Derivative Report
Apr 24, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has decreased by 3.20%
BankNifty futures open interest has decreased by 2.80%
as market closed at 8398.30 levels.
The Nifty April future closed at premium of 7.05 points
against a premium of 31.50 points. The May series
closed at a premium of 58.35 points.
The Implied Volatility of at the money options has
decreased from 17.50% to 17.44%.
Nifty PCR-OI has increased from 0.85 to 0.86 levels.
The total OI of the market is Rs. 2,48,302/- cr. and the
stock futures OI is Rs. 70,005/- cr.
Few of the liquid counters where we have seen high cost
of carry are MRF, JPPOWER, NHPC, HINDZINC and
AMTEKAUTO.
OI Gainers
View
OI
PRICE
FIIs cash market selling continued but quantum
SCRIP
OI
CHANGE
PRICE
CHANGE
yesterday was far less. In FNO segment too their
(%)
(%)
activity was not much apart from further long
unwinding in index futures.
MRF
72000
12.50
40243.55
3.30
CESC
2183000
11.89
535.00
-3.73
In options segment we saw significant built-up in
8300 put and some built-up was visible in 8500
TITAN
7219000
11.52
402.85
1.73
call. Interestingly implied volatility has kept rising
ADANIPOWER
71112000
8.28
44.45
-2.63
so far and is near union budget level.
TVSMOTOR
6088000
8.17
231.90
-2.44
We continue to maintain our stance this is sell on
rise market but for time being looking at the data
we suggest to hold on to short strangles for more
OI Losers
2-3 sessions.
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
Rollover have not picked at all with NIFTY rolls at
(%)
(%)
10% and that of BANKNIFTY at 12%. We may have
APOLLOHOSP
530500
-12.21
1298.80
2.34
volatile last week of April series.
IGL
1066000
-10.98
447.25
0.07
YESBANK
13350500
-7.67
851.50
6.54
TATASTEEL
22411500
-7.52
369.70
4.69
BHARTIARTL
9789500
-7.51
400.20
-0.29
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.86
0.82
YESBANK
49.04
BANKNIFTY
0.67
0.73
L&TFH
28.76
RELIANCE
0.44
0.38
TATASTEEL
41.20
SUNPHARMA
0.43
0.42
MRF
34.51
TCS
0.32
0.45
ABIRLANUVO
36.63
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Derivative Report
Apr 24, 2015
FII Statistics for 23-Apr-2015
Turnover on 23-Apr-2015
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Contracts
Value
Change
(` in cr.)
(%)
INDEX
INDEX
1145.57
1730.81
(585.24)
794773
18038.40
(2.34)
9,41,284
24356.51
-5.51
FUTURES
FUTURES
INDEX
INDEX
27806.20
27799.68
6.53
3014161
74484.40
0.51
1,43,70,591
320364.37
2.89
OPTIONS
OPTIONS
STOCK
STOCK
3745.85
3248.57
497.28
1926659
55980.77
(0.32)
9,89,840
31234.24
-2.75
FUTURES
FUTURES
STOCK
STOCK
2644.76
2639.36
5.41
121944
3475.76
1.66
4,88,303
15853.89
-2.91
OPTIONS
OPTIONS
35342.39
35418.42
(76.03)
5857537
151979.34
(0.14)
TOTAL
1,67,90,018
391809.01
1.61
Total
Nifty Spot = 8398.30
Lot Size = 25
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8400
84.55
Buy
8400
81.30
39.25
60.75
8439.25
34.10
65.90
8365.90
Sell
Sell
8500
45.30
8300
47.20
Buy
Buy
8400
84.55
8400
81.30
63.20
136.80
8463.20
55.25
144.75
8344.75
Sell
8600
21.35
Sell
8200
26.05
Buy
8500
45.30
Buy
8300
47.20
23.95
76.05
8523.95
21.15
78.85
8278.85
Sell
8600
21.35
Sell
8200
26.05
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Apr Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Derivative Report
Apr 24, 2015
Strategy Date
Symbol
Strategy
Status
30-03-15
ITC
Long Call Ladder
Open
06-04-15
MARUTI
Ratio Bear Put Spread
Open
13-04-15
BANKNIFTY
Short Strangle
Open
20-04-15
NIFTY
Ratio Bear Put Spread
Open
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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