Derivative Report
Oct 30, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 13.77% while
BankNifty futures open interest has increased by 0.03%
as market closed at 8090.45 levels.
The Nifty October future closed at discount of
1.30
points against a premium of
12.75 points. The
November series closed at a premium of 44.700 points.
The Implied Volatility of at the money options has
increased from 12.83% to 13.30%.
Nifty PCR-OI has increased from 0.93 to 1.00 levels.
The total OI of the market is Rs. 2,23,491/- cr. and the
stock futures OI is Rs. 58,120/- cr.
Few of the liquid counter stocks where we have seen high
cost of carry are HDIL, AUROPHARMA, JPPOWER,
IBREALEST and COLPAL.
View
OI Gainers
Yesterday market continued it’s up move but closed
OI
PRICE
below 8100 mark. FIIs bought of worth Rs.
785
SCRIP
OI
CHANGE
PRICE
CHANGE
crores in cash market segment. In Index Futures they
(%)
(%)
continue buying in a big way, they were net buyer of
worth Rs. 2166 crores with rise in open interest
PFC
10656000
27.56
277.80
-1.33
indicating fresh long formation.
BHARTIARTL
13345000
23.60
405.10
-0.64
In Index Options they were considerable amount of
BIOCON
6612000
15.16
444.45
-2.95
buyer of worth Rs. 1932 crores with marginal change
UBL
456250
12.93
700.60
1.46
in open interest signifying blend of long formation
and short covering. PCR-OI increased further mainly
CIPLA
7028000
12.70
656.90
1.39
due to significant amount of open interest addition in
put options while IV’s also increased by nearly 50
OI Losers
basis points. We witnessed 8000 & 8050 put options
adding huge open interest; we believe these may be
OI
PRICE
long positions formed to hedge longs in Index
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
Futures. On the other hand in call options
8150
strike price added some buildup in the hopes market
HAVELLS
4577500
-15.19
279.50
4.37
breaching those levels. Good amount of unwinding
UNIONBANK
9740000
-12.82
225.40
-2.67
7900-8050 put options was also witnessed.
IDBI
20796000
-10.88
67.85
-0.51
Seeing longs getting rolled in next series we believe
market may continue it’s up move. Roll-over in NIFTY
JSWENERGY
7344000
-10.40
78.15
0.58
is in line at 55.42% and of BANKNIFTY is on the
ADANIPORTS
8374000
-9.96
271.95
3.68
higher side at 47.88%.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.00
1.19
HINDALCO
60.07
BANKNIFTY
1.59
1.33
TATASTEEL
43.22
RELIANCE
0.42
0.51
JUSTDIAL
77.67
TCS
0.39
0.41
HAVELLS
48.71
INFY
0.89
0.55
DISHTV
32.39
1
Derivative Report
Oct 30, 2014
Strategy Date
Symbol
Strategy
Status
29-09-2014
NIFTY
Long Put
Did not trigger.
07-10-2014
HINDALCO
Ratio Bull Call Spread
Open.
13-10-2014
LT
Ratio Bear Put Spread
Loss booked on 22-10-2014.
20-10-2014
RELIANCE
Ratio Bear Put Spread
Open.
27-10-2014
ITC
Ratio Bear Put Spread
Open.
Research Team Tel: 022 - 39357800
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