Derivative Report
August 21, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 4.61%
BankNifty futures open interest has increased by 16.28%
as market closed at 8372.75 levels.
The Nifty August future closed at a premium of 7.30 points
against premium of 10.25 points. The September series
closed at a premium of 46.60 points.
The Implied Volatility of at the money options has
increased from 15.60% to 16.84%.
Nifty PCR-OI has decreased from 1.04 to 0.92 levels.
The total OI of the market is Rs. 2,50,994/- cr. and the
stock futures OI is Rs. 69,430/- cr.
Few of the liquid counters where we have seen high cost of
carry are GMRINFRA, UNITECH, ASHOKLEY, DLF and
OFSS.
View
OI Gainers
Yesterday Nifty corrected more than 100 points
OI
PRICE
with huge volume. FIIs also actively participated in
SCRIP
OI
CHANGE
PRICE
CHANGE
this fall; they sold significantly in both cash
(%)
(%)
segment and in Index Futures. They sold equities of
PNB
24452000
12.53
159.40
-5.37
worth Rs.1007 crores and index futures of Rs. 1771
crores with fall in OI. This suggests FIIs have
ALBK
8978000
11.86
88.40
-5.81
unwounded their longs with some fresh shorting in
IOB
13864000
11.52
37.70
-3.58
last trading session.
INDUSINDBK
5030000
11.14
928.00
-2.91
In Index Options, they bought to the tune of Rs.751
crores with rise OI. PCR-OI decreased with rise in
SOUTHBANK
21870000
10.76
22.50
-1.10
implied volatility suggesting buying in call options.
We saw significant OI addition in 8400-8600 call
options. On the other hand, in put options, we
OI Losers
hardly saw fresh build-up. Huge unwinding was
OI
PRICE
visible in 8400-8500 put options. Maximum OI is
SCRIP
OI
CHANGE
PRICE
CHANGE
seen in 8600 call and 8200 put options.
(%)
(%)
AMARAJABAT
347250
-21.57
1046.90
-1.25
From past few days, we are witnessing continuous
long unwinding and fresh selling pressure in Index
MINDTREE
310250
-12.67
1377.45
-4.26
Futures. Seeing the quantum of unwinding, we
UNIONBANK
10710000
-12.20
201.90
-5.08
believe, we may see further pain in Nifty. Trade
accordingly.
IBREALEST
37296000
-11.16
55.80
-9.27
CEATLTD
1452000
-8.13
1123.40
0.07
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.92
0.90
YESBANK
49.80
BANKNIFTY
0.58
0.65
AMTEKAUTO
240.93
RELIANCE
0.33
0.34
L&TFH
36.09
SBIN
0.49
0.51
CAIRN
50.89
TATAMOTORS
0.37
0.44
JUSTDIAL
38.37
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Derivative Report
August 21, 2015
FII Statistics for 20-August 2015
Turnover on 20-August 2015
Open Interest
Turnover
No. of
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Value
Change
Contracts
(` in cr.)
(%)
INDEX
1868.82
3639.92
(1771.10)
575825
13463.80
(4.25)
8,15,623
21531.86
60.43
Index Futures
FUTURES
INDEX
Index
18775.34
18024.01
751.32
3059589
79114.52
2.18
1,13,34,545
262799.1
45.66
OPTIONS
Options
STOCK
4501.12
4158.47
342.66
1957808
52574.49
1.10
13,11,793
35862.93
29.05
Stock Futures
FUTURES
STOCK
Stock
3655.59
3732.74
(77.15)
156098
4178.29
1.52
7,56,898
21289.76
35.09
OPTIONS
Options
28800.87
29555.14
(754.28)
5749320
149331.10
1.12
1,42,18,859
341483.65
43.85
Total
Total
Nifty Spot = 8372.75
Lot Size = 25
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8400
68.00
Buy
8400
89.25
37.10
62.90
8437.10
41.00
59.00
8359.00
Sell
8500
30.90
Sell
8300
48.25
Buy
8400
68.00
Buy
8400
89.25
56.30
143.70
8456.30
66.00
134.00
8334.00
Sell
8600
11.70
Sell
8200
23.25
Buy
8500
30.90
Buy
8300
48.25
19.20
80.80
8519.20
25.00
75.00
8275.00
Sell
8600
11.70
Sell
8200
23.25
Note: Above mentioned Bullish or Bearish Spreads in Nifty (August Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Derivative Report
August 21, 2015
Strategy Date
Symbol
Strategy
Status
August 03, 2015
HINDALCO
Bear Put Spread
Profit Booked on 12th August 2015
August 10, 2015
BANKNIFTY
Long Strangle
Profit Booked on 12th August 2015
August 17, 2015
NIFTY
Ratio Bear Put Spread
Active
Research Team Tel: 022 - 39357800
E-mail: [email protected]ng.com
Website: www.angelbroking.com
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