Derivative Report
September 29, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 1.74%
BankNifty futures open interest has increased by 0.46% as
market closed at 7795.70 levels.
The Nifty October future closed at a premium of 29.80
points against a premium of 27.20 points. The November
series closed at a premium of 65.00 points.
The Implied Volatility of at the money options has
increased from 19.03% to 20.80%.
Nifty PCR-OI has decreased from 0.93 to 0.90 levels.
The total OI of the market is Rs. 1,70,282/- cr. and the
stock futures OI is Rs. 52,639/- cr.
Few of the liquid counters where we have seen high cost of
carry are GMRINFRA, NHPC, DHFL, UNITECH and
KTKBANK.
OI Gainers
View
OI
PRICE
FIIs continue selling in cash market segment; they
SCRIP
OI
CHANGE
PRICE
CHANGE
sold to the tune of Rs. 650 crores. In Index Futures
(%)
(%)
they were marginal buyers with rise in OI,
suggesting blend of long and short in last trading
COALINDIA
15670400
15.83
310.75
-3.09
session.
DRREDDY
1056400
15.29
4213.65
5.44
In Index Options front, they bought of Rs. 1705
OIL
865500
14.86
420.35
-3.07
crores with decent rise in OI. In call options, OI
ENGINERSIN
1313000
8.33
188.60
-0.32
addition was seen in the range of 8000-8500
strikes. On the other hand in put options, good
LT
8020775
8.24
1438.00
-2.36
amount of build-up was seen in 7500 and 7800
strike. Maximum OI is seen in 8300 call and 7500
put options.
OI Losers
FII’s continue to form shorts in cash segment, while
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
too many shorts formed in Index Futures are still in
(%)
(%)
the system. Even though we saw decent bounce in
Nifty and BankNifty yesterday but it couldn’t sustain
DIVISLAB
3380450
-12.63
1114.00
-1.12
and closed in red. This indicates market may
YESBANK
12969950
-5.09
731.95
0.79
remain in pressure and we may revisit the previous
support of 7550-7500 levels. We would suggest
KSCL
1133500
-5.01
430.05
0.43
selling on rise.
INDIACEM
20940000
-4.97
77.15
3.56
HINDZINC
1992000
-4.87
136.75
-4.30
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.90
0.72
DRREDDY
39.66
BANKNIFTY
0.96
0.68
EXIDEIND
44.74
TATAMOTORS
0.66
0.53
TVSMOTOR
50.28
RELIANCE
0.81
0.62
TATAMOTORS
58.78
SBIN
0.57
0.34
PTC
71.78
1
Derivative Report
September 29, 2015
Strategy Date
Symbol
Strategy
Status
September 28, 2015
NIFTY
Long Strangle
Active
Research Team Tel: 022 - 39357800
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