Derivative Report
Aug 26, 2014
Comments
Nifty Vs OI
The Nifty futures open interest decreased by 1.72% while
BankNifty futures open interest has decreased by 1.23%
as market closed at 7906.30 levels.
The Nifty August future closed at premium of 9.15 point
against a premium of 14.35 points. The September
series closed at a premium of 46.05 points.
The Implied Volatility of at the money options has
increased from 11.70% to 12.66%.
Nifty PCR-OI remains unchanged at 1.00 levels.
The total OI of the market is Rs. 2,21,631/- cr. and the
stock futures OI is Rs. 58,508/- cr.
Few of the liquid counters stocks where we have seen
high cost of carry are ALBK, HAVELLS, POWERGRID,
DABUR and SUNPHARMA.
View
OI Gainers
OI
PRICE
FIIs were net buyer in cash market segment of worth
SCRIP
OI
CHANGE
PRICE
CHANGE
Rs. 127 crores, while in F&O segment again they
(%)
(%)
bought in Index Futures with fall in open interest
indicating short positions formed earlier were
HCLTECH
3084250
21.86
1597.70
-0.05
covered yesterday.
JINDALSTEL
17904000
16.81
253.45
-14.02
In Index options FIIs were net seller with rise in open
ARVIND
8960000
15.73
271.70
6.15
interest indicating some short formation. PCR-OI
remained unchanged while implied volatility jumped
INFY
2905375
11.83
3627.80
0.68
higher. In call options we saw 8000 strike price
AXISBANK
33451250
11.08
398.75
-1.05
adding good amount of open interest followed by
unwinding in 7800 & 8100 call options. On the other
OI Losers
hand 7900 put options also added decent buildup
while some unwinding in 7600-7800 strike price was
OI
PRICE
witnessed yesterday. Maximum open interest in
SCRIP
OI
CHANGE
PRICE
CHANGE
current series is seen in 8000 call and of put options
(%)
(%)
has shifted from 7800 to 7700 strike price.
APOLLOHOSP
354250
-11.10
1159.00
2.12
Roll-over in NIFTY and BANKNIFTY is 26.09% &
VOLTAS
6188000
-9.82
231.50
-2.46
24.78% respectively.
HDIL
24144000
-9.69
90.55
-3.53
GLENMARK
607000
-9.54
709.00
-0.77
IRB
14072000
-9.45
249.75
-2.28
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.00
1.06
JINDALSTEL
81.87
BANKNIFTY
0.91
0.86
HINDALCO
64.07
SBIN
0.68
0.72
TATASTEEL
39.50
RELIANCE
0.45
0.46
SSLT
43.52
AXISBANK
0.72
0.61
RPOWER
46.58
1
Derivative Report
Aug 26, 2014
Strategy Date
Symbol
Strategy
Status
04-08-2014
BANKNIFTY
Ratio Put Spread
Open
11-08-2014
NIFTY
Long Put
Loss booked on 12-08-2014.
18-08-2014
BHEL
Ratio Bull Call Spread
Open
25-08-2014
HINDUNILVR
Long Put
Open
Research Team Tel: 022 - 39357800
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