Derivative Report
June 23, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has decreased by 3.71%
BankNifty futures open interest has increased by 3.14%
as market closed at 8353.10 levels.
The Nifty June future closed at a premium of 0.05 points
against premium of 12.65 points. The July series closed
at a premium of 22.50 points.
The Implied Volatility of at the money options has
increased from 13.21% to 15.25%.
Nifty PCR-OI has increased from 1.04 to 1.14 levels.
The total OI of the market is Rs. 2,45,918/- cr. and the
stock futures OI is Rs. 65,041/- cr.
Few of the liquid counters where we have seen high cost
of carry are JPPOWER, PFC, SOUTHBANK, HEXAWARE
and ADANIPOWER.
View
OI Gainers
Yesterday, FII's were net buyer in both the cash
OI
PRICE
market and futures. They were net buyers of Rs.
SCRIP
OI
CHANGE
PRICE
CHANGE
651 crores of equity cash. Whereas, they bought
(%)
(%)
index futures worth Rs 1417 crores with fall in open
UBL
1065500
43.07
909.70
1.46
interest, suggesting short unwinding.
PAGEIND
42375
23.27
15066.95
-0.12
In Index options front, FIIs were net buyer of Rs.
1959 crores with rise in open interest. We saw
SOUTHBANK
12798000
22.38
24.40
3.17
good amount of buildup in 8400, and 8500 call
HAVELLS
3954000
22.04
285.85
-0.14
options. Whereas, in put options, 8300 to 8200
strikes added decent amount of open interest. We
KSCL
333000
17.15
797.40
-0.67
have also witnessed heavy unwinding in 8300 &
8200 call option. Maximum buildup in current
OI Losers
series in seen in 8500 call and 8200 put options.
OI
PRICE
Rollover in Nifty and BankNifty is on the higher
SCRIP
OI
CHANGE
PRICE
CHANGE
side at 26.68% & 17.58% respectively.
(%)
(%)
Surprisingly we saw Nifty strengthening nearly
IBREALEST
35724000
-9.50
54.65
30.43
1.45%, we saw buying figure in Nifty futures but
PIDILITIND
299000
-8.14
551.50
-0.35
overall the OI has reduced. While we continue to
see significant amount of put buying in options.
ANDHRABANK
16996000
-8.07
72.75
2.75
Seeing overall data we would suggest being light in
KOTAKBANK
5948750
-7.42
1359.40
2.78
Nifty till we see any clarity in data.
DISHTV
29724000
-6.20
105.85
0.00
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.14
1.09
IBREALEST
136.81
BANKNIFTY
1.08
0.91
KTKBANK
54.20
RELIANCE
0.98
0.71
GMRINFRA
57.78
INFY
0.72
0.36
DLF
51.61
SBIN
0.34
0.29
JPPOWER
87.66
1
Derivative Report
June 23, 2015
Strategy Date
Symbol
Strategy
Status
June 01, 2015
INFY
Ratio Bull Call Spread
Active
June 08, 2015
SBIN
Ratio Bull Call Spread
Active
June 15, 2015
ITC
Short Strangle
Active
June 22, 2015
NIFTY
Ratio Bear Put Spread
Active
Research Team Tel: 022 - 39357800
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