Derivative Report
September 30, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 16.21%
BankNifty futures open interest has increased by 1.17% as
market closed at 7843.30 levels.
The Nifty October future closed at a premium of 32.55
points against a premium of 29.80 points. The November
series closed at a premium of 70.70 points.
The Implied Volatility of at the money options has
decreased from 20.80% to 20.40%.
Nifty PCR-OI has increased from 0.90 to 0.91 levels.
The total OI of the market is Rs. 1,82,257/- cr. and the
stock futures OI is Rs. 54,214/- cr.
Few of the liquid counters where we have seen high cost of
carry are GMRINFRA, JPASSOCIAT, AMTEKAUTO,
SOUTHBANK and ADANIPOWER.
OI Gainers
View
OI
PRICE
FIIs continue selling in cash market segment; they
SCRIP
OI
CHANGE
PRICE
CHANGE
sold to the tune of Rs. 1112 crores. In Index
(%)
(%)
Futures again they were sellers of Rs. 519 crores
with marginal change in OI, suggesting blend of
INFRATEL
579800
220.86
359.65
-5.18
long unwinding and fresh short in last trading
NCC
3088000
149.03
73.60
5.29
session.
MARICO
113100
123.08
398.85
-0.25
In Index Options front, they bought of Rs. 3614
BEML
60500
27.37
1214.50
-2.92
crores with good amount of rise in OI. In call
options, OI addition was seen in the range of
DHFL
4684600
19.80
216.30
3.44
7800-8200 strikes. On the other hand in put
options, good amount of build-up was seen
between 7000-7700 strikes. Maximum OI is seen
OI Losers
in 8200 call and 7500 put options.
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
FII’s continue to form shorts in cash segment, while
(%)
(%)
too many shorts formed in Index Futures are still in
the system. Even though we saw decent bounce in
BAJFINANCE
157250
-10.21
5124.55
5.64
Nifty and BankNifty yesterday but it couldn’t sustain
IDFC
32449100
-8.02
138.60
-0.54
at those higher levels. This indicates market may
remain in pressure and we may revisit the previous
COLPAL
1949000
-5.87
944.35
0.16
support of 7550-7500 levels. We would suggest
PTC
13780000
-5.69
58.90
1.73
selling on rise.
ENGINERSIN
1261000
-3.96
187.95
-0.34
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.91
0.81
BAJFINANCE
46.66
BANKNIFTY
0.99
0.65
LICHSGFIN
55.07
TATAMOTORS
0.62
0.50
SRTRANSFIN
48.79
RELIANCE
0.75
0.57
MARUTI
33.02
SBIN
0.58
0.45
HDIL
93.02
1
Derivative Report
September 30, 2015
Strategy Date
Symbol
Strategy
Status
September 28, 2015
NIFTY
Long Strangle
Active
Research Team Tel: 022 - 39357800
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