Derivative Report
Aug 22, 2014
Comments
Nifty Vs OI
The Nifty futures open interest decreased by 0.29% while
BankNifty futures open interest has increased by 10.96%
as market closed at 7891.10 levels.
The Nifty August future closed at premium of 12.05 point
against a premium of 15.40 points. The September
series closed at a premium of 45.40 points.
The Implied Volatility of at the money options has
decreased from 11.48% to 11.07%.
Nifty PCR-OI has decreased from 1.03 to 1.01 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 SUNTV, BPCL, RCOM, ALBK and
JUSTDIAL.
View
OI Gainers
Yesterday Nifty moved in a range of 20-30 points
and closed on a positive note. FIIs were net buyer in
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
cash market segment of worth Rs. 412 crores, while
(%)
(%)
in F&O segment they were net seller in Index Futures
with some rise in open interest indicating very mirror
BPCL
4556000
17.51
685.40
2.89
short positions in yesterday’s trading session. They
TITAN
7034000
16.94
366.95
5.75
were also quite active in Stock Futures yesterday,
wherein they bought of worth Rs. 674 crores with
HDFC
7334000
14.16
1064.40
-0.76
marginal change in open interest which is mix of
SUNTV
2839000
11.12
368.60
-1.12
both long & short positions.
HINDPETRO
9159000
10.54
467.45
4.31
In Index options FIIs were net buyer with rise in open
interest indicating good amount of long formation. In
yesterday’s trading session we hardly saw any
OI Losers
reasonable activity in call options, majority of open
OI
PRICE
interest addition was seen in 8000 call options. In put
SCRIP
OI
CHANGE
PRICE
CHANGE
options decent amount of buildup in
7800 was
(%)
(%)
witnessed and we believe these are FIIs long positions
IGL
1247000
-29.19
374.05
1.14
formed in last trading session. Maximum open
interest in current series is seen in 8000 call & 7700
MCDOWELL-N
3865625
-9.06
2402.10
-2.16
put options.
SRTRANSFIN
979500
-8.76
933.05
-0.71
Large caps counters where we have seen good
BAJAJ-AUTO
992625
-6.74
2268.05
2.59
amount of addition in open interest are HDFC,
DIVISLAB
522250
-5.30
1542.70
1.38
KOTAKBANK,
BANKBARODA,
PNB
and
HEROMOTOCO.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.01
1.02
TITAN
44.91
BANKNIFTY
0.98
0.76
UNIONBANK
62.99
SBIN
0.52
0.50
BAJAJ-AUTO
27.92
RELIANCE
0.45
0.42
PNB
38.98
AXISBANK
0.58
0.40
BANKINDIA
51.84
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Derivative Report
Aug 22, 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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