September 24, 2015
Nifty Vs OI
The Nifty futures open interest has decreased by 0.47%
BankNifty futures open interest has increased by 11.43%
as market closed at 7845.95 levels.
The Nifty September future closed at a premium of 9.50
points against a discount of 14.90 point. The October
series closed at a premium of 42.80 points.
The Implied Volatility of at the money options has
decreased from 21.42% to 19.58%.
Nifty PCR-OI remained unchanged at 0.95 levels.
The total OI of the market is Rs. 2,60,573/- cr. and the
stock futures OI is Rs. 63,035/- cr.
Few of the liquid counters where we have seen high cost of
carry are JPPOWER, JINDALSTEL, SOUTHBANK,
JPASSOCIAT and GMRINFRA.
FIIs continue selling in cash market segment; they
sold to the tune of Rs. 1330 crores. In Index
Futures they bought of Rs. 173 crores with rise in
OI, suggesting fresh long formation in last trading
In Index Options front, they bought of Rs. 1463
crores with some rise in OI. In call options, we
hardly saw meaningful OI addition, good amount
of unwinding was seen in 7800 call option. On the
other hand in put options, huge build-up was seen
in the range of 7600-7750 put options, followed
by significant unwinding in the money put strikes
7800-8200 put options. Maximum OI is seen in
8000 call and 7600 put options.
FII’s has been adding meaningful shorts in Index
Futures in past few days and we believe they are
forming these shorts in October series which
suggests continuation of pain in market. We would
stick to our view, that it’s a sell on rise market.
Avoid forming fresh longs in Index.
Roll-over in Nifty and BankNifty is
September 24, 2015
FII Statistics for 23-September 2015
Turnover on 23-September 2015
Nifty Spot = 7845.95
Lot Size = 25
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Sept. Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
September 24, 2015
August 31, 2015
September 07, 2015
Booked Profit on Sept 22, 2015
September 14, 2015
Ratio Bull Call Spread
Booked Profit on Sept 21, 2015
September 21, 2015
Ratio Bear Put Spread
Research Team Tel: 022 - 39357800
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