Derivative Report
September 22, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 4.13%
BankNifty futures open interest has increased by 6.27% as
market closed at 7977.10 levels.
The Nifty September future closed at a premium of 2.95
points against a premium of 0.65 point. The October
series closed at a premium of 40.90 points.
The Implied Volatility of at the money options has
decreased from 18.53% to 17.88%.
Nifty PCR-OI has decreased from 1.00 to 0.99 levels.
The total OI of the market is Rs. 2,47,880/- cr. and the
stock futures OI is Rs. 62,454/- cr.
Few of the liquid counters where we have seen high cost of
carry are UNITECH, JPPOWER, JSWENERGY, IDFC and
SOUTHBANK.
OI Gainers
View
OI
PRICE
FIIs were net buyer in cash market segment to the
SCRIP
OI
CHANGE
PRICE
CHANGE
tune of Rs. 155 crores. In Index Futures they sold
(%)
(%)
significantly of Rs. 1836 with good amount of rise
in OI, suggesting fresh short formation in last
PTC
16240000
60.35
61.35
5.68
trading session.
IDBI
29688000
34.48
69.60
16.68
In Index Options front, they bought of Rs. 1925
AMTEKAUTO
6296000
24.87
52.05
7.43
crores with some rise in OI. In call options, we saw
ALBK
9380000
19.80
78.80
2.40
fresh build-up in 7900, 8000 and 8300 strikes.
While decent amount of unwinding was seen in
APOLLOTYRE
9024000
19.11
193.80
3.55
7800 call option. On the other hand in put
options, 7900 strike added decent OI, followed by
unwinding in out the money put strikes 7500-
OI Losers
7600. Maximum OI is seen in 8000 call and 7800
OI
PRICE
put options.
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
FII’s yesterday again added meaningful shorts in
Index Futures which suggests further pain. We
PETRONET
3360000
-9.29
180.00
0.90
would stick to our view, that it’s a sell on rise
JPPOWER
29355000
-7.54
6.55
7.38
market. Avoid forming fresh longs in Index.
RPOWER
59932000
-6.89
42.85
5.15
Roll-over in Nifty and BankNifty is
28.25% &
IOB
15534000
-5.60
35.80
2.73
14.66% respectively.
JUSTDIAL
1403750
-5.14
960.75
4.33
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.99
0.96
IDBI
101.61
BANKNIFTY
1.03
0.94
MOTHERSUMI
68.26
SBIN
0.47
0.46
JPASSOCIAT
109.77
RELIANCE
0.60
0.50
IDFC
45.28
YESBANK
1.17
0.96
DISHTV
60.96
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Derivative Report
September 22, 2015
FII Statistics for 21-September 2015
Turnover on 21-September 2015
Open Interest
Turnover
No. of
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Value
Change
Contracts
(` in cr.)
(%)
INDEX
5194.62
7031.05
(1836.43)
1285062
27994.62
9.30
980922
23947.72
-13.45
Index Futures
FUTURES
INDEX
Index
19999.34
18073.86
1925.48
4021554
98438.30
1.33
9676356
213504.86
-23.53
OPTIONS
Options
STOCK
10399.33
10082.22
317.10
1945357
49657.40
2.52
1617134
41120.66
24.23
Stock Futures
FUTURES
STOCK
Stock
1654.29
1702.46
(48.17)
107678
2689.38
(0.66)
440270
11668.79
-22.29
OPTIONS
Options
37247.58
36889.60
357.98
7359651
178779.70
2.93
12714682
290242.03
-18.24
Total
Total
Nifty Spot = 7977.10
Lot Size = 25
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8000
48.15
Buy
8000
68.35
32.05
67.95
8032.05
36.60
63.40
7963.40
Sell
8100
16.10
Sell
7900
31.75
Buy
8000
48.15
Buy
8000
68.35
42.95
157.05
8042.95
54.80
145.20
7945.20
Sell
8200
5.20
Sell
7800
13.55
Buy
8100
16.10
Buy
7900
31.75
10.90
89.10
8110.90
18.20
81.80
7881.80
Sell
8200
5.20
Sell
7800
13.55
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Sept. Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Derivative Report
September 22, 2015
Strategy Date
Symbol
Strategy
Status
August 31, 2015
HINDALCO
Long Call
Active
September 07, 2015
RELIANCE
Short Strangle
Active
September 14, 2015
SUNPHARMA
Ratio Bull Call Spread
Booked Profit on Sept 21, 2015
September 21, 2015
BANKNIFTY
Ratio Bear Put Spread
Active
Research Team Tel: 022 - 39357800
E-mail: [email protected]
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