Derivative Report
Sept 30, 2014
Comments
Nifty Vs OI
The Nifty futures open interest decreased by 4.89% while
BankNifty futures open interest has decreased by 0.09%
as market closed at 7958.90 levels.
The Nifty October future closed at premium of 35.00
point against a premium of 63.05 points. The November
series closed at a premium of 85.65 points.
The Implied Volatility of at the money options has
decreased from 12.30% to 12.13%.
Nifty PCR-OI has increased from 0.85 to 0.86 levels.
The total OI of the market is Rs. 1,61,436/- cr. and the
stock futures OI is Rs. 51,737/- cr.
Few of the liquid counter stocks where we have seen high
cost of carry are HEXAWARE, GODREJIND, GMRINFRA,
RELIANCE and GLENMARK.
View
OI Gainers
OI
PRICE
Yesterday market was volatile but remained in the
SCRIP
OI
CHANGE
PRICE
CHANGE
range of
50-60 points, volume was also
(%)
(%)
comparatively low. FIIs activity in cash market was
subdued. In Index Futures they were marginal buyer
GLENMARK
1558000
14.64
717.15
4.21
with fall in open interest indicating blend of both
TVSMOTOR
5170000
11.04
228.60
4.20
short covering and long unwinding in last trading
session.
DRREDDY
888625
8.39
3208.20
-0.52
In Index Options they bought of worth Rs. 522 crores
UNIONBANK
7468000
8.36
194.35
-2.59
with good amount of rise in open interest. PCR-OI
AUROPHARMA
9154000
7.28
947.45
7.48
has increased due to more of open interest addition
in call options while implied volatility still remains
OI Losers
more or less in line. We believe both long and short
formation took place in last trading session. In call
OI
PRICE
options we saw decent amount of buildup in 8100 &
SCRIP
OI
CHANGE
PRICE
CHANGE
8200 strike prices which may be short position seeing
(%)
(%)
IV’s. On the other hand in put options 7800 strike
VOLTAS
7952000
-7.96
239.95
0.23
price added some buildup. Maximum buildup in
current series in call options still remains at
8200
AMBUJACEM
8382000
-6.74
214.75
1.10
strike price and that of put options is at 7800 strike
BHARATFORG
3964000
-5.91
837.95
2.82
price.
SUNPHARMA
9907500
-5.76
835.80
3.13
Few of the large cap counter where we saw good
ADANIPORTS
7984000
-5.47
281.45
0.53
amount of open interest additions are DRREDDY,
WIPRO, TATASTEEL, HCLTECH and RELIANCE.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.86
0.97
ABIRLANUVO
42.55
BANKNIFTY
0.89
0.76
JUSTDIAL
40.01
RELIANCE
0.41
0.42
RELIANCE
28.90
SBIN
0.50
0.63
ANDHRABANK
85.51
INFY
0.42
0.18
ADANIENT
35.94
1
Derivative Report
Sept 30, 2014
Strategy Date
Symbol
Strategy
Status
29-09-2014
NIFTY
Long Put
Did not trigger.
Research Team Tel: 022 - 39357800
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