Derivative Report
Jan 29, 2015
Nifty Vs OI
Comments
The Nifty futures open interest increased by
10.72%
levels BankNifty futures open interest has increased by
0.76% as market closed at 8914.30 levels.
The Nifty January future closed at discount of 9.65 points
against a premium of 12.15 points. The February series
closed at a premium of 52.80 points.
The Implied Volatility of at the money options has
increased from 16.77% to 17.90%.
Nifty PCR-OI has decreased from 1.37 to 1.33 levels.
The total OI of the market is Rs. 2,54,327/- cr. and the
stock futures OI is Rs. 68,980/- cr.
Few of the liquid counters where we have seen high
rollover are GRASIM, HDFCBANK, RANBAXY, LUPIN and
BATAINDIA.
View
OI Gainers
FIIs continue buying in cash market segment; they
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
were net buyers of worth Rs. 1723 crores. In Index
(%)
(%)
Futures they sold after long time of Rs. 1300 crores
with rise in open interest suggesting short formations
RECLTD
10499000
23.30
340.70
4.57
in last trading session.
UBL
487000
20.69
999.50
-3.66
In Index Options they bought marginally with rise in
DLF
23662000
16.20
163.05
3.01
open interest indicating blend of short and long
formation. We witness good amount of open interest
HDIL
34500000
15.35
86.70
2.38
addition in 8800 & 8900 put option, which may be
GAIL
6504000
10.66
418.80
-0.37
short formations in the hopes market to expire above
these levels. Decent amount of unwinding was also
seen in the range of 8400-8700 put options. On the
OI Losers
other hand in call options some open interest
OI
PRICE
addition was seen in 9000-9100 strike price which
SCRIP
OI
CHANGE
PRICE
CHANGE
may be long positions, unwinding in lower strikes
(%)
(%)
8400-8900 was also visible in last trading session.
PTC
13996000
-11.10
97.90
-1.46
Rollover in Nifty and BankNifty is on the higher side
SIEMENS
1756250
-9.96
1056.30
-0.76
at 66.15% & 49.48% respectively.
SRTRANSFIN
1298250
-9.84
1158.85
4.54
IBREALEST
36496000
-8.13
75.50
-1.96
SYNDIBANK
14914000
-8.12
124.15
-1.12
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.33
1.07
TITAN
49.38
BANKNIFTY
1.74
0.94
BHARTIARTL
43.86
RELIANCE
0.61
0.54
APOLLOHOSP
45.40
INFY
1.38
0.38
HINDPETRO
42.73
AXISBANK
1.34
0.81
DIVISLAB
28.98
1
Derivative Report
Jan 29, 2015
Strategy Date
Symbol
Strategy
Status
29-12-2014
NIFTY
Long Put
Loss booked on 02-01-2015.
05-01-2014
NIFTY
Ratio Put Spread
Open.
12-01-2015
ITC
Short Straddle
Open.
19-01-2015
ICICIBANK
Ratio Put Spread
Open.
27-01-2015
BANKNIFTY
Long Straddle
Open.
Research Team Tel: 022 - 39357800
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