Derivative Report
Oct 29, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 17.20% while
BankNifty futures open interest has increased by 9.84%
as market closed at 8027.60 levels.
The Nifty October future closed at premium of 12.75
points against a premium of 6.30 points. The November
series closed at a premium of 56.20 points.
The Implied Volatility of at the money options has
increased from 12.53% to 12.83%.
Nifty PCR-OI has increased from 0.90 to 0.93 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 GMRINFRA, SUNPHARMA, JPPOWER,
JUSTDIAL and IBREALEST.
View
OI Gainers
FIIs activity in cash market segment remains subdued
OI
PRICE
from last two three trading sessions. In Index Futures
SCRIP
OI
CHANGE
PRICE
CHANGE
they were net buyers with significant rise in open
(%)
(%)
interest indicating fresh long formation.
AXISBANK
30210000
15.03
424.20
-0.57
In Index Options they sold of worth Rs. 585 crores
SRTRANSFIN
1248000
14.65
891.25
-0.73
with marginal change in open interest signifying
IGL
1162000
14.48
388.65
-3.13
blend of long unwinding and short formation. PCR-
OI increased further mainly due to open interest
POWERGRID
19852000
14.39
142.50
0.42
addition in put options while IV’s also increased
CROMPGREAV
24336000
14.30
180.85
1.34
slightly. We witnessed 7950 & 8000 put options
adding good amount of open interest, we believe
these may be short positions. Some unwinding in
OI Losers
lower strike price of 7600 & 7700 put options was
OI
PRICE
also witnessed. On the other hand in call options we
SCRIP
OI
CHANGE
PRICE
CHANGE
hardly saw any relevant buildup, some unwinding
(%)
(%)
7900-8100 strike prices was observed.
UBL
404000
-15.48
690.90
-1.79
Seeing continues buying in Index Futures by FIIs we
OFSS
81375
-12.85
3306.60
3.04
believe market may continue it’s up move. Roll-over
statistics is also encouraging; as roll-over in NIFTY is
DABUR
7576000
-9.10
213.45
2.01
in line at 42.92% and of BANKNIFTY is on the higher
CESC
1727000
-7.65
664.20
-0.22
side at 38.56%.
TVSMOTOR
3482000
-6.04
252.60
-0.96
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.93
0.98
RANBAXY
43.53
BANKNIFTY
1.64
1.23
SUNPHARMA
36.88
RELIANCE
0.39
0.34
OFSS
27.66
TCS
0.35
0.30
JUSTDIAL
71.76
INFY
0.80
0.32
IGL
39.66
1
Derivative Report
Oct 29, 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
ITC
Ratio Bear Put Spread
Open.
Research Team Tel: 022 - 39357800
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