Derivative Report
Feb 25, 2015
Nifty Vs OI
Comments
The Nifty futures open interest increased by
4.81%
BankNifty futures open interest has increased by 0.13%
as market closed at 8762.10 levels.
The Nifty February future closed at premium of 11.20
points against a discount of 1.50 points. The March
series closed at a premium of 63.10 points.
The Implied Volatility of at the money options has
decreased from 19.29% to 18.81%.
Nifty PCR-OI has increased from 0.86 to 0.87 levels.
The total OI of the market is Rs. 2,56,399/- cr. and the
stock futures OI is Rs. 76,237/- cr.
Few of the liquid counters where we have seen high cost
of carry are UNITECH, TATAPOWER, TITAN, JPPOWER
and SRTRANSFIN.
OI Gainers
View
OI
PRICE
FIIs were net buyers in cash market segment of worth
SCRIP
OI
CHANGE
PRICE
CHANGE
Rs. 679 crores. In Index Futures they were net sellers
(%)
(%)
with significant rise in open interest indicating blend
of long & short formation.
SRTRANSFIN
1280500
27.29
1160.30
-3.87
COLPAL
610125
17.70
1973.15
0.13
In Index Options they bought of worth Rs. 659 crores
with fall in open interest suggesting unwinding of
UNITECH
189666000
15.63
18.25
3.97
short positions. We hardly saw any fresh open
BHEL
38844000
11.52
277.75
2.09
interest addition in both call & put options yesterday.
Good amount of unwinding was visible in 8900-
SUNTV
1176000
10.22
445.75
3.18
9100 call options and in 8600-8900 put options.
Short positions formed in call options in last few
OI Losers
trading sessions were covered partially yesterday.
Maximum buildup in Nifty options is seen in 9000
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
call & of put options has got shifted to 8700 strike
(%)
(%)
price.
MINDTREE
238750
-12.86
1454.00
-0.10
We believe market may still correct further and may
test 8650-8700 levels this expiry.
DISHTV
27224000
-12.00
79.75
3.84
CANBK
9810000
-10.30
405.30
0.68
Rollover in Nifty is at 55.17% and of Banknifty is at
25.05%.
TITAN
8675000
-10.28
422.45
0.99
LT
8745750
-9.39
1721.10
2.08
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.87
0.75
TVSMOTOR
52.71
BANKNIFTY
0.60
0.54
CAIRN
39.52
RELIANCE
0.39
0.59
DISHTV
41.77
SBIN
0.45
0.40
JUBLFOOD
50.34
BANKBARODA
0.27
0.32
KOTAKBANK
29.14
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Derivative Report
Feb 25, 2015
Strategy Date
Symbol
Strategy
Status
02-02-2015
NIFTY
Ratio Bull Call Spread
Open
09-02-2015
Reliance
Short Strangle
Open
16-02-2015
ONGC
Ratio Bull Call Spread
Open
23-02-2015
NIFTY
Long Put
Open
Research Team Tel: 022 - 39357800
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