Derivative Report
Dec 29, 2014
Nifty Vs OI
Comments
The Nifty futures open interest decreased by 0.50% while
BankNifty futures open interest has increased by 5.25%
as market closed at 8200.70 levels.
The Nifty January future closed at premium of 73.05
points against a premium of
103.20 points. The
February series closed at a premium of 125.35 points.
The Implied Volatility of at the money options has
decreased from 14.00% to 13.65%.
Nifty PCR-OI has increased from 1.04 to 1.05 levels.
The total OI of the market is Rs. 1,58,461/- cr. and the
stock futures OI is Rs. 58,589/- cr.
Few of the liquid counters where we have seen high cost
of carry are UNITECH, NHPC, HEXAWARE, JPPOWER
and L&TFH.
View
OI Gainers
FIIs activity in cash market segment was subdued. In
OI
PRICE
Index Futures they were marginal sellers with fall in
SCRIP
OI
CHANGE
PRICE
CHANGE
open interest indicating unwinding of some long
(%)
(%)
positions in last trading session.
IGL
601000
17.61
465.35
2.02
In Index Options they bought significantly in of worth
Rs. 979 crores with rise in open interest suggesting
BANKINDIA
10054000
17.12
301.50
4.64
long formation in options front. PCR-OI has
SUNTV
994000
16.80
384.15
1.90
increased mainly due to open interest addition in put
options while implied volatility decreased on the
ALBK
9418000
15.42
130.30
5.15
closing basis. We saw good amount of open interest
ORIENTBANK
4139000
15.26
340.80
3.08
addition in the range of 7900-8100 put options;
some buildup was also seen in the lower strikes like
OI Losers
7500 & 7700 call options. We believe these open
interest addition in put options must be FIIs long
OI
PRICE
positions. On the other hand in call options buildup
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
was seen in 8300, 8600 & 8700 strike price which
may be blend of long and short positions. Maximum
UBL
330000
-9.84
824.75
2.59
buildup in current series is seen 8400 call and 8000
HDFC
9063500
-3.61
1116.15
2.15
put options.
BPCL
3929500
-3.23
645.70
1.63
Seeing lower put options being activity and FIIs also
actively participating in buying these put strike we
RELCAPITAL
12503500
-2.54
499.35
1.29
believe we may see further pressure in market. One
M&MFIN
5073000
-2.12
303.40
-0.21
should avoid going long in this market.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.05
0.95
UNIONBANK
50.62
BANKNIFTY
0.81
0.84
ADANIENT
34.00
RELIANCE
0.60
0.54
SYNDIBANK
60.05
TATASTEEL
0.60
0.53
UCOBANK
54.26
SBIN
0.50
0.37
IOB
56.90
1
Derivative Report
Dec 29, 2014
Strategy Date
Symbol
Strategy
Status
Research Team Tel: 022 - 39357800
DISCLAIMER
This document is solely for the personal information of the recipient, and must not be singularly used as the basis of any investment
decision. Nothing in this document should be construed as investment or financial advice. Each recipient of this document should
make such investigations as they deem necessary to arrive at an independent evaluation of an investment in the securities of the
companies referred to in this document (including the merits and risks involved), and should consult their own advisors to determine
the merits and risks of such an investment.
Angel Broking Pvt. Limited, its affiliates, directors, its proprietary trading and investment businesses may, from time to time, make
investment decisions that are inconsistent with or contradictory to the recommendations expressed herein. The views contained in
this document are those of the analyst, and the company may or may not subscribe to all the views expressed within.
Reports based on technical and derivative analysis center on studying charts of a stock's price movement, outstanding positions and
trading volume, as opposed to focusing on a company's fundamentals and, as such, may not match with a report on a company's
fundamentals.
The information in this document has been printed on the basis of publicly available information, internal data and other reliable
sources believed to be true, but we do not represent that it is accurate or complete and it should not be relied on as such, as this
document is for general guidance only. Angel Broking Pvt. Limited or any of its affiliates/ group companies shall not be in any way
responsible for any loss or damage that may arise to any person from any inadvertent error in the information contained in this
report. Angel Broking Pvt. Limited has not independently verified all the information contained within this document. Accordingly, we
cannot testify, nor make any representation or warranty, express or implied, to the accuracy, contents or data contained within this
document. While Angel Broking Pvt. Limited endeavours to update on a reasonable basis the information discussed in this material,
there may be regulatory, compliance, or other reasons that prevent us from doing so.
This document is being supplied to you solely for your information, and its contents, information or data may not be reproduced,
redistributed or passed on, directly or indirectly.
Angel Broking Pvt. Limited and its affiliates may seek to provide or have engaged in providing corporate finance, investment
banking or other advisory services in a merger or specific transaction to the companies referred to in this report, as on the date of
this report or in the past.
Neither Angel Broking Pvt. Limited, nor its directors, employees or affiliates shall be liable for any loss or damage that may arise
from or in connection with the use of this information.
Note: Please refer to the important `Stock Holding Disclosure' report on the Angel website (Research Section). Also, please refer to
the latest update on respective stocks for the disclosure status in respect of those stocks. Angel Broking Pvt. Limited and its affiliates
may have investment positions in the stocks recommended in this report.
Derivative Research Team
For Private Circulation Only
SEBI Registration No: INB 010996539
3
