Derivative Report
July 22, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 1.48% while
BankNifty futures open interest has increased by 1.79%
as market closed at 7684.20 levels.
The Nifty July future closed at premium of 2.00 point
against a premium of 5.45 points. The August series
closed at a premium of 40.75 points.
The Implied Volatility of at the money options has
decreased from 13.05% to 12.80%.
Nifty PCR-OI remains unchanged at 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 GMRINFRA, OFSS, ABIRLANUVO,
IDEA and RCOM.
OI Gainers
View
OI
PRICE
FIIs activity in cash market segment was subdued. In
SCRIP
OI
CHANGE
PRICE
CHANGE
F&O segment they were net buyer in Index Futures
(%)
(%)
with marginal change in open interest indicating
CENTURYTEX
6081000
24.76
633.85
9.47
short positions formed earlier were covering in last
trading session.
HDIL
30176000
10.20
93.85
-4.13
INFY
3346000
9.57
3200.70
-1.55
In Index Options FIIs were net seller with some rise in
open interest indicating short formation. Yesterday
SRTRANSFIN
949500
9.33
895.50
-0.18
7900 strike price of call options was quite active,
BATAINDIA
718500
8.90
1315.85
3.80
some fresh buildup was also seen in the same strike
price. On the other hand in put options we are
continuously witnessing buildup in 7500 & 7600
OI Losers
strike prices from last 3-4 trading sessions,
7600
OI
PRICE
strike price yesterday again added more than 19,000
SCRIP
OI
CHANGE
PRICE
CHANGE
contracts. Maximum buildup in current series is seen
(%)
(%)
in 8000 call and 7500 put options.
IRB
12576000
-9.97
265.90
-0.26
HDFC
6518500
-8.27
1010.30
2.71
CESC
1391500
-8.00
667.10
1.53
HINDALCO
29648000
-5.76
183.85
-0.76
ADANIPORTS
10406000
-5.71
288.10
-0.33
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.87
1.03
CENTURYTEX
64.51
BANKNIFTY
1.06
0.84
INDUSINDBK
30.79
RELIANCE
0.33
0.38
HDFC
28.69
INFY
0.51
0.52
SUNTV
38.60
SBIN
0.58
0.46
BATAINDIA
44.74
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Derivative Report
July 22, 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
21-07-2014
NIFTY
Ratio Bull Call Spread
Open
Research Team Tel: 022 - 39357800
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