Derivative Report
Dec 31, 2014
Nifty Vs OI
Comments
The Nifty futures open interest increased by 1.10% while
BankNifty futures open interest has increased by 7.38%
as market closed at 8248.25 levels.
The Nifty January future closed at premium of 69.70
points against a premium of 70.15 points. The February
series closed at a premium of 125.00 points.
The Implied Volatility of at the money options has
increased from 13.65% to 14.25%.
Nifty PCR-OI has increased from 1.10 to 1.12 levels.
The total OI of the market is Rs. 1,58,461/- cr. and the
stock futures OI is Rs. 58,589/- cr.
Few of the liquid counters where we have seen high cost
of carry are UNITECH, JPPOWER, JISLJALEQS, PNB and
IOB.
View
OI Gainers
Yesterday market traded in a range and volume were
OI
PRICE
also too low. FIIs were net buyers of worth Rs. 277
SCRIP
OI
CHANGE
PRICE
CHANGE
crores in cash market segment. In Index Futures they
(%)
(%)
were net buyers of worth Rs. 472 crores with good
amount of rise in open interest indicating formation
HAVELLS
9658000
11.68
274.25
1.17
of fresh long positions in last trading session.
ANDHRABANK
17792000
11.56
93.95
4.80
In Index Options they bought significantly in of worth
JSWENERGY
24040000
10.95
102.35
2.93
Rs. 1112 crores with rise in open interest suggesting
long formation. PCR-OI has increased further mainly
ALBK
10304000
9.29
133.00
2.91
due to open interest addition in put options while
ADANIPORTS
6620000
9.08
316.00
7.51
implied volatility also increased on the closing basis.
We saw good amount of open interest addition in the
OI Losers
range of 7900-8300 put options. We believe these
open interest addition in put options must be FIIs
OI
PRICE
long positions. On the other hand in call options
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
some buildup was seen in
8700 strike price.
Maximum buildup in current series is seen 8400 call
TVSMOTOR
3790000
-13.79
268.00
-1.14
and 8000 put options.
BOSCHLTD
121625
-7.24
19664.30
1.25
FII’s from last two trading sessions are forming long
UBL
308000
-3.60
833.15
0.34
positions in Index Futures and at the same time lower
put options are quite activity. FIIs are actively buying
MOTHERSUMI
3663500
-2.61
445.30
-0.95
put strikes and the quantum of buying put is more
CESC
1258000
-2.40
664.60
-0.20
than the buying figure visible in Index Futures. One
should still avoid going long in this market.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.12
0.99
ADANIPORTS
54.78
BANKNIFTY
1.14
1.01
ADANIENT
38.81
RELIANCE
0.61
0.65
HEROMOTOCO
25.85
TATASTEEL
0.53
0.53
ANDHRABANK
62.97
SBIN
0.52
0.51
BAJAJ-AUTO
21.78
1
Derivative Report
Dec 31, 2014
Strategy Date
Symbol
Strategy
Status
29-12-2014
NIFTY
Long Put
Open.
Research Team Tel: 022 - 39357800
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