
in yesterday’s trading session.
ARVIND
7920000
25.95
251.80
7.14
In Index options they were marginal buyer with
IGL
1761000
24.10
366.95
2.25
reasonable rise in open interest indicating blend of
both long and short positions. In yesterday’s trading
SUNTV
2555000
14.47
372.95
2.07
session we hardly saw any reasonable activity in both
COLPAL
795250
13.85
1475.65
-0.71
call and put options, majority of open interest
addition was seen in
8100 call options. In put
OI Losers
options some unwinding in 7600 was witnessed.
Maximum open interest in current series is seen in
OI
PRICE
8000 call and of put options has shifted from 7600
SCRIP
OI
CHANGE
PRICE
CHANGE
to 7700 which will now act as a support for Nifty.
(%)
(%)
JUSTDIAL
292875
-8.12
1776.75
2.37
Large caps counters where we have seen good
amount of addition in open interest are
ZEEL
5063000
-5.80
288.15
2.05
KOTAKBANK, TCS, ACC, ONGC and RANBAXY.
OFSS
139125
-4.79
3476.25
-0.06
LICHSGFIN
18087000
-4.21
300.30
0.60
DLF
32790000
-3.47
201.30
0.55
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.03
1.11
SUNPHARMA
35.73
BANKNIFTY
0.93
0.95
RANBAXY
37.05
SBIN
0.43
0.53
CIPLA
34.85
RELIANCE
0.45
0.46
ABIRLANUVO
38.66
AXISBANK
0.53
0.58
ARVIND
73.80
1
Derivative Report
Aug 21, 2014
Strategy Date
Symbol
Strategy
Status
04-08-2014
BANKNIFTY
Ratio Put Spread
Open
11-08-2014
NIFTY
Long Put
Loss booked on 12-08-2014.
18-08-2014
BHEL
Ratio Bull Call Spread
Open
Research Team Tel: 022 - 39357800
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