Derivative Report
Jan 23, 2015
Comments
Nifty Vs OI
NIFTY futures inched up further to close at the levels
of 8779.15. This was again with rise in open
interest by 3.77%. BANKNIFTY again rose with
marginal fall in open interest.
Premium for current month Nifty futures has
increased to 17.75 points and that of next month is
at 71.75 points.
Implied volatility continued to increase and is not at
the levels of 18.82%. Call IV’s are at 16.59% while
that of put is at 20.69%
NIFTY PCR-OI is now consolidating around levels of
1.32.
Rollovers have picked up in stocks like HINDZINC,
RANBAXY, RELIANCE, MARUTI and ABIRLANUVO.
OI Gainers
View
OI
PRICE
There seem to be no stopping in fund flows by
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
FII’s in our markets. Yesterday in cash market
they bought stocks worth Rs.
592.79 crores
UBL
420500
32.86
996.80
6.14
while in index futures they were net buyers of Rs.
SKSMICRO
7396000
12.97
444.05
-1.65
901.84 crores with rise in open interest.
Interestingly they sold in index options.
DIVISLAB
744250
11.62
1663.05
-1.31
ITC
36521000
9.59
352.30
-0.47
Unwinding was seen in 8600 and 8700 calls
which we believe are short call traders covering
PETRONET
5234000
9.36
189.70
-2.69
their positions. Strong built-up was seen in 8700
put and 9000 call.
OI Losers
OI
PRICE
With FII’s continuing to form longs in index
SCRIP
OI
CHANGE
PRICE
CHANGE
futures and sort of formed short strangle of
(%)
(%)
8700 put and 9000 call suggests that they
EXIDEIND
8256000
-17.39
191.90
3.06
continue to remain positive on markets and their
strategies are positively biased.
MOTHERSUMI
3964000
-13.37
476.70
2.37
CANBK
6225000
-11.58
467.40
-0.90
IGL
687500
-10.95
475.65
-0.72
BANKBARODA
22248750
-8.67
224.35
-1.01
Put-Call Ratio
Implied Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
IV
NIFTY
1.32
1.19
JPASSOCIAT
104.24
BANKNIFTY
1.68
1.03
UNITECH
79.61
ICICIBANK
0.70
0.61
INDIACEM
74.97
RELIANCE
0.62
0.76
GMRINFRA
68.95
INFY
1.54
0.60
JPPOWER
63.40
1
Derivative Report
Jan 23, 2015
Strategy Date
Symbol
Strategy
Status
29-12-2014
NIFTY
Long Put
Marginal loss booked (02-01-15)
05-01-2015
NIFTY
Ratio Put Spread
Open
12-01-2015
ITC
Short Straddle
Open
19-01-2015
ICICIBANK
Ratio Put Spread
Open
Research Team Tel: 022 - 39357800
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