Derivative Report
July 30, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 0.56% while
BankNifty futures open interest has decreased by 0.16%
as market closed at 7748.70 levels.
The Nifty July future closed at discount of 5.45 point
against a premium of 4.75 points. The August series
closed at a premium of 29.90 points.
The Implied Volatility of at the money options has
decreased from 11.88% to 11.67%.
Nifty PCR-OI has decreased from 0.94 to 0.91 levels.
The total OI of the market is Rs. 2,18,833/- cr. and the
stock futures OI is Rs. 57,347/- cr.
Few of the large caps stocks where we have seen high
roll-over are BHEL, LUPIN, PNB,
BANKINDIA and
TATASTEEL.
OI Gainers
View
OI
PRICE
FIIs activity in cash market segment was subdued. In
SCRIP
OI
CHANGE
PRICE
CHANGE
F&O segment they were marginal buyer in Index
(%)
(%)
Futures with good amount of rise in open interest
DLF
42132000
19.04
194.35
-4.98
indicating blend of both long & short positions in last
trading session.
TATAMOTORS
17717000
16.62
453.85
-1.79
HINDUNILVR
6666500
13.26
686.80
3.74
In Index options FIIs were net seller with some rise in
open interest indicating short formation. On Monday
DRREDDY
2186375
13.14
2769.70
0.69
we saw 7700 & 7800 call options being quite active
CESC
1443500
12.60
605.65
-5.28
& added good amount of buildup with some fall in
implied volatility indicating some shorting in same.
On the other hand in put options we could hardly see
OI Losers
any buildup, majority of activity was seen in 7600
OI
PRICE
strike price in last trading session. Maximum buildup
SCRIP
OI
CHANGE
PRICE
CHANGE
in current series is witnessed in 8000 call and 7700
(%)
(%)
put options.
DABUR
2892000
-17.13
197.95
-0.70
Roll-over in Nifty and BankNifty is 36.83% & 35.06%
GLENMARK
684000
-10.94
660.55
3.51
respectively.
SRTRANSFIN
904500
-9.64
907.70
2.27
ALBK
19228000
-9.22
118.90
0.17
ACC
863250
-6.57
1402.85
-1.75
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.91
0.98
HINDUNILVR
31.48
BANKNIFTY
0.85
0.73
CESC
67.38
AXISBANK
0.83
0.55
TATAMTRDVR
55.18
RELIANCE
0.38
0.33
COALINDIA
42.02
SBIN
0.50
0.52
AMBUJACEM
35.89
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Derivative Report
July 30, 2014
Strategy Date
Symbol
Strategy
Status
30-06-2014
Reliance
Ratio Bull Call Spread
Open
07-07-2014
ITC
Long Put Ladder
Open
14-07-2014
DLF
Short Strangle
Profit booked on 25-07-2014.
21-07-2014
NIFTY
Ratio Bull Call Spread
Open
Research Team Tel: 022 - 39357800
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