Derivative Report
Oct 31, 2014
Comments
Nifty Vs OI
The Nifty futures open interest decreased by
27.99%
while BankNifty futures open interest has decreased by
25.25% as market closed at 8169.20 levels.
The Nifty November future closed at premium of 29.00
points against a premium of
44.70 points. The
December series closed at a premium of 75.45 points.
The Implied Volatility of at the money options has
decreased from 13.30% to 12.24%.
Nifty PCR-OI has decreased from 1.00 to 0.86 levels.
The total OI of the market is Rs. 1,48,293/- cr. and the
stock futures OI is Rs. 52,981/- cr.
Few of the liquid counter stocks where we have seen high
cost of carry are PTC, JPPOWER, HDFCBANK, IBREALEST
and IDFC.
View
OI Gainers
OI
PRICE
Yesterday market continued it’s up move and gave a
SCRIP
OI
CHANGE
PRICE
CHANGE
new high of 8181.55 levels. FIIs bought of worth Rs.
(%)
(%)
1257 crores in cash market segment. In Index
Futures they continue buying in a big way, they were
SRTRANSFIN
1611500
17.71
907.30
2.10
net buyer of worth Rs. 1286 crores with significant
TITAN
9947000
8.90
419.40
2.10
fall in open interest due to expiry but the buying
figure suggests continuation fresh buying in futures.
ANDHRABANK
14912000
6.21
81.50
6.49
In Index Options they were considerable amount of
ALBK
14536000
5.92
113.20
5.57
buyer of worth Rs. 3758 crores with fall in open
IBREALEST
35688000
3.04
69.05
3.79
interest. November series has again started with low
implied volatility indicating premium to be cheap with
OI Losers
a PCR-OI of 0.86 levels. We witnessed good amount
of buildup in the range of 8200-8500 call options.
OI
PRICE
On the other hand in put options significant amount
SCRIP
OI
CHANGE
PRICE
CHANGE
of buildup was seen in 7900 & 8000 strike price,
(%)
(%)
some open interest addition was also seen in 7800 &
AMBUJACEM
5508000
-46.40
223.70
-0.55
8100 put options. Maximum open interest in current
series is seen in 8300 call & 8100 put options.
TECHM
2075625
-37.13
2479.55
3.02
DRREDDY
816750
-35.68
3094.90
1.43
Seeing the quantum of buying in Index Futures and
the rollover statistics we believe market is heading to
HCLTECH
2726000
-34.62
1576.75
3.89
give new high. Roll-over in NIFTY & BANKNIFTY is on
INFY
3246125
-32.25
3946.55
1.52
the higher side at 63.62% and 62.28% respectively.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.86
1.15
CENTURYTEX
52.83
BANKNIFTY
1.33
0.88
TECHM
31.97
RELIANCE
0.57
0.50
RELIANCE
28.81
SBIN
0.62
0.45
BHARATFORG
44.50
TCS
0.43
0.40
UNITECH
85.09
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Derivative Report
Oct 31, 2014
FII Statistics for 30-Oct-2014
Turnover on 30-Oct-2014
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Contracts
Value
Change
(` in cr.)
(%)
INDEX
INDEX
5899.35
4612.86
1286.49
338580
13928.90
(31.55)
6,82,988
28056.95
35.47
FUTURES
FUTURES
INDEX
INDEX
25953.77
22195.36
3758.41
1231667
50326.69
(31.94)
1,04,96,214
427787.13
94.12
OPTIONS
OPTIONS
STOCK
STOCK
12792.33
12261.08
531.25
1189920
43825.77
(10.13)
19,23,084
72609.87
23.58
FUTURES
FUTURES
STOCK
STOCK
1212.82
1018.61
194.21
2278
85.09
(97.20)
6,04,722
22770.10
27.68
OPTIONS
OPTIONS
TOTAL
45858.26
40087.91
5770.35
2762445
108166.44
(25.53)
TOTAL
1,37,07,008
551224.04
73.52
Nifty Spot =8169.20
Lot Size = 50
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8200
105.15
Buy
8200
109.00
45.75
54.25
8245.75
37.25
62.75
8162.75
Sell
Sell
8300
59.40
8100
71.75
Buy
Buy
8200
105.15
8200
109.00
75.25
124.75
8275.25
62.65
137.35
8137.35
Sell
8400
29.90
Sell
8000
46.35
Buy
8300
59.40
Buy
8100
71.75
29.50
70.50
8329.50
25.40
74.60
8074.60
Sell
8400
29.90
Sell
8000
46.35
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Nov Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Derivative Report
Oct 31, 2014
Strategy Date
Symbol
Strategy
Status
29-09-2014
NIFTY
Long Put
Did not trigger.
07-10-2014
HINDALCO
Ratio Bull Call Spread
No Profit no loss on expiry.
13-10-2014
LT
Ratio Bear Put Spread
Loss booked on 22-10-2014.
20-10-2014
RELIANCE
Ratio Bear Put Spread
No Profit no loss on expiry .
27-10-2014
ITC
Ratio Bear Put Spread
Loss on expiry.
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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