Derivative Report
Apr 23, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 0.66%
BankNifty futures open interest has decreased by 0.38%
as market closed at 8429.70 levels.
The Nifty April future closed at premium of 31.50 points
against a premium of 22.70 points. The May series
closed at a premium of 82.00 points.
The Implied Volatility of at the money options has
increased from 17.16% to 17.50%.
Nifty PCR-OI has decreased from 0.86 to 0.85 levels.
The total OI of the market is Rs. 2,44,518/- cr. and the
stock futures OI is Rs. 70,253/- cr.
Few of the liquid counters where we have seen high cost
of carry are GMRINFRA, NHPC, ADANIPOWER, DLF and
AUROPHARMA.
OI Gainers
View
OI
PRICE
FII's continued to sell in cash market, yesterday
SCRIP
OI
CHANGE
PRICE
CHANGE
they sold Rs. 910 crores of equity. However in last
(%)
(%)
two trading sessions their selling in index futures
CENTURYTEX
8616500
22.09
741.05
3.13
have paused as of now.
GLENMARK
4174000
11.37
902.75
1.72
PCR-OI has gone down to 0.85 levels as unwinding
of in-the-money puts continued while call built-up
IRB
7284000
8.80
238.25
-0.58
was prominent yesterday in strikes of 8300 and
MRF
64000
8.70
38958.45
-0.80
8400. Interestingly strong built-up was visible in
8000 put as well. Implied volatility has further
VOLTAS
5653000
8.40
288.00
-1.71
increased despite market closing positive.
OI Losers
We believe market fall has been arrested as of
OI
PRICE
now but built-up in 8500-8600 calls suggest that it
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
won’t be easy for market to move above this zone.
Short strangle strategy would start generating
HEROMOTOCO
2738500
-9.34
2412.85
3.24
decent returns as we now expect fall in IVs.
ALBK
8234000
-6.13
102.80
1.13
SUNPHARMA
24036500
-5.58
968.95
1.53
MCLEODRUSS
1809000
-5.19
255.30
2.65
ACC
1531250
-4.40
1556.90
3.91
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.85
0.77
WIPRO
41.65
BANKNIFTY
0.65
0.72
JUSTDIAL
78.16
RELIANCE
0.44
0.55
M&MFIN
34.73
SUNPHARMA
0.42
0.34
ACC
37.97
TCS
0.32
0.38
IGL
31.67
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Derivative Report
Apr 23, 2015
Strategy Date
Symbol
Strategy
Status
30-03-15
ITC
Long Call Ladder
Open
06-04-15
MARUTI
Ratio Bear Put Spread
Open
13-04-15
BANKNIFTY
Short Strangle
Open
20-04-15
NIFTY
Ratio Bear Put Spread
Open
Research Team Tel: 022 - 39357800
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