Derivative Report
July 21,
2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 1.47%
BankNifty futures open interest has decreased by 6.11%
as market closed at 8603.45 levels.
The Nifty July future closed at a premium of 24.80 points
against premium of 15.20 points. The August series
closed at a premium of 62.35 points.
The Implied Volatility of at the money options has
increased from 12.00% to 12.77%.
Nifty PCR-OI has decreased from 1.22 to 1.21 levels.
The total OI of the market is Rs. 2,45,053/- cr. and the
stock futures OI is Rs. 66,834/- cr.
Few of the liquid counters where we have seen high cost
of carry are JPPOWER, UNITECH, INDIACEM,
KOTAKBANK and PIDILITIND.
View
OI Gainers
Yesterday, FII's were net buyers in cash market
OI
PRICE
segment of Rs. 714 crores. In Index Futures their
SCRIP
OI
CHANGE
PRICE
CHANGE
activity was subdued; they sold of worth Rs. 133
(%)
(%)
crores with rise in OI which suggests some short
TATACHEM
4153000
13.53
504.20
3.85
formation.
DLF
23374000
11.54
108.65
-5.11
In Index options front, FIIs were net sellers of Rs.
697 crores with rise in open interest indicating
ULTRACEMCO
1559625
11.05
3360.35
4.26
short formation. We saw some buildup in 8800 call
APOLLOTYRE
9770000
9.90
194.60
3.04
options, followed by unwinding in
8500 call
ASIANPAINT
5367750
9.71
854.05
3.10
option. Whereas, in put options, some open
interest addition was seen in 8000 strike and some
OI Losers
unwinding was also visible in 8300 put option.
Maximum buildup in current series has shifted to
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
8800 call and 8500 put options.
(%)
(%)
Last week, we witnessed meaningful buying in
IGL
1835500
-9.18
460.55
-0.66
Index Futures by FII’s and at the same time huge
MINDTREE
650000
-8.71
1290.45
1.67
shorting in 8400-8600 puts was also visible. We
believe these positions are still in system. Seeing
HAVELLS
2990000
-4.87
309.85
0.78
the above data we suggest staying long and
UNIONBANK
9068000
-3.53
169.10
-3.21
trading with positive bias in this market.
SOUTHBANK
18576000
-3.51
23.90
-0.83
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.21
1.18
KTKBANK
62.75
BANKNIFTY
1.20
0.85
FEDERALBNK
46.08
INFY
0.70
0.61
DLF
45.36
TATASTEEL
0.34
0.25
ULTRACEMCO
34.40
RELIANCE
0.65
0.64
CESC
37.27
1
Derivative Report
July 21,
2015
Strategy Date
Symbol
Strategy
Status
June 29, 2015
LT
Ratio Bear Put Spread
Active
July 06, 2015
RELIANCE
Ratio Bull Call Spread
Active
July 13, 2015
HINDUNILVR
Long Put Ladder
Active
July 20, 2015
TATASTEEL
Ratio Bull Call Spread
Active
Research Team Tel: 022 - 39357800
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