Derivative Report
July 28, 2014
Comments
Nifty Vs OI
The Nifty futures open interest decreased by 5.82%
while BankNifty futures open interest has increased
by 3.86% as market closed at 7790.45 levels.
The Nifty July future closed at premium of 4.75 point
against a premium of 3.15 points. The August series
closed at a premium of 30.75 points.
The Implied Volatility of at the money options has
increased from 11.87% to 11.88%.
Nifty PCR-OI has decreased from 0.97 to 0.94 levels.
The total OI of the market is Rs. 2,18,833/- cr. and
the stock futures OI is Rs. 57,347/- cr.
Few of the liquid counters stocks where we have
seen high roll-over are BATAINDIA, ALBK, IBREALEST,
LUPIN and ANDHRABANK.
OI Gainers
View
OI
PRICE
FIIs activity in cash market segment was
SCRIP
OI
CHANGE
PRICE
CHANGE
subdued. In F&O segment they were marginal
(%)
(%)
seller in Index Futures with good amount of rise
CAIRN
21257000
23.38
308.70
-4.28
in open interest indicating blend of both long &
short positions in last trading session.
WIPRO
7059500
11.35
551.05
-4.54
In Index options FIIs were net buyer with fall in
M&MFIN
8212000
9.58
238.70
-4.42
open interest which indicates short positions
HINDPETRO
8366000
8.78
384.45
-2.39
formed earlier were covered. Interestingly in put
options we saw good amount of unwinding in
DLF
35392000
8.07
204.75
-4.55
7600-7800 strike price, we believe these are FIIs
short positions which got covered on
OI Losers
Friday. Otherwise we couldn’t see any relevant
OI
PRICE
buildup in put options. On the other hand in call
SCRIP
OI
CHANGE
PRICE
CHANGE
options 7800 strike price added decent buildup
(%)
(%)
in last trading session. Maximum buildup in
IDEA
20910000
-14.48
149.50
-1.49
current series is witnessed in 8000 call and 7700
put options.
BPCL
3183000
-11.86
591.55
-2.01
Roll-over in Nifty and BankNifty is
20.94% &
BANKBARODA
4878000
-10.31
862.15
-2.30
19.96% respectively.
HCLTECH
2549000
-9.07
1582.35
-0.01
SUNTV
1477000
-8.09
410.45
0.82
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.94
1.13
BIOCON
53.43
BANKNIFTY
1.01
0.86
GLENMARK
47.73
RELIANCE
0.39
0.42
TATAMOTORS
38.31
SBIN
0.52
0.61
SUNPHARMA
33.03
INFY
0.68
0.48
WIPRO
35.32
1
Derivative Report
July 28, 2014
Strategy Date
Symbol
Strategy
Status
30-06-2014
Reliance
Ratio Bull Call Spread
Open
07-07-2014
ITC
Long Put Ladder
Open
14-07-2014
DLF
Short Strangle
Profit booked on 25-07-2014.
21-07-2014
NIFTY
Ratio Bull Call Spread
Open
Research Team Tel: 022 - 39357800
Website:
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