Derivative Report
Sept 29, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 4.39% while
BankNifty futures open interest has decreased by 1.82%
as market closed at 7968.85 levels.
The Nifty October future closed at premium of 63.05
point against a premium of 59.95 points. The November
series closed at a premium of 111.80 points.
The Implied Volatility of at the money options has
decreased from 12.51% to 12.30%.
Nifty PCR-OI has decreased from 0.86 to 0.85 levels.
The total OI of the market is Rs. 1,61,436/- cr. and the
stock futures OI is Rs. 51,737/- cr.
Few of the liquid counter stocks where we have seen high
cost of carry are IFCI, HDFCBANK, RELIANCE,
JPASSOCIAT and LUPIN.
View
OI Gainers
OI
PRICE
Nifty recovered after 90 points fall on Friday. Even
SCRIP
OI
CHANGE
PRICE
CHANGE
though market closed on a positive note FIIs were
(%)
(%)
sold significantly, they sold of worth Rs. 1133 crores
in cash market segment. In Index Futures they were
JSWENERGY
8248000
27.52
72.30
1.11
net seller with fall in open interest indicating
GLENMARK
1359000
19.68
688.25
1.62
unwinding of long positions formed earlier.
RELINFRA
6025500
16.97
593.70
0.26
In Index Options they bought of worth Rs. 776 crores
with good amount of rise in open interest. PCR-OI
DIVISLAB
548750
15.34
1717.60
0.62
has decreased due to more of open interest addition
HDIL
25776000
15.28
81.20
0.68
in call options while implied volatility still remains
more or less in line. We believe both long and short
OI Losers
formation took place on Friday’s trading session. In
call options we saw good amount of buildup in 8000
OI
PRICE
& 8200 strike price, some open interest addition was
SCRIP
OI
CHANGE
PRICE
CHANGE
also seen in 8300 strike price. On the other hand in
(%)
(%)
put options 7700 & 7800 strike price added decent
KOTAKBANK
3103500
-12.53
1024.35
0.53
amount of buildup and we believe this is long
positions formed by FIIs. Maximum buildup in current
SRTRANSFIN
632000
-9.39
947.30
3.43
series in call options still remains at 8200 strike price
RECLTD
7840000
-8.53
255.15
6.74
and that of put options has shifted to 7800 strike
price.
UPL
8992000
-7.28
338.40
1.56
ALBK
14192000
-6.85
103.65
7.53
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.85
1.02
HDFCBANK
24.05
BANKNIFTY
0.90
0.74
IBREALEST
76.41
RELIANCE
0.46
0.33
RANBAXY
43.18
SBIN
0.50
0.66
SUNPHARMA
36.50
ICICIBANK
0.45
0.46
M&M
29.60
1
Derivative Report
Sept 29, 2014
Strategy Date
Symbol
Strategy
Status
Research Team Tel: 022 - 39357800
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