Derivative Report
July 21, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 1.62% while
BankNifty futures open interest has increased by 2.84%
as market closed at 7663.90 levels.
The Nifty July future closed at premium of 5.45 point
against a premium of 18.30 points. The August series
closed at a premium of 41.55 points.
The Implied Volatility of at the money options has
increased from 12.93% to 13.05%.
Nifty PCR-OI has increased from 0.82 to 0.87 levels.
The total OI of the market is Rs. 2,06,431/- cr. and the
stock futures OI is Rs. 56,964/- cr.
Few of the liquid counters stocks where we have seen
high cost of carry are HDIL, OFSS, GMRINFRA, IDFC and
L&TFH.
OI Gainers
View
OI
PRICE
FIIs were net buyer in cash market segment of worth
SCRIP
OI
CHANGE
PRICE
CHANGE
Rs. 574 crores. In F&O segment some unwinding of
(%)
(%)
long positions was seen on Friday.
RECLTD
5965000
14.76
313.55
-3.61
In Index Options we witnessed some fresh long
M&M
3692750
14.48
1183.65
0.04
buildup. PCR-OI increased with some rise in implied
ASIANPAINT
2483000
12.91
580.45
0.15
volatility indicating buying in put options. On Friday
we saw fresh buildup in 7600 & 7700 strike price of
BAJAJ-AUTO
1019625
12.90
2081.25
-0.33
put options which may be long positions formed by
PFC
12350000
11.62
270.00
-2.92
FIIs to hedge their positions in cash market segment
were they are continuously buying. On the other
hand in call options we could hardly see any relevant
OI Losers
buildup, while some unwinding in out-the-money call
OI
PRICE
options of 8000 strike price was seen in last trading
SCRIP
OI
CHANGE
PRICE
CHANGE
session. Maximum buildup in current series is seen in
(%)
(%)
8000 call and 7500 put options.
HAVELLS
332000
-11.99
1277.35
-0.88
CESC
1512500
-8.83
655.00
0.24
GLENMARK
875500
-7.79
568.95
0.41
TATAMOTORS
16689000
-6.92
475.30
-0.09
VOLTAS
5788000
-4.55
207.95
-1.93
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.87
1.01
EXIDEIND
46.92
BANKNIFTY
1.07
0.94
L&TFH
45.35
RELIANCE
0.35
0.32
TCS
31.71
INFY
0.52
0.41
AMBUJACEM
31.48
SBIN
0.64
0.55
HEROMOTOCO
32.51
1
Derivative Report
July 21, 2014
Strategy Date
Symbol
Strategy
Status
30-06-2014
Reliance
Ratio Bull Call Spread
Open
07-07-2014
ITC
Long Put Ladder
Open
14-07-2014
DLF
Short Strangle
Open
Research Team Tel: 022 - 39357800
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