Derivative Report
May 25, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 6.28%
BankNifty futures open interest has increased by 7.63%
as market closed at 8458.95 levels.
The Nifty May future closed at discount of 6.90 points
against a discount of 1.90 points. The June series closed
at a premium of 17.55 points.
The Implied Volatility of at the money options has
decreased from 15.30% to 13.16%.
Nifty PCR-OI was unchanged at 1.11 levels.
The total OI of the market is Rs. 2,35,108/- cr. and the
stock futures OI is Rs. 64,100/- cr.
Few of the liquid counters where we have seen high cost
of carry are JPPOWER, DIVISLAB, ASHOKLEY, UNITECH
and GMRINFRA.
OI Gainers
View
OI
PRICE
FII's were net buyers in cash market segment of Rs.
SCRIP
OI
CHANGE
PRICE
CHANGE
211 crores, whereas there bought of Rs 327 crores
(%)
(%)
of Index futures with good amount rise in open
mainly due to expiry coming closure.
VOLTAS
7162000
48.44
315.35
9.21
SBIN
71783000
30.07
279.45
-2.60
In options front, FIIs were net buyers of Rs. 894
crores with rise in open interest which indicates
UBL
910000
25.60
998.05
-1.58
long formation. PCR-OI remained unchanged,
BHARTIARTL
8989000
16.65
394.45
-0.35
while we saw good amount of buildup in 8400 &
8500 put options which may be blend of long and
JSWENERGY
7028000
10.09
108.95
-3.67
short positions. In put options we also saw good
amount of unwinding in 8200 strike. Whereas in
OI Losers
call options we hardly saw any relevant buildup,
some unwinding was visible in 8300 call options.
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
Roll-over in Nifty and BankNifty is 17.2% & 14.81%
(%)
(%)
respectively. Nifty is near its strong resistance zone
BAJAJ-AUTO
1514625
-10.36
2310.25
0.20
of 8500 we don‟t major upside from current levels.
One should trade with negative bias in this market.
GLENMARK
3316250
-7.74
884.70
-1.59
OFSS
132750
-7.09
3627.45
1.24
IBULHSGFIN
2883000
-6.56
595.90
2.64
JPPOWER
86451000
-6.32
7.25
0.00
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.11
1.18
VOLTAS
64.77
BANKNIFTY
0.94
0.93
CESC
41.65
SBIN
0.38
0.46
MCLEODRUSS
37.80
RELIANCE
0.49
0.60
TCS
26.59
TATASTEEL
0.52
0.69
KTKBANK
47.55
1
Derivative Report
May 25, 2015
Strategy Date
Symbol
Strategy
Status
04-05-15
RELIANCE
Bull Call Spread
Open
11-05-15
INFY
Bull Call Spread
Open
18-05-15
NIFTY
Ratio Bear Put Spread
Open
Research Team Tel: 022 - 39357800
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