Derivative Report
Mar 26, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has decreased by 2.82%
BankNifty futures open interest has decreased by 0.47%
as market closed at 8530.80 levels.
The Nifty March future closed at premium of 4.20 points
against a premium of 30.90 points. The April series
closed at a premium of 80.20 points.
The Implied Volatility of at the money options has
increased from 15.07% to 17.73%.
Nifty PCR-OI has decreased from 0.89 to 0.85 levels.
The total OI of the market is Rs. 2,59,021/- cr. and the
stock futures OI is Rs. 74,222/- cr.
Few of the liquid counters where we have seen high cost
of carry are JPPOWER, BHARATFORG, EXIDEIND, IDEA
and ZEEL.
View
OI Gainers
FIIs continue to buy in cash market segment of worth
OI
PRICE
Rs. 813 crores. In Index Futures they were net sellers
SCRIP
OI
CHANGE
PRICE
CHANGE
of Rs. 1386 crores with good amount of fall in open
(%)
(%)
interest suggesting long unwinding in last trading
HAVELLS
4289000
18.32
303.75
-0.10
session.
BOSCHLTD
143500
11.78
25757.55
-2.48
In Index Options they bought of worth Rs.
1582
crores with rise in open interest indicating long
YESBANK
13291500
10.93
808.95
-2.07
formations. In call options 8550 & 8600 strike added
DLF
29334000
10.00
164.95
2.71
significant buildup and we believe these are long
formation. On the other hand in put options 8400-
WOCKPHARMA
2572500
9.33
1920.65
1.96
8450 strikes added some buildup while huge amount
of unwinding was visible in
8600 put options
OI Losers
assuming market to move above this level. Maximum
OI
PRICE
buildup in current series is seen in 9000 call & 8500
SCRIP
OI
CHANGE
PRICE
CHANGE
put option.
(%)
(%)
Seeing Index Options data we believe we may see a
NTPC
48818000
-18.06
147.70
-3.56
bounce in Nifty. 8600 call options added more than
RANBAXY
9601000
-16.74
831.20
1.47
90,000 contracts; one can go long in 8600 call
option for the expiry.
M&MFIN
11347000
-16.47
261.10
-0.61
Nifty rollover is on the lower side at 58.23% and of
BHARTIARTL
12824500
-12.62
396.20
0.03
BankNifty is on the higher side at 45.44%.
UBL
953000
-9.71
966.25
0.75
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.85
0.84
APOLLOHOSP
46.12
BANKNIFTY
0.57
0.69
HCLTECH
34.31
SBIN
0.27
0.46
PNB
39.61
RELIANCE
0.48
0.70
UNITECH
93.16
AXISBANK
0.46
0.63
COALINDIA
27.45
1
Derivative Report
Mar 26, 2015
Strategy Date
Symbol
Strategy
Status
02-03-2015
NIFTY
Long Put
Profit booked on 10-03-15
09-03-2015
HEROMOTOCO
Long Call Ladder
Open
16-03-2015
NIFTY
Long Call
Open
23-03-2015
LT
Long Call
Open
Research Team Tel: 022 - 39357800
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