Derivative Report
May 22, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has decreased by 0.14%
BankNifty futures open interest has decreased by 1.95%
as market closed at 8421.00 levels.
The Nifty May future closed at discount of 1.90 points
against a premium of 1.05 points. The June series closed
at a premium of 19.60 points.
The Implied Volatility of at the money options has
decreased from 15.76% to 15.30%.
Nifty PCR-OI has increased from 1.08 to 1.11 levels.
The total OI of the market is Rs. 2,26,149/- cr. and the
stock futures OI is Rs. 61,291/- cr.
Few of the liquid counters where we have seen high cost
of carry are IBREALEST, DABUR, SRTRANSFIN, PTC and
HDIL.
OI Gainers
View
OI
PRICE
FII's were net sellers of Rs. 186 crores in cash
SCRIP
OI
CHANGE
PRICE
CHANGE
market segment, whereas there sold of Rs
312
(%)
(%)
crores of Index futures with amount rise in open
interest suggesting fresh short formation.
HEROMOTOCO
2731625
32.43
2610.20
1.23
BAJAJ-AUTO
1689750
25.19
2305.75
7.03
In options front, FIIs were net buyers of Rs. 439
crores with rise in open interest which indicates
CESC
1926000
21.13
588.30
-0.05
long formation. Yesterday PCR-OI increased
ULTRACEMCO
1240875
17.06
3055.50
0.96
mainly due to open interest addition in put options,
we saw significant amount of buildup in the 8200
TATASTEEL
20472500
15.74
343.05
-5.29
put options which may be blend of long and short
positions. Some buildup was also seen in 8300 put
OI Losers
option followed by unwinding in
8100 strike.
Whereas in call options we hardly saw any
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
meaningful activity. Maximum open interest in
(%)
(%)
current series is seen in 8500 call and 8200 put
options.
IBULHSGFIN
3085500
-5.83
580.60
1.03
Seeing the overall data we believe market may
MCLEODRUSS
1231000
-5.81
254.15
1.05
remain in range. One should be light in Nifty and
SUNTV
1601000
-3.84
360.45
1.41
trade stock specific.
GODREJIND
1574573
-3.44
361.95
0.21
HINDUNILVR
4979000
-3.17
863.70
0.82
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.11
1.14
BAJAJ-AUTO
48.70
BANKNIFTY
0.92
0.96
STAR
76.23
SBIN
0.47
0.35
TATASTEEL
50.20
RELIANCE
0.47
0.57
COALINDIA
31.83
TATASTEEL
0.54
0.76
DIVISLAB
31.24
1
Derivative Report
May 22, 2015
Strategy Date
Symbol
Strategy
Status
04-05-15
RELIANCE
Bull Call Spread
Open
11-05-15
INFY
Bull Call Spread
Open
18-05-15
NIFTY
Ratio Bear Put Spread
Open
Research Team Tel: 022 - 39357800
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