Derivative Report
July 24,
2015
Nifty Vs OI
Comments
The Nifty futures open interest has decreased by 1.65%
BankNifty futures open interest has increased by 3.30%
as market closed at 8589.80 levels.
The Nifty July future closed at a premium of 13.90 points
against premium of 14.90 points. The August series
closed at a premium of 52.90 points.
The Implied Volatility of at the money options has
increased from 12.33% to 13.17%.
Nifty PCR-OI has decreased from 1.22 to 1.15 levels.
The total OI of the market is Rs. 2,57,430/- cr. and the
stock futures OI is Rs. 69,004/- cr.
Few of the liquid counters where we have seen high cost
of carry are JPPOWER, UNITECH, GMRINFRA,
ADANIPOWER and SUNTV.
View
OI Gainers
Yesterday, FII's were net buyers in cash market
OI
PRICE
segment, where they bought of worth Rs. 185
SCRIP
OI
CHANGE
PRICE
CHANGE
crores. Whereas, they sold Index Futures worth Rs
(%)
(%)
584 crores with decent rise in open interest,
OFSS
189500
38.57
3950.75
2.36
suggesting short formation in last trading session.
JUSTDIAL
1617250
26.52
1103.00
-0.67
In Index options front, FIIs were net sellers of Rs.
983 crores with rise in open interest. We saw some
APOLLOTYRE
12530000
16.93
197.00
1.62
buildup in 8700, 8900 & 9000 call options; we
CENTURYTEX
9706000
16.29
726.90
-2.12
believe these may be short positions formed by
TVSMOTOR
5026000
13.27
263.90
-0.04
FIIs. Whereas, in put options, we hardly saw any
strike adding fresh open interest. Significant
OI Losers
amount of unwinding was visible in the range of
8400-8700 put options, which may be covering of
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
shorts which were formed last week. Maximum
(%)
(%)
buildup in current series in seen in 8700 call and
8500 put options.
SKSMICRO
4582000
-21.05
564.70
4.85
APOLLOHOSP
382000
-6.72
1371.50
0.88
Seeing the over-all data we would suggest holding
on to your longs and if any dips near 8500-8550
MINDTREE
544000
-6.21
1310.20
1.44
can be a buying opportunity.
DHFL
2856000
-6.07
482.75
1.67
BATAINDIA
972000
-6.04
1159.80
1.81
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.15
0.98
BAJAJ-AUTO
37.49
BANKNIFTY
1.10
0.81
MRF
32.60
INFY
1.04
0.72
SKSMICRO
41.55
RELIANCE
0.70
0.45
CAIRN
50.12
TATASTEEL
0.33
0.32
LUPIN
44.10
1
Derivative Report
July 24,
2015
Strategy Date
Symbol
Strategy
Status
June 29, 2015
LT
Ratio Bear Put Spread
Active
July 06, 2015
RELIANCE
Ratio Bull Call Spread
Active
July 13, 2015
HINDUNILVR
Long Put Ladder
Active
July 20, 2015
TATASTEEL
Ratio Bull Call Spread
Active
Research Team Tel: 022 - 39357800
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