Derivative Report
July 23, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 11.66% while
BankNifty futures open interest has decreased by 2.52%
as market closed at 7767.85 levels.
The Nifty July future closed at premium of 0.10 point
against a premium of 2.00 points. The August series
closed at a premium of 34.05 points.
The Implied Volatility of at the money options has
decreased from 12.80% to 11.61%.
Nifty PCR-OI has increased from 0.87 to 0.94 levels.
The total OI of the market is Rs. 2,06,431/- cr. and the
stock futures OI is Rs. 56,964/- cr.
Few of the liquid counters stocks where we have seen
high cost of carry are GAIL, TATAMTRDVR, OFSS,
IBREALEST and SYNDIBANK.
OI Gainers
View
OI
PRICE
FIIs continue buying in cash market segment, they
SCRIP
OI
CHANGE
PRICE
CHANGE
bought of worth Rs. 412 crores. In F&O segment we
(%)
(%)
witnessed fresh long buildup in Index Futures,
HEXAWARE
8884000
34.08
154.00
2.24
wherein they were net buyer of Rs. 1200 crores with
rise in open interest.
BIOCON
5439500
14.32
517.50
3.82
SYNDIBANK
12384000
11.25
146.55
-2.74
PCR-OI increased with fall in implied volatility
yesterday indicating shorting pressure in put options.
BAJAJ-AUTO
1180375
9.23
2070.15
0.01
In put options 7700 strike price added significant
HDIL
32952000
9.20
91.80
-2.08
open interest of more than
64000 contacts, we
belived this are short positions formed by FIIs
yesterday and this level of 7700 will act as a strong
OI Losers
support zone for Nifty in current series. Some buildup
OI
PRICE
was also seen in 7600 & 7800 put options. On the
SCRIP
OI
CHANGE
PRICE
CHANGE
other hand in call options we saw fresh buildup in
(%)
(%)
7900 strike price followed by unwinding in 7600 &
IDEA
27948000
-12.22
146.75
4.70
7800 strike price. Maximum buildup in current series
is seen in 8000 call and 7500 put options.
IRB
11112000
-11.64
257.45
-2.91
PFC
11146000
-8.01
276.25
2.29
CESC
1283000
-7.80
656.60
-1.00
RELIANCE
23452750
-7.03
1030.95
3.28
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.94
1.07
BHARTIARTL
32.39
BANKNIFTY
1.10
0.89
IDEA
40.69
RELIANCE
0.38
0.37
APOLLOHOSP
40.14
INFY
0.51
0.47
HDFC
31.15
SBIN
0.56
0.55
RELIANCE
34.76
1
Derivative Report
July 23, 2014
Strategy Date
Symbol
Strategy
Status
30-06-2014
Reliance
Ratio Bull Call Spread
Open
07-07-2014
ITC
Long Put Ladder
Open
14-07-2014
DLF
Short Strangle
Open
21-07-2014
NIFTY
Ratio Bull Call Spread
Open
Research Team Tel: 022 - 39357800
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