Derivative Report
August 24, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 5.65%
BankNifty futures open interest has increased by 9.02% as
market closed at 8299.95 levels.
The Nifty August future closed at a premium of 6.40 points
against premium of 7.30 points. The September series
closed at a premium of 46.80 points.
The Implied Volatility of at the money options has
decreased from 16.84% to 15.35%.
Nifty PCR-OI has decreased from 0.92 to 0.88 levels.
The total OI of the market is Rs. 2,59,696/- cr. and the
stock futures OI is Rs. 70,695/- cr.
Few of the liquid counters where we have seen high cost of
carry are JPPOWER, INDIACEM, VEDL, JINDALSTEL and
PTC.
View
OI Gainers
Friday Nifty corrected further and breached its
OI
PRICE
major support zone 8300 levels. FIIs also actively
SCRIP
OI
CHANGE
PRICE
CHANGE
participated in this fall; they sold significantly in
(%)
(%)
both cash segment and in Index Futures. They sold
DLF
43126000
15.53
114.35
-5.10
equities of worth Rs.2340 crores and index futures
of Rs. 2416 crores with rise in OI. This suggests FIIs
YESBANK
17723250
14.12
694.25
-3.78
have formed fresh shorts in last trading session.
AMARAJABAT
394000
13.46
1077.60
2.93
In Index Options, they bought to the tune of
CEATLTD
1623500
11.81
1167.75
3.95
Rs.1980 crores with rise OI. PCR-OI decreased
with rise in implied volatility suggesting buying in
PNB
27208000
11.27
159.85
0.28
call options. We saw significant OI addition in
8300-8400 call options. On the other hand, in put
options, we saw build-up in 7900-8100. Good
OI Losers
amount of unwinding was visible in 8200-8500 put
OI
PRICE
options. Maximum OI is seen in 8600 call and
SCRIP
OI
CHANGE
PRICE
CHANGE
8200 put options.
(%)
(%)
PAGEIND
50750
-11.74
14678.20
0.72
From past few days, we are witnessing continuous
long unwinding and fresh selling pressure in Index
JUSTDIAL
1722750
-6.90
918.70
-4.39
Futures. Seeing the quantum of unwinding, we
DHFL
2995500
-6.78
489.60
-0.01
believe, we may see further pain in Nifty. Trade
accordingly.
ARVIND
5728000
-6.24
280.15
2.24
RELCAPITAL
15143000
-5.18
329.65
0.17
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.88
0.92
EXIDEIND
35.42
BANKNIFTY
0.63
0.66
JUSTDIAL
42.72
RELIANCE
0.35
0.42
BAJAJ-AUTO
34.29
SBIN
0.45
0.38
POWERGRID
18.71
TATAMOTORS
0.36
0.45
BHARTIARTL
31.35
1
Derivative Report
August 24, 2015
Strategy Date
Symbol
Strategy
Status
August 03, 2015
HINDALCO
Bear Put Spread
Profit Booked on 12th August 2015
August 10, 2015
BANKNIFTY
Long Strangle
Profit Booked on 12th August 2015
August 17, 2015
NIFTY
Ratio Bear Put Spread
Active
Research Team Tel: 022 - 39357800
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