Derivative Report
Sept 23, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 15.36% while
BankNifty futures open interest has increased by 7.37%
as market closed at 8146.30 levels.
The Nifty September future closed at premium of 12.15
point against a premium of 9.55 points. The October
series closed at a premium of 68.55 points.
The Implied Volatility of at the money options has
increased from 10.35% to 11.04%.
Nifty PCR-OI has increased from 0.97 to 1.01 levels.
The total OI of the market is Rs. 2,17,600/- cr. and the
stock futures OI is Rs. 57,562/- cr.
Few of the liquid counter stocks where we have seen high
cost of carry are NHPC, TATAGLOBAL, L&TFH, BAJAJ-
AUTO and RELIANCE.
OI Gainers
View
OI
PRICE
Yesterday market opened gap down but in second
SCRIP
OI
CHANGE
PRICE
CHANGE
half it managed to recover from those levels and
(%)
(%)
gave a positive closing. FIIs were net seller in cash
market segment of worth Rs. 186 crores. In Index
JUBLFOOD
1992000
23.04
1238.20
-0.49
Futures they were net buyer with significant rise in
UNITECH
204986000
22.11
24.55
-2.57
open interest which is mainly due to expiry coming
closure.
INDIACEM
18784000
15.21
130.90
2.90
M&MFIN
5904000
14.33
281.10
-1.07
In Index Options they were net seller with rise in open
interest which suggests formations of short positions
HEXAWARE
11264000
12.39
195.95
0.23
in last trading session. PCR-OI increased due to open
interest addition in put options, while IV’s also
OI Losers
increased which indicates buying in put options. We
saw 8100-8200 strike prices of put options adding
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
good amount of open interest which may be blend of
(%)
(%)
both long and short positions. On the other hand in
call options we hardly saw any strikes adding
IRB
14784000
-7.81
243.25
-0.25
reasonable amount of open interest, 8250 call option
CENTURYTEX
7825000
-5.42
566.40
-3.23
added majority of open interest. Maximum buildup in
current series is seen in 8200 call options and of put
MARUTI
2090125
-4.34
3066.20
-0.45
options still remains at 8000 strike price.
CANBK
8535000
-4.27
393.80
-0.61
ADANIPORTS
9222000
-4.10
285.80
0.16
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.01
1.06
ITC
24.78
BANKNIFTY
0.90
0.87
TATAMOTORS
38.66
RELIANCE
0.36
0.33
ONGC
40.35
SBIN
0.70
0.56
SAIL
41.95
INFY
0.41
0.33
SUNTV
41.00
1
Derivative Report
Sept 23, 2014
Strategy Date
Symbol
Strategy
Status
02-09-2014
DLF
Long call ladder
Open.
08-09-2014
NIFTY
Long put ladder
Open.
15-09-2014
HINDALCO
Short strangle
Open.
15-09-2014
NIFTY
Long put
Open.
Research Team Tel: 022 - 39357800
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