Derivative Report
July 23,
2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 5.60%
BankNifty futures open interest has increased by 4.58%
as market closed at 8633.50 levels.
The Nifty July future closed at a premium of 14.90 points
against premium of 15.55 points. The August series
closed at a premium of 52.05 points.
The Implied Volatility of at the money options has
decreased from 12.39% to 12.33%.
Nifty PCR-OI has increased from 1.16 to 1.22 levels.
The total OI of the market is Rs. 2,53,988/- cr. and the
stock futures OI is Rs. 68,352/- cr.
Few of the liquid counters where we have seen high cost
of carry are JPPOWER, IFCI, NHPC, ADANIPOWER and
DABUR.
View
OI Gainers
Yesterday, FII's were net buyers in cash market
OI
PRICE
segment, where they bought of worth Rs. 450
SCRIP
OI
CHANGE
PRICE
CHANGE
crores. Whereas, they sold index futures worth Rs
(%)
(%)
295 crores with decent rise in open interest,
MOTHERSUMI
4750500
24.70
520.70
-0.88
suggesting combination of both long and short
formation in last trading session.
CASTROLIND
1025000
19.95
498.30
2.20
In Index options front, FIIs were net buyers of Rs.
ARVIND
4934000
16.26
306.00
6.66
716 crores with some rise in open interest. We saw
TATACHEM
4697000
13.45
520.70
5.02
some buildup in 8700-8900 call options, followed
DHFL
3040500
12.97
474.80
4.43
by good amount of unwinding in
8500-8600
strikes. Whereas, in put options, significant
OI Losers
amount of open interest addition was seen in
8500-8700 strikes, which may be short position.
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
Maximum buildup in current series in seen in 8700
(%)
(%)
call and 8500 put options.
SUNPHARMA
17320750
-6.95
833.75
3.23
Seeing the over-all data we would suggest holding
OFSS
136750
-6.01
3859.60
0.52
on to your longs and if any dips near 8500-8550
can be a buying opportunity.
TATASTEEL
34029000
-5.38
273.05
2.48
JSWENERGY
7948000
-5.29
98.90
3.24
YESBANK
12614000
-3.62
822.85
1.91
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.22
1.14
IBULHSGFIN
50.86
BANKNIFTY
1.21
0.84
RELIANCE
31.77
INFY
1.12
0.80
ZEEL
39.60
RELIANCE
0.72
0.44
LICHSGFIN
39.31
TATASTEEL
0.35
0.33
ARVIND
56.44
1
Derivative Report
July 23,
2015
Strategy Date
Symbol
Strategy
Status
June 29, 2015
LT
Ratio Bear Put Spread
Active
July 06, 2015
RELIANCE
Ratio Bull Call Spread
Active
July 13, 2015
HINDUNILVR
Long Put Ladder
Active
July 20, 2015
TATASTEEL
Ratio Bull Call Spread
Active
Research Team Tel: 022 - 39357800
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