Derivative Report
June 30, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 9.69%
BankNifty futures open interest has increased by 2.32%
as market closed at 8318.40 levels.
The Nifty July future closed at a premium of 0.75 points
against premium of 0.55 points. The August series closed
at a premium of 35.75 points.
The Implied Volatility of at the money options has
increased from 14.48% to 15.84%.
Nifty PCR-OI has increased from 1.01 to 1.06 levels.
The total OI of the market is Rs. 1,71,896/- cr. and the
stock futures OI is Rs. 53,953/- cr.
Few of the liquid counters where we have seen high cost
of carry are BEL, UBL, GMRINFRA, ADANIPOWER and
UNITECH.
View
OI Gainers
Yesterday, FII's were net sellers in cash market
OI
PRICE
segment of worth Rs. 711 crores. In Index Futures
SCRIP
OI
CHANGE
PRICE
CHANGE
they were net buyers of Rs.
547 crores with
(%)
(%)
significant rise in open interest suggesting mix of
SRF
484250
29.31
1233.10
2.00
both long and short positions.
IGL
1255500
23.15
430.55
3.32
In Index options front, FIIs bought significantly of
Rs. 1791 crores with decent rise in open interest
DHFL
1887000
14.16
419.40
-4.10
which indicates long formation. PCR-OI increased
OIL
563500
13.38
451.05
-3.41
with rise in implied volatility which suggests buying
in put options. In call options we saw open interest
CEATLTD
1013000
12.62
638.90
-5.10
addition in the range of 8200-8400 and 8600
strikes which may be blend of long and short
OI Losers
positions. Whereas, in put options, buildup up was
scattered in the broader range of 7500-8200 strike
OI
PRICE
price. Maximum buildup in current series in seen in
SCRIP
OI
CHANGE
PRICE
CHANGE
8500 call and 7900 put options.
(%)
(%)
PIDILITIND
294000
-15.03
555.15
-1.94
The above data indicates mix positions in Index
Futures with significant buying of put options from
AMARAJABAT
196750
-9.12
868.10
-1.15
last two trading session. Till we don’t see
IBULHSGFIN
1974000
-6.56
612.55
-1.12
reasonable buying in Index Futures we would
suggest not to go long in Nifty at current levels and
MINDTREE
271000
-6.07
1261.25
-3.81
trade stock specific.
UNIONBANK
9752000
-5.92
148.80
-3.38
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.06
0.98
TECHM
58.17
BANKNIFTY
1.06
0.85
EXIDEIND
35.11
RELIANCE
0.63
0.53
OIL
29.27
INFY
0.52
0.42
MCLEODRUSS
50.47
SBIN
0.44
0.32
RECLTD
34.37
1
Derivative Report
June 30, 2015
Strategy Date
Symbol
Strategy
Status
June 29, 2015
LT
Ratio Bear Put Spread
Active
Research Team Tel: 022 - 39357800
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