Derivative Report
Aug 27, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 0.52% while
BankNifty futures open interest has decreased by 2.12%
as market closed at 7904.75 levels.
The Nifty August future closed at premium of 2.50 point
against a premium of 9.15 points. The September series
closed at a premium of 39.55 points.
The Implied Volatility of at the money options has
decreased from 12.66% to 11.86%.
Nifty PCR-OI has decreased from 1.00 to 0.99 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 lage cap stocks where we have seen high roll-
over are NMDC, UNIONBANK, LUPIN, RELIANCE and
ONGC.
View
OI Gainers
Yesterday Nifty was under pressure but in second half
it got covered and closed approximately flat. FIIs
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
were net buyer in cash market segment of worth Rs.
(%)
(%)
364 crores, while in F&O segment again they bought
in Index Futures with marginal rise in open interest
BHARTIARTL
11818000
22.11
369.60
-0.04
indicating mix of both long and short covering.
PETRONET
3844000
18.13
183.75
4.51
In Index options FIIs were net seller with marginal
POWERGRID
23924000
17.89
131.00
-1.28
change in open interest indicating blend of both short
formation and long unwinding. PCR-OI decreased
SUNPHARMA
9250000
15.50
864.95
1.33
due to buildup in call options, while implied volatility
UNITECH
177837000
14.27
22.45
-0.22
plunged in last trading session. In call options we saw
7900 & 7950 strike price adding good amount of
buildup followed by unwinding in 7800 & 8100 strike
OI Losers
price. On the other hand we hardly saw any
OI
PRICE
reasonable buildup in put options, majority of
SCRIP
OI
CHANGE
PRICE
CHANGE
addition in open interest was seen in 7850 strike
(%)
(%)
price. We also witnessed decent amount of
PTC
14924000
-16.87
85.45
-0.93
unwinding in
7700,
7900 & 7950 put options.
Maximum open interest in current series is seen in
MCDOWELL-N
2772875
-11.23
2396.90
0.68
8000 call and 7800 put options.
JPASSOCIAT
147944000
-10.30
49.25
-4.73
Roll-over in NIFTY and BANKNIFTY is 39.78% &
IDBI
29276000
-7.26
79.55
0.82
32.78% respectively.
GODREJIND
2859000
-6.39
332.15
1.28
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.99
0.99
HAVELLS
55.26
BANKNIFTY
0.89
0.83
RPOWER
55.71
SBIN
0.65
0.67
ADANIPOWER
55.67
RELIANCE
0.43
0.48
SIEMENS
38.09
AXISBANK
0.70
0.70
CESC
51.84
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Derivative Report
Aug 27, 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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