Derivative Report
August 31, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 4.88%
BankNifty futures open interest has increased by 2.84% as
market closed at 8001.895 levels.
The Nifty September future closed at a premium of 20.75
points against a premium of 42.05 points. The October
series closed at a premium of 60.65 points.
The Implied Volatility of at the money options has
increased from 20.86% to 22.02%.
Nifty PCR-OI has increased from 0.94 to 0.99 levels.
The total OI of the market is Rs. 1,86,410/- cr. and the
stock futures OI is Rs. 56,522/- cr.
Few of the liquid counters where we have seen high cost of
carry are JPPOWER, UNITECH, ARVIND, SUNTV and
AMARAJABAT.
OI Gainers
View
OI
PRICE
Friday Nifty continued to be volatile and had good
SCRIP
OI
CHANGE
PRICE
CHANGE
volume too. FIIs activity in cash market segment
(%)
(%)
was subdued. While surprisingly in Index Futures
they bought of Rs. 2512 crores with good amount
IBULHSGFIN
3812500
63.00
779.10
0.72
of rise in OI suggesting fresh long formation.
GLENMARK
1806250
46.73
1177.40
-1.00
In Index Options, FIIs were net buyers to the tune
VOLTAS
4107000
20.62
284.05
1.77
of Rs.2978 crores with rise in OI. Being start of
ARVIND
3585000
14.14
273.30
2.42
new series, build-up is quite scattered. We saw
good amount of OI addition in the range of 8100-
BAJFINANCE
169875
13.06
5079.40
-1.10
8500 call options. On the other hand, in put
options, we saw reasonable amount in 7400-8100
strikes. Maximum OI in September series is seen in
OI Losers
8500 call and 7800 put options.
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
Seeing Friday’s buying figure in Index Futures we
(%)
(%)
would suggest to wait and watch to see FIIs next
move.
IRB
4695000
-14.23
238.05
3.41
BOSCHLTD
220750
-10.31
23740.10
2.11
RCOM
40484000
-5.96
57.50
4.83
KSCL
1174250
-5.68
488.40
-0.98
JSWENERGY
3682000
-5.64
73.80
-0.47
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.99
0.87
HCLTECH
41.89
BANKNIFTY
0.93
0.72
MINDTREE
54.54
YESBANK
0.49
0.59
IOB
77.42
TATASTEEL
0.50
0.64
OFSS
43.98
SBIN
0.46
0.38
BHARTIARTL
44.44
1
Derivative Report
August 31, 2015
Strategy Date
Symbol
Strategy
Status
Research Team Tel: 022 - 39357800
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