Derivative Report
Sept 22, 2014
Comments
Nifty Vs OI
The Nifty futures open interest decreased by 1.05% while
BankNifty futures open interest has increased by 0.25%
as market closed at 8121.45 levels.
The Nifty September future closed at premium of 9.55
point against a premium of 21.95 points. The October
series closed at a premium of 60.65 points.
The Implied Volatility of at the money options has
decreased from 11.19% to 10.35%.
Nifty PCR-OI has decreased from 1.01 to 0.97 levels.
The total OI of the market is Rs. 2,17,600/- cr. and the
stock futures OI is Rs. 57,562/- cr.
Few of the liquid counter stocks where we have seen high
cost of carry are NHPC, BHEL, ONGC, ASHOKLEY and
IOB.
OI Gainers
View
OI
PRICE
On Friday Nifty closed more or less flat: FIIs activity
SCRIP
OI
CHANGE
PRICE
CHANGE
was also subdued in cash market segment. In Index
(%)
(%)
Futures they were marginal sellers with fall in open
interest indicating blend of both long unwinding &
INDIACEM
16304000
19.04
126.95
9.54
short covering in last trading session.
IRB
16036000
14.25
243.20
-3.40
In Index Options they bought significantly of worth
HDIL
23416000
13.63
92.15
-1.12
Rs. 1520 crores with rise in open interest which
IDEA
16998000
12.90
173.25
2.70
suggests formations of long positions in last trading
session. PCR-OI plunged due to more of unwinding
ASHOKLEY
61754000
10.01
39.65
-3.28
in put options, while IV’s also decreased. In call
options we saw
8200 strike price adding good
OI Losers
amount of buildup, followed by unwinding in 8100
strike price. On the other hand 8100 put options
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
added some buildup and we believe these are FIIs
(%)
(%)
long positions. We suggest to trade with negative
bias today, buying 8100 put options is the strategy
SSLT
22948000
-10.57
284.80
-0.56
which can be adopted as implied volatility is low. We
HDFC
6615250
-9.80
1066.25
0.87
also witnessed good amount of unwinding in 7900
put options on Friday. Maximum buildup in current
PETRONET
4604000
-8.83
197.80
1.69
series is seen in 8200 call options and of put options
HEXAWARE
10022000
-8.41
195.60
1.48
still remains at 8000 strike price.
HINDUNILVR
4469500
-7.01
737.25
-1.71
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.97
1.01
INDIACEM
68.03
BANKNIFTY
0.83
0.86
TCS
26.90
RELIANCE
0.38
0.36
TECHM
23.29
SBIN
0.56
0.56
HCLTECH
24.65
INFY
0.52
0.44
HINDUNILVR
19.67
1
Derivative Report
Sept 22, 2014
Strategy Date
Symbol
Strategy
Status
02-09-2014
DLF
Long call ladder
Open.
08-09-2014
NIFTY
Long put ladder
Open.
15-09-2014
HINDALCO
Short strangle
Open.
Research Team Tel: 022 - 39357800
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