Derivative Report
Feb 27, 2015
Nifty Vs OI
Comments
The Nifty futures open interest decreased by
17.26%
BankNifty futures open interest has decreased by 26.11%
as market closed at 8683.85 levels.
The Nifty March future closed at premium of
45.80
points against a premium of 48.70 points. The April
series closed at a premium of 108.70 points.
The Implied Volatility of at the money options has
increased from 18.56% to 20.38%.
Nifty PCR-OI has decreased from 0.88 to 0.87 levels.
The total OI of the market is Rs. 1,48,547/- cr. and the
stock futures OI is Rs. 64,257/- cr.
Few of the liquid counters where we have seen high cost
of carry are IOB, JPPOWER, HDFCBANK, AMTEKAUTO
and STAR.
OI Gainers
View
OI
PRICE
FIIs bought significantly in cash market segment of
SCRIP
OI
CHANGE
PRICE
CHANGE
worth Rs. 2312 crores. In Index Futures they were net
(%)
(%)
sellers of worth Rs. 870 crores with significant fall in
open interest due to expiry.
-
-
-
-
-
-
-
-
-
-
In Index Options they were net sellers of worth Rs.
205/- crores with good amount of fall in open
-
-
-
-
-
interest. Being start of new series and also due to
-
-
-
-
-
upcoming budget buildup in Nifty options is quite
scattered. In call options we saw good amount of
-
-
-
-
-
buildup in
9000 &
9200 strike price which is
resistance zone for Nifty. 8800 & 8900 call options
OI Losers
also added some buildup yesterday. In put options
8500-8800 strikes added decent buildup. We also
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
witness deep out the money strikes like 8000 call &
(%)
(%)
9500 put options adding decent buildup and we
believe these is short strange formation expecting
MINDTREE
137500
-37.00
1414.70
-1.47
movement between these levels.
LUPIN
4859500
-36.70
1697.55
1.67
Rollover in Nifty is in line at 80.54% and of BankNifty
COALINDIA
14868000
-33.92
384.35
-0.64
is on the lower side at 62.05%.
PETRONET
3518000
-32.58
178.70
0.25
SUNTV
814000
-32.39
430.30
-1.36
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.87
0.87
NTPC
31.89
BANKNIFTY
0.68
0.59
ENGINERSIN
32.52
RELIANCE
0.72
0.73
SIEMENS
47.57
SBIN
0.56
0.53
IGL
32.60
TATASTEEL
0.63
0.73
BAJAJ-AUTO
23.03
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Derivative Report
Feb 27, 2015
Strategy Date
Symbol
Strategy
Status
02-02-2015
NIFTY
Ratio Bull Call Spread
Marginal loss on expiry.
09-02-2015
Reliance
Short Strangle
Loss on expiry.
16-02-2015
ONGC
Ratio Bull Call Spread
No profit no loss.
23-02-2015
NIFTY
Long Put
Profit booked on expiry.
Research Team Tel: 022 - 39357800
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