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
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
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