Derivative Report
September 21, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 4.88%
BankNifty futures open interest has increased by 3.30% as
market closed at 7981.90 levels.
The Nifty September future closed at a premium of 0.65
points against a discount of 2.85 points. The October
series closed at a premium of 36.80 points.
The Implied Volatility of at the money options has
decreased from 25.87% to 18.53%.
Nifty PCR-OI has increased from 0.95 to 1.00 levels.
The total OI of the market is Rs. 2,39,714/- cr. and the
stock futures OI is Rs. 60,073/- cr.
Few of the liquid counters where we have seen high cost of
carry are UNITECH, JPASSOCIAT,
CAIRN, DABUR and
SUNTV.
OI Gainers
View
OI
PRICE
Friday, FIIs were net buyer in both cash market
SCRIP
OI
CHANGE
PRICE
CHANGE
segment and in Index Futures. They bought equities
(%)
(%)
to the tune of Rs. 643 crores and Index Futures of
SKSMICRO
7741500
45.52
381.60
-15.43
Rs. 470 with good amount of rise in OI, suggesting
mix of long and short formation in last trading
ADANIPORTS
14765800
24.85
339.70
1.63
session.
DIVISLAB
1656725
22.28
2219.25
1.08
In Index Options front, they bought significantly of
IBREALEST
28604000
18.12
64.40
3.54
Rs. 2858 crores with some fall in OI. In call
BAJFINANCE
223375
17.80
4972.30
-4.59
options, we hardly witness any fresh OI build-up,
meaningful unwinding was seen in the range of
7800-8300 call options. While in put options,
OI Losers
7900 & 8000 strike added decent OI, followed by
unwinding in out the money put strikes. Maximum
OI
PRICE
OI is seen in 8200 call and 7500 put options.
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
Surprisingly, we saw buying figure in cash and
POWERGRID
21306000
-11.46
133.70
2.33
Index Futures in last trading session. In Index
futures mixed positions were formed, while in
MINDTREE
166250
-10.74
1396.00
1.25
options, we saw FIIs covering their shorts formed in
IRB
5359000
-7.64
226.45
6.19
call options. Fresh put buying was also visible. We
suggest avoid forming longs in Nifty till we see
UCOBANK
11276000
-7.24
44.35
5.72
continuation of meaningful buying.
IGL
938500
-7.17
476.05
2.04
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.00
1.07
SKSMICRO
96.78
BANKNIFTY
1.00
0.83
BAJFINANCE
43.81
SBIN
0.44
0.44
FEDERALBNK
46.61
RELIANCE
0.61
0.52
IRB
68.33
YESBANK
1.14
0.97
HDFCBANK
26.73
1
Derivative Report
September 21, 2015
Strategy Date
Symbol
Strategy
Status
August 31, 2015
HINDALCO
Long Call
Active
September 07, 2015
RELIANCE
Short Strangle
Active
September 14, 2015
SUNPHARMA
Ratio Bull Call Spread
Active
Research Team Tel: 022 - 39357800
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