Derivative Report
July 31,
2015
Comments
Nifty Vs OI
The Nifty futures open interest has decreased by 30.25%
BankNifty futures open interest has decreased by 18.42%
as market closed at 8421.80 levels.
The Nifty August future closed at a premium of 39.95
points against premium of 42.90 points. The September
series closed at a premium of 80.35 points.
The Implied Volatility of at the money options has
decreased from 15.66% to 14.23%.
Nifty PCR-OI has decreased from 0.94 to 0.85 levels.
The total OI of the market is Rs. 1,71,365/- cr. and the
stock futures OI is Rs. 62,151/- cr.
Few of the liquid counters where we have seen high cost
of carry are JPPOWER, NHPC, JINDALSTEL, INDIACEM
and AMTEKAUTO.
View
OI Gainers
Yesterday, FIIs were net sellers in both cash market
OI
PRICE
and in Index Futures. They sold equities of worth
SCRIP
OI
CHANGE
PRICE
CHANGE
Rs. 170 crores and in Index Futures they sold
(%)
(%)
significantly of Rs. 212 crores with significant fall in
BANKBARODA
28048000
8.05
168.95
9.81
open interest due to expiry.
BRITANNIA
610625
5.60
3084.75
3.13
In Index options front, FIIs sold of Rs. 881 crores
with fall in open interest. Being start of new series
SRF
891500
5.07
1386.50
5.10
the overall build-up in options is quite scattered. In
HEXAWARE
8443000
1.02
279.55
0.56
call options build-up is seen in the range of 8500-
8900 strikes, whereas in put options 8000-8500
ORIENTBANK
6464000
0.53
165.50
4.48
strikes added good amount of OI. Maximum
buildup in August series is seen in 9000 call and
8200 put options.
OI Losers
OI
PRICE
Rollover in Nifty and BankNifty is on the higher
SCRIP
OI
CHANGE
PRICE
CHANGE
side at 65.92% & 78.67% respectively and we
(%)
(%)
believe these are mostly longs.
ZEEL
5793000
-41.99
401.70
-0.33
Large cap counters wherein we saw high roll-over
PNB
19142000
-40.78
147.80
7.06
are RELIANCE, HDFCBANK, TATAMOTORS,
SUNPHARMA, CIPLA and BHEL.
GODREJIND
1672000
-38.01
387.35
4.73
TVSMOTOR
4631000
-37.15
235.90
0.58
IBULHSGFIN
2497000
-36.04
735.25
-0.72
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.85
0.77
BANKBARODA
54.98
BANKNIFTY
0.82
0.65
PNB
62.35
INFY
0.56
0.46
DRREDDY
35.19
RELIANCE
0.50
0.52
UNITECH
113.38
TATASTEEL
0.63
0.75
ITC
28.47
1
Derivative Report
July 31,
2015
Strategy Date
Symbol
Strategy
Status
June 29, 2015
LT
Ratio Bear Put Spread
Loss on expiry
July 06, 2015
RELIANCE
Ratio Bull Call Spread
No profit, no loss on expiry
July 13, 2015
HINDUNILVR
Long Put Ladder
Marginal loss on expiry
July 20, 2015
TATASTEEL
Ratio Bull Call Spread
loss on expiry
July 27, 2015
NIFTY
Ratio Bull Call Spread
Marginal loss on expiry
Research Team Tel: 022 - 39357800
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