Derivative Report
Mar 30, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has decreased by 1.81%
BankNifty futures open interest has decreased by 4.16%
as market closed at 8341.40 levels.
The Nifty April future closed at premium of 93.50 points
against a premium of 113.60 points. The May series
closed at a premium of 147.40 points.
The Implied Volatility of at the money options has
decreased from 15.04% to 13.86%.
Nifty PCR-OI has decreased from 0.86 to 0.83 levels.
The total OI of the market is Rs. 1,75,438/- cr. and the
stock futures OI is Rs. 64,004/- cr.
Few of the liquid counters where we have seen high cost
of carry are JPPOWER, DISHTV, GMRINFRA, HDFCBANK
and ADANIPOWER.
OI Gainers
View
OI
PRICE
FIIs were net sellers in cash market segment of worth
SCRIP
OI
CHANGE
PRICE
CHANGE
Rs. 320 crores. In Index Futures they were net buyers
(%)
(%)
with fall in open interest indicating covering of short
positions formed earlier.
SRTRANSFIN
971000
13.60
1098.15
-0.65
HEXAWARE
7958000
12.59
314.40
7.25
In Index Options they bought significantly of worth
Rs. 3504 crores with significant rise in open interest
PFC
4487000
8.62
267.65
-2.30
suggesting fresh long formation. In call options
BHARTIARTL
9796500
8.51
380.05
-5.76
8400-8800 strikes added good amount of buildup,
we believe these are long positions of FIIs. On the
MINDTREE
187750
8.37
1355.65
-1.45
other hand in put options 8000 & 8400 strikes added
good amount of buildup. Maximum buildup in
OI Losers
current series is seen in 9000 call & 8200 put option.
OI
PRICE
Seeing Friday’s stats we believe we may see some
SCRIP
OI
CHANGE
PRICE
CHANGE
bounce in market. One should not go aggressively
(%)
(%)
long and those who are long should book profit at
RANBAXY
5241500
-6.19
808.10
-1.47
bounce.
ALBK
8170000
-5.09
99.30
3.01
SBIN
82791250
-4.82
266.60
2.70
LT
7420750
-4.31
1693.65
2.32
COLPAL
345625
-3.96
2014.60
0.27
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.83
0.86
SAIL
54.91
BANKNIFTY
0.75
0.62
HEXAWARE
60.59
RELIANCE
0.72
0.74
BHARTIARTL
48.80
SBIN
0.54
0.49
AUROPHARMA
59.71
TATASTEEL
0.71
0.58
SKSMICRO
48.53
1
Derivative Report
Mar 30, 2015
Strategy Date
Symbol
Strategy
Status
Research Team Tel: 022 - 39357800
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