Derivative Report
July 25, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 0.72% while
BankNifty futures open interest has decreased by 3.24%
as market closed at 7830.60 levels.
The Nifty July future closed at premium of 3.15 point
against a discount of 4.20 points. The August series
closed at a premium of 35.90 points.
The Implied Volatility of at the money options has
increased from 11.24% to 11.87%.
Nifty PCR-OI has increased from 0.95 to 0.97 levels.
The total OI of the market is Rs. 2,06,431/- cr. and the
stock futures OI is Rs. 56,964/- cr.
Few of the liquid counters stocks where we have seen
high cost of carry are GMRINFRA, HDIL, OFSS,
UCOBANK and INDIACEM.
OI Gainers
View
OI
PRICE
FIIs continue buying in cash market segment, they
SCRIP
OI
CHANGE
PRICE
CHANGE
bought of worth Rs. 282 crores. In F&O segment
(%)
(%)
some long unwinding was seen in Index Futures.
SUNTV
1607000
35.84
407.05
-4.69
Interesting FIIs are quite active in Stock Futures from
last two trading sessions, yesterday they were net
CAIRN
17229000
26.04
322.50
-6.38
buyer with fall in open interest which indicates
UCOBANK
24576000
15.45
107.90
6.02
covering of short positions formed earlier.
ALBK
21040000
12.71
117.30
-2.77
In Index options FIIs were net seller with rise in open
GAIL
3415000
12.22
430.15
-1.84
interest indicating fresh short formation. In put
options we saw huge buildup in 7800 put options,
we believe these are short positions formed by
OI Losers
FIIs. On the other hand in call options we could
OI
PRICE
hardly see any relevant buildup, majority of activity
SCRIP
OI
CHANGE
PRICE
CHANGE
was seen in 7900 strike price followed by some profit
(%)
(%)
booking in 7700 call options. Maximum buildup in
GLENMARK
748000
-19.35
596.85
0.24
current series is witnessed in 8000 call and 7700 put
options.
MRF
43250
-11.05
23858.10
-1.98
MCLEODRUSS
2701000
-9.03
283.05
1.01
CROMPGREAV
20400000
-6.97
202.50
-2.27
JSWENERGY
9264000
-6.23
81.50
-1.27
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.97
1.04
CAIRN
40.13
BANKNIFTY
1.10
0.91
JPPOWER
83.37
RELIANCE
0.42
0.45
UCOBANK
66.09
SBIN
0.61
0.63
JPASSOCIAT
68.33
INFY
0.68
0.43
ASIANPAINT
32.00
1
Derivative Report
July 25, 2014
Strategy Date
Symbol
Strategy
Status
30-06-2014
Reliance
Ratio Bull Call Spread
Open
07-07-2014
ITC
Long Put Ladder
Open
14-07-2014
DLF
Short Strangle
Open
21-07-2014
NIFTY
Ratio Bull Call Spread
Open
Research Team Tel: 022 - 39357800
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