Derivative Report
September 24, 2015
Nifty Vs OI
Comments
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.
View
OI Gainers
FIIs continue selling in cash market segment; they
OI
PRICE
sold to the tune of Rs. 1330 crores. In Index
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
Futures they bought of Rs. 173 crores with rise in
OI, suggesting fresh long formation in last trading
PTC
26588000
40.35
57.15
-2.22
session.
MINDTREE
221500
19.89
1486.10
1.54
In Index Options front, they bought of Rs. 1463
IBULHSGFIN
8558500
19.32
730.35
4.22
crores with some rise in OI. In call options, we
hardly saw meaningful OI addition, good amount
AMTEKAUTO
7112000
17.98
44.55
-3.15
of unwinding was seen in 7800 call option. On the
UNITECH
216623000
15.34
6.05
1.68
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
OI Losers
7800-8200 put options. Maximum OI is seen in
8000 call and 7600 put options.
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
FII’s has been adding meaningful shorts in Index
Futures in past few days and we believe they are
ALBK
7658000
-23.19
78.35
3.16
forming these shorts in October series which
JPPOWER
21831000
-20.21
6.50
6.56
suggests continuation of pain in market. We would
stick to our view, that it’s a sell on rise market.
COLPAL
2896250
-14.67
940.35
-1.12
Avoid forming fresh longs in Index.
MCLEODRUSS
3217200
-14.01
152.50
0.53
Roll-over in Nifty and BankNifty is
49.87% &
IOB
13886000
-11.49
36.05
3.74
49.17% respectively.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.95
1.00
JPASSOCIAT
118.42
BANKNIFTY
1.00
0.93
BEL
52.11
SBIN
0.49
0.50
IDBI
105.60
RELIANCE
0.54
0.51
IBULHSGFIN
49.71
TATAMOTORS
0.47
0.77
GMRINFRA
68.35
1
Derivative Report
September 24, 2015
Strategy Date
Symbol
Strategy
Status
August 31, 2015
HINDALCO
Long Call
Active
September 07, 2015
RELIANCE
Short Strangle
Booked Profit on Sept 22, 2015
September 14, 2015
SUNPHARMA
Ratio Bull Call Spread
Booked Profit on Sept 21, 2015
September 21, 2015
BANKNIFTY
Ratio Bear Put Spread
Active
Research Team Tel: 022 - 39357800
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