Derivative Report
May 27, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 5.73%
BankNifty futures open interest has increased by 4.84%
as market closed at 8339.35 levels.
The Nifty May future closed at discount of 1.45 points
against a discount of 1.80 points. The June series closed
at a premium of 16.00 points.
The Implied Volatility of at the money options has
increased from 15.59% to 16.20%.
Nifty PCR-OI has decreased from 1.03 to 0.99 levels.
The total OI of the market is Rs. 2,41,805/- cr. and the
stock futures OI is Rs. 65,496/- cr.
Few of the liquid counters where we have seen high cost
of carry are JPASSOCIAT, MRF, GMRINFRA, BHEL and
KTKBANK.
View
OI Gainers
FII's activity in cash market segment was subdued.
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
In Index Futures they bought of worth Rs.
215
(%)
(%)
crores with significant rise in open interest which
suggests blend of long and short positions.
MINDTREE
368750
31.58
1419.65
-0.43
In options front, FIIs were net sellers of Rs.
234
VOLTAS
9108000
20.88
337.75
4.91
crores with rise in open interest which indicates
DISHTV
28692000
15.49
97.00
14.05
some short formation. PCR-OI decreased further
with rise in implied volatility suggesting buying in
BATAINDIA
1177250
15.28
1073.80
-3.26
call options. We saw good amount of buildup in
BHARTIARTL
10383500
12.62
400.90
0.07
8350 & 8400 call options which may be blend of
long and short positions, followed by unwinding in
8500 & 8600 strikes. Whereas in put options 8200
OI Losers
strike added decent amount of open interest, while
OI
PRICE
unwinding was visible in the range of 8300-8500
SCRIP
OI
CHANGE
PRICE
CHANGE
put options. Maximum buildup in current series in
(%)
(%)
seen in 8500 call and 8300 put options
CANBK
11723000
-15.25
336.45
-1.07
Roll-over in Nifty is on the lower side at 38.75%
YESBANK
12307750
-10.79
862.20
0.95
and of BankNifty is on the higher side at 34.26%.
MOTHERSUMI
5153000
-6.24
470.30
-1.29
Seeing global clues we believe market may show
weakness in today’s trading session but we don’t
IOB
10896000
-5.38
41.70
-0.60
expect Nifty to correct more than 100-150 points.
IDFC
69500000
-5.34
153.60
-0.23
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.99
0.88
DISHTV
75.24
BANKNIFTY
0.84
0.77
BATAINDIA
36.63
SBIN
0.33
0.26
AMTEKAUTO
59.82
RELIANCE
0.43
0.56
VOLTAS
67.11
TATASTEEL
0.42
0.66
HINDZINC
37.29
1
Derivative Report
May 27, 2015
Strategy Date
Symbol
Strategy
Status
04-05-15
RELIANCE
Bull Call Spread
Open
11-05-15
INFY
Bull Call Spread
Open
18-05-15
NIFTY
Ratio Bear Put Spread
Open
25-05-15
ICICIBANK
Long Put
Open
Research Team Tel: 022 - 39357800
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