Derivative Report
July 27,
2015
Nifty Vs OI
Comments
The Nifty futures open interest has decreased by 0.98%
BankNifty futures open interest has increased by 3.71%
as market closed at 8521.55 levels.
The Nifty July future closed at a premium of 12.80 points
against premium of 13.90 points. The August series
closed at a premium of 54.95 points.
The Implied Volatility of at the money options has
decreased from 13.17% to 12.05%.
Nifty PCR-OI has decreased from 1.15 to 1.06 levels.
The total OI of the market is Rs. 2,59,358/- cr. and the
stock futures OI is Rs. 69,345/- cr.
Few of the liquid counters where we have seen high cost
of carry are GMRINFRA, IFCI, POWERGRID, BIOCON and
OFSS.
View
OI Gainers
On Friday, FIIs activity in cash market was
OI
PRICE
subdued. Whereas, they sold Index Futures
SCRIP
OI
CHANGE
PRICE
CHANGE
marginally with fall in open interest, suggesting
(%)
(%)
combination of both short covering and long
M&MFIN
10796000
25.67
265.00
0.45
unwinding.
APOLLOHOSP
473250
23.89
1370.40
-0.08
In Index options front, FIIs were net sellers of Rs.
782 crores with some rise in open interest. We saw
ICICIBANK
55240000
17.73
301.40
-3.94
significant amount of buildup in the range of
BRITANNIA
494875
16.51
2888.35
1.58
8500-8700 call options which may be short
TVSMOTOR
5730000
14.01
251.80
-4.59
positions as IV’s plunged more than 100 bps.
Whereas, in put options, we hardly saw any strike
OI Losers
adding any fresh open interest, we witnessed huge
unwinding in 8400-8600 put options. Maximum
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
buildup in current series is seen in 8700 call and
(%)
(%)
8500 put options.
SKSMICRO
4219500
-7.91
561.10
-0.64
We have witness good amount of buying in Index
CEATLTD
3004500
-7.89
781.10
-2.86
Futures by FIIs from start of July series and we
believe these positions are still intact. We would
ABIRLANUVO
943500
-6.05
2112.65
1.23
avoid going short at current levels till we see any
CENTURYTEX
9162000
-5.60
717.40
-1.31
change in data. Rollover in Nifty and BankNifty is
14.90% & 16.61% respectively.
IOB
12600000
-5.18
37.95
-1.94
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.06
0.84
ICICIBANK
30.21
BANKNIFTY
0.93
0.70
WIPRO
30.26
INFY
0.97
0.58
JPASSOCIAT
85.11
RELIANCE
0.57
0.43
CROMPGREAV
44.03
TATASTEEL
0.30
0.26
TVSMOTOR
43.27
1
Derivative Report
July 27,
2015
Strategy Date
Symbol
Strategy
Status
June 29, 2015
LT
Ratio Bear Put Spread
Active
July 06, 2015
RELIANCE
Ratio Bull Call Spread
Active
July 13, 2015
HINDUNILVR
Long Put Ladder
Active
July 20, 2015
TATASTEEL
Ratio Bull Call Spread
Active
Research Team Tel: 022 - 39357800
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