Derivative Report
Oct 28, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 3.36% while
BankNifty futures open interest has increased by 9.85%
as market closed at 7991.70 levels.
The Nifty October future closed at premium of
6.30
points against a premium of
17.90 points. The
November series closed at a premium of 51.10 points.
The Implied Volatility of at the money options has
increased from 11.02% to 12.53%.
Nifty PCR-OI has increased from 0.87 to 0.90 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 UBL, GMRINFRA, DIVISLAB, JPPOWER
and BHARATFORG.
View
OI Gainers
Yesterday Nifty traded positively during first half but
OI
PRICE
corrected in the second half and closed on a negative
SCRIP
OI
CHANGE
PRICE
CHANGE
note. FIIs activity in cash market segment was
(%)
(%)
subdued. In Index Futures they were net buyers with
CESC
1870000
30.81
671.70
-2.55
rise in open interest indicating fresh long formation.
IFCI
71172000
17.73
35.60
0.71
In Index Options they bought of worth Rs. 746 crores
with fall in open interest signifying covering of short
YESBANK
7924000
16.96
643.95
3.76
positions formed earlier. PCR-OI increased mainly
UBL
478000
15.88
698.00
1.65
due to open interest addition in put options while IV’s
also increased more than 100 basis points. We
DABUR
8334000
15.59
209.40
-3.20
witnessed 7700 & 7800 put options adding good
amount of open interest from last two three trading
OI Losers
sessions. Some unwinding in lower strike price of
7300 & 7400 put options was also witnessed. On the
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
other hand in call options 8100 call options added
(%)
(%)
decent buildup followed by unwinding in 8200 call
options.
M&MFIN
6901000
-8.55
289.50
4.07
SUNTV
2341000
-5.87
314.70
1.34
Seeing continues buying in Index Futures by FIIs we
believe market may continue it’s up move.
UPL
7764000
-5.62
335.95
-0.19
Unwinding in 8200 call options while continues open
VOLTAS
6690000
-5.37
245.30
1.32
interest addition in 8000 & 8100 call options we
believe market breach 8100-8150 levels in current
APOLLOHOSP
323250
-4.72
1089.15
1.57
series.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.90
0.98
JUSTDIAL
66.72
BANKNIFTY
1.61
1.06
HINDUNILVR
32.26
RELIANCE
0.41
0.47
M&MFIN
32.39
TCS
0.32
0.34
WIPRO
35.40
INFY
0.75
0.56
DABUR
28.00
1
Derivative Report
Oct 28, 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.
27-10-2014
RELIANCE
Ratio Bear Put Spread
Open.
Research Team Tel: 022 - 39357800
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