Derivative Report
Sept 24, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 10.43% while
BankNifty futures open interest has increased by 5.37%
as market closed at 8017.55 levels.
The Nifty September future closed at premium of 14.65
point against a premium of 12.15 points. The October
series closed at a premium of 64.70 points.
The Implied Volatility of at the money options has
increased from 11.04% to 13.53%.
Nifty PCR-OI has decreased from 1.01 to 0.89 levels.
The total OI of the market is Rs. 2,17,600/- cr. and the
stock futures OI is Rs. 57,562/- cr.
Few of the liquid counter stocks where we have seen high
rollovers are TITAN, JSWSTEEL, BATAINDIA, JUBLFOOD
and IBREALEST.
View
OI Gainers
Yesterday Nifty plunged more than 100 points and
gave closing near 8000 levels; FIIs also participated
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
in this fall, they sold significantly of worth Rs. 1185
(%)
(%)
crores in cash market segment. In Index Futures they
were net seller with significant rise in open interest
JUSTDIAL
392875
21.16
1643.25
-3.72
which is mainly due to expiry coming closure.
ICICIBANK
8919500
15.55
1538.50
-2.26
In Index Options they were reasonable amount of
GAIL
3790000
14.81
443.35
-2.33
buyer with rise in open interest which suggests
formations of long positions in last trading session.
ORIENTBANK
6000000
14.50
263.00
-6.36
PCR-OI decreased due to huge amount of open
ITC
22870000
14.48
370.80
-0.07
interest addition in call options followed unwinding in
put options, while IV’s also increased which indicates
buying in call options. We saw 8050-8200 strike
OI Losers
prices of call options adding good amount of open
OI
PRICE
interest which in majority is long formations by FIIs at
SCRIP
OI
CHANGE
PRICE
CHANGE
the same time they are not buying in Index Futures
(%)
(%)
which is again not a very positive sign. On the other
DRREDDY
1438875
-15.50
3199.10
-0.23
hand in put options significant amount of unwinding
was seen in the range of 8000-8200 strike prices
JUBLFOOD
1766500
-11.32
1231.00
-0.92
which is due to profit booking of buyer in put options.
CESC
913500
-10.62
764.65
-0.25
Maximum buildup in current series is seen in 8200
call options and of put options still remains at 8000
SRTRANSFIN
743000
-10.59
977.15
-0.39
strike price. Rollover in NIFTY & BANKNIFTY is on the
IGL
1051000
-10.25
420.10
0.08
higher side at 50.65 and 33.36 respectively.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.89
1.07
DISHTV
39.38
BANKNIFTY
0.77
0.81
ORIENTBANK
60.57
RELIANCE
0.34
0.34
DLF
62.22
SBIN
0.62
0.71
RELIANCE
24.41
INFY
0.36
0.41
SKSMICRO
57.41
1
Derivative Report
Sept 24, 2014
Strategy Date
Symbol
Strategy
Status
02-09-2014
DLF
Long call ladder
Open.
08-09-2014
NIFTY
Long put ladder
Open.
15-09-2014
HINDALCO
Short strangle
Open.
15-09-2014
NIFTY
Long put
Open.
Research Team Tel: 022 - 39357800
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