July 24, 2014
Nifty Vs OI
The Nifty futures open interest increased by 4.26% while
BankNifty futures open interest has decreased by 0.10%
as market closed at 7795.75 levels.
The Nifty July future closed at discount of 4.20 point
against a premium of 0.10 points. The August series
closed at a premium of 30.30 points.
The Implied Volatility of at the money options has
decreased from 11.61% to 11.24%.
Nifty PCR-OI has increased from 0.94 to 0.95 levels.
The total OI of the market is Rs. 2,06,431/- cr. and the
stock futures OI is Rs. 56,964/- cr.
Few of the liquid counters stocks where we have seen
high cost of carry are GMRINFRA, TATACHEM, IOC,
DISHTV and HINDPETRO.
FIIs continue buying in cash market segment, they
bought of worth Rs. 652 crores. In F&O segment they
were marginal buyer in Index Futures with good
amount of rise in open interest indicating blend of
long & short positions. Interesting FIIs were also quite
active in Stock Futures yesterday, they were net buyer
with marginal change in open interest which may be
mix of long formation & covering of short positions
PCR-OI increased with fall in implied volatility
yesterday indicating shorting pressure in put options.
In Index options FIIs were again marginal buyer with
rise in open interest. In put options good amount of
buildup was seen in 7700 & 7800 strike price, we
believe these are short formations. On the other
hand we are continuously observing buildup in 7900
call options, yesterday also it added some buildup.
Maximum buildup in current series is witnessed in
8000 call options and of put options has shifted from
7500 to 7700 strike price which may now act as
strong support for nifty.
July 24, 2014
FII Statistics for 23-July-2014
Turnover on 23-July-2014
Nifty Spot =7795.75
Lot Size = 50
Note: Above mentioned Bullish or Bearish Spreads in Nifty (July Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
July 24, 2014
Ratio Bull Call Spread
Long Put Ladder
Ratio Bull Call Spread
Research Team Tel: 022 - 39357800
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