Derivative Report
Jan 22, 2015
Comments
Nifty Vs OI
NIFTY futures continued their upward journey and
closed at 8738.50 levels with further rise in open
interest. BANKNIFTY futures too moved up to the
levels of 19,889.65 levels but with reduction in
open interest.
Premium for current month Nifty futures has
reduced to 9.00 points and that of next month is at
62.05 points.
Implied volatility has marginally increased to the
levels of 17.62%. Call IV’s are at 15.19% while that
of put is at 19.90%
NIFTY PCR-OI has inched up from 1.32 to 1.33
levels.
Among large caps HDFCBANK, HEROMOTOCO,
BANKBARODA have high cost of carry.
OI Gainers
View
OI
PRICE
The pace of buying in cash market by FII’s is
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
increasing with rise in markets. They were net
buyers of Rs. 2065.49 crores in cash market
ENGINERSIN
3428000
19.15
227.95
0.55
segment. Formation of index futures long
M&MFIN
8923000
16.41
268.25
-2.98
positions also continued as they were net buyers
in the segment to the tune of Rs. 483.32 crores
ITC
33324000
13.34
353.95
-4.70
with rise in open interest.
BANKBARODA
4872250
12.95
1133.15
3.74
Most of the now deep out-of-money puts saw
SRTRANSFIN
1163750
12.09
1111.75
-1.55
substantial unwinding suggesting that most of
the bears are now throwing in their towels.
OI Losers
However built-up continued in 8600 and 8700
OI
PRICE
put options which for yesterday was blend of
SCRIP
OI
CHANGE
PRICE
CHANGE
both long and short.
(%)
(%)
APOLLOTYRE
11312000
-8.33
232.55
-1.55
In calls activity was very less but interestingly
overall in last few sessions we have seen acitivity
TATAMTRDVR
19222000
-8.24
360.35
1.14
gathering momentum even in 9000 strike call
CANBK
7040000
-7.38
471.65
0.66
option. Highest OI in calls is in 8700 strike.
HINDZINC
7790000
-6.84
163.85
1.05
MINDTREE
472250
-6.67
1320.05
-2.55
Put-Call Ratio
Implied Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
IV
NIFTY
1.33
1.07
JPASSOCIAT
79.43
BANKNIFTY
1.62
0.95
UNITECH
77.51
ICICIBANK
0.62
0.61
DISHTV
62.94
RELIANCE
0.77
0.77
JPPOWER
62.23
INFY
1.33
0.62
GMRINFRA
61.96
1
Derivative Report
Jan 22, 2015
Strategy Date
Symbol
Strategy
Status
29-12-2014
NIFTY
Long Put
Marginal loss booked (02-01-15)
05-01-2015
NIFTY
Ratio Put Spread
Open
12-01-2015
ITC
Short Straddle
Open
19-01-2015
ICICIBANK
Ratio Put Spread
Open
Research Team Tel: 022 - 39357800
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