Derivative Report
May 29, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has decreased by 30.01%
BankNifty futures open interest has decreased by 28.81%
as market closed at 8319.00 levels.
The Nifty June future closed at a discount of 0.45 points
against a premium of 14.60 points. The July series
closed at a premium of 35.60 points.
The Implied Volatility of at the money options has
increased from 16.31% to 16.45%.
Nifty PCR-OI has decreased from 1.00 to 0.95 levels.
The total OI of the market is Rs. 1,74,701/- cr. and the
stock futures OI is Rs. 56,371/- cr.
Few of the liquid counters where we have seen high cost
of carry are JPASSOCIAT, UNITECH, ADANIPOWER,
IBREALEST and L&TFH.
OI Gainers
View
OI
PRICE
FII's were net sellers in cash market segment of Rs.
SCRIP
OI
CHANGE
PRICE
CHANGE
792 crores. In Index Futures they bought of worth
(%)
(%)
Rs. 650 crores with significant fall in open interest
due to expiry.
BOSCHLTD
188000
30.44
23207.85
0.05
GODREJIND
1979968
20.46
380.20
4.91
In options front, FIIs were net buyers of Rs. 1302
crores with fall in open interest. Being start of new
IGL
1074500
9.59
403.25
-1.65
series the overall buildup in options were quite
BANKINDIA
14100000
6.71
189.65
-7.17
scattered yesterday. In call options buildup was
seen in the range of 8200-8700 and in put options
JINDALSTEL
32136000
6.35
119.05
-8.74
was seen between
8000-8400 strike prices.
Maximum buildup in current series in seen in 8800
OI Losers
call and 8000 put options
OI
PRICE
Roll-over in Nifty is on the lower side at 68.10%
SCRIP
OI
CHANGE
PRICE
CHANGE
and of BankNifty is in line at 63.70%. Last series
(%)
(%)
we hardly saw any relevant activity by FIIs in Index
ARVIND
3205000
-65.91
239.85
6.48
futures, in terms of open interest Nifty is very light.
One should avoid trading in Nifty till we see any
BATAINDIA
862250
-39.81
1054.05
2.00
reasonable activity and should trade stock specific.
HINDUNILVR
3454250
-39.58
842.30
-1.20
PNB
20051500
-38.97
150.90
0.97
OFSS
84500
-37.12
3638.40
1.21
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.95
1.03
NHPC
25.28
BANKNIFTY
0.85
0.68
JINDALSTEL
67.97
SBIN
0.39
0.53
ADANIENT
61.71
RELIANCE
0.75
0.68
BANKINDIA
53.90
TATASTEEL
0.69
0.59
TATAGLOBAL
29.13
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Derivative Report
May 29, 2015
Strategy Date
Symbol
Strategy
Status
04-05-15
RELIANCE
Bull Call Spread
Loss on expiry.
11-05-15
INFY
Bull Call Spread
Marginal loss on expiry.
18-05-15
NIFTY
Ratio Bear Put Spread
Marginal loss on expiry.
25-05-15
ICICIBANK
Long Put
Loss on expiry.
Research Team Tel: 022 - 39357800
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