Derivative Report
Apr 29, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 1.31%
BankNifty futures open interest has decreased by 7.73%
as market closed at 8285.60 levels.
The Nifty April future closed at premium of 6.80 points
against a premium of 9.20 points. The May series closed
at a premium of 63.75 points.
The Implied Volatility of at the money options has
increased from 19.28% to 20.48%.
Nifty PCR-OI has decreased from 0.78 to 0.84 levels.
The total OI of the market is Rs. 2,54,197/- cr. and the
stock futures OI is Rs. 70,495/- cr.
Few of the liquid counters where we have seen high cost
of carry are IDEA, UBL, CESC, PNB and BOSCHLTD.
View
OI Gainers
FII's continued to sell in both cash market and
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
Index Future, yesterday they sold of worth Rs. 1532
(%)
(%)
crores of equity cash, whereas they shorted Rs 408
crores of Index futures with rise in open interest
UBL
1008000
20.21
936.60
-0.33
suggesting some fresh short formation.
NHPC
39200000
15.36
19.80
-0.50
In Index Options front, FIIs sold of Rs. 422 crores
HDIL
18676000
14.92
114.25
6.33
with some rise in open interest. In call options we
hardly saw any relevant addition in open interest,
YESBANK
15671500
14.29
827.40
1.97
good amount of unwinding was seen in 8200-
MRF
79375
14.00
37413.20
0.61
8400 call options. On the other hand in put
options 8100 & 8200 strikes added good amount
of buildup and we believe FIIs have gone short in
OI Losers
these strikes. Maximum buildup has shifted to
OI
PRICE
8500 call and 8200 put options.
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
Roll-over in Nifty and BankNifty is on the higher
CROMPGREAV
12940000
-13.19
167.15
1.03
side at 36.59% & 39.38% respectively but in terms
of open interest is low.
ICICIBANK
65933750
-10.26
326.55
8.02
One should avoid forming fresh short position in
SAIL
38956000
-8.94
74.20
-0.07
Nifty as we are expecting some bounce. FIIs have
ABIRLANUVO
1223750
-8.23
1570.70
0.67
been actively buying Stock Futures in last trading
sessions.
BHEL
36523000
-7.74
233.30
3.69
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.84
0.85
ICICIBANK
45.44
BANKNIFTY
0.77
0.81
MARUTI
34.43
RELIANCE
0.43
0.60
UPL
55.99
SUNPHARMA
0.45
0.41
SKSMICRO
53.45
INFY
0.43
0.47
RPOWER
44.32
1
Derivative Report
Apr 29, 2015
Strategy Date
Symbol
Strategy
Status
30-03-15
ITC
Long Call Ladder
Open
06-04-15
MARUTI
Ratio Bear Put Spread
Open
13-04-15
BANKNIFTY
Short Strangle
Open
20-04-15
NIFTY
Ratio Bear Put Spread
Open
27-04-15
INFY
Long Call Ladder
Open
Research Team Tel: 022 - 39357800
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