Sept 24, 2014
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
Yesterday Nifty plunged more than 100 points and
gave closing near 8000 levels; FIIs also participated
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
which is mainly due to expiry coming closure.
In Index Options they were reasonable amount of
buyer with rise in open interest which suggests
formations of long positions in last trading session.
PCR-OI decreased due to huge amount of open
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
prices of call options adding good amount of open
interest which in majority is long formations by FIIs at
the same time they are not buying in Index Futures
which is again not a very positive sign. On the other
hand in put options significant amount of unwinding
was seen in the range of 8000-8200 strike prices
which is due to profit booking of buyer in put options.
Maximum buildup in current series is seen in 8200
call options and of put options still remains at 8000
strike price. Rollover in NIFTY & BANKNIFTY is on the
higher side at 50.65 and 33.36 respectively.
Sept 24, 2014
FII Statistics for 23-Sept-2014
Turnover on 23-Sept-2014
(` in cr.)
(` in cr.)
Nifty Spot =8017.55
Lot Size = 50
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Aug Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
Sept 24, 2014
Long call ladder
Long put ladder
Research Team Tel: 022 - 39357800
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