Sept 22, 2014
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
On Friday Nifty closed more or less flat: FIIs activity
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 &
short covering in last trading session.
In Index Options they bought significantly of worth
Rs. 1520 crores with rise in open interest which
suggests formations of long positions in last trading
session. PCR-OI plunged due to more of unwinding
in put options, while IV’s also decreased. In call
options we saw
8200 strike price adding good
amount of buildup, followed by unwinding in 8100
strike price. On the other hand 8100 put options
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
which can be adopted as implied volatility is low. We
also witnessed good amount of unwinding in 7900
put options on Friday. Maximum buildup in current
series is seen in 8200 call options and of put options
still remains at 8000 strike price.
Sept 22, 2014
FII Statistics for 19-Sept-2014
Turnover on 19-Sept-2014
(` in cr.)
(` in cr.)
Nifty Spot =8121.45
Lot Size = 50
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Aug Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
Sept 22, 2014
Long call ladder
Long put ladder
Research Team Tel: 022 - 39357800
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