Derivative Report
Oct 27, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 3.97% while
BankNifty futures open interest has increased by 0.49%
as market closed at 7995.90 levels.
The Nifty October future closed at premium of 17.90
points against a premium of
18.65 points. The
November series closed at a premium of 61.50 points.
The Implied Volatility of at the money options has
decreased from 12.20% to 11.02%.
Nifty PCR-OI has decreased from 0.88 to 0.87 levels.
The total OI of the market is Rs. 2,23,491/- cr. and the
stock futures OI is Rs. 58,120/- cr.
Few of the liquid counter stocks where we have seen high
cost of carry are JPPOWER, IBREALEST, SUNTV, NHPC
and HDFCBANK.
View
OI Gainers
In last trading session NIFTY continued it’s positive
OI
PRICE
moves. FIIs activity in cash market segment was
SCRIP
OI
CHANGE
PRICE
CHANGE
subdued on Wednesday. In Index Futures they were
(%)
(%)
net buyers with rise in open interest indicating fresh
MARUTI
2381875
16.68
3177.20
3.46
long formation.
ONGC
25516000
14.90
399.45
-2.03
In Index Options they bought significantly of worth
Rs.
992 crores with some rise in open interest
HAVELLS
4875000
13.67
268.70
-3.76
signifying long formation in last trading session. PCR-
SUNTV
2487000
13.25
309.15
-0.18
OI decreased mainly due to unwinding in call
options, while IV’s plunged. We witnessed 8200 call
BAJAJ-AUTO
1674000
12.61
2494.90
3.47
options adding some open interest, followed by
significant unwinding in 7900 & 8000 call options
OI Losers
which may be due to profit booking. On the other
hand in put options
7700 & 7800 call options
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
continue adding some open interest while some
(%)
(%)
unwinding in lower strike price of 7300 & 7400 put
options was also witnessed; these must be long
TVSMOTOR
3876000
-10.61
255.10
-1.50
positions which got squared off assuming further
SKSMICRO
3219000
-5.30
315.90
-0.39
strength in market.
IDBI
21596000
-5.05
66.85
1.28
Seeing continues buying in Index Futures by FIIs we
CAIRN
14977000
-3.75
288.85
3.40
believe market may continue it’s up move. We
suggest to trade with positive bias.
SSLT
18696000
-3.58
249.75
0.28
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.87
1.09
KOTAKBANK
32.47
BANKNIFTY
1.48
1.27
JUBLFOOD
46.48
RELIANCE
0.39
0.37
BAJAJ-AUTO
29.21
TCS
0.32
0.36
MARUTI
30.29
INFY
0.77
0.55
HEROMOTOCO
37.13
1
Derivative Report
Oct 27, 2014
Strategy Date
Symbol
Strategy
Status
29-09-2014
NIFTY
Long Put
Did not trigger.
07-10-2014
HINDALCO
Ratio Bull Call Spread
Open.
13-10-2014
LT
Ratio Bear Put Spread
Loss booked on 22-10-2014.
20-10-2014
RELIANCE
Ratio Bear Put Spread
Open.
Research Team Tel: 022 - 39357800
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