Derivative Report
June 01, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 22.65%
BankNifty futures open interest has increased by 1.35%
as market closed at 8433.65 levels.
The Nifty June future closed at a premium of
25.00
points against a discount of 0.45 points. The July series
closed at a premium of 59.00 points.
The Implied Volatility of at the money options has
decreased from 16.45% to 15.54%.
Nifty PCR-OI remained unchanged at 0.95 levels.
The total OI of the market is Rs. 1,74,875/- cr. and the
stock futures OI is Rs. 62,378/- cr.
Few of the liquid counters where we have seen high cost
of carry are UNITECH, ADANIPOWER, TATAPOWER,
VEDL and RPOWER.
OI Gainers
View
OI
PRICE
FII's were buyers in both cash and future market.
SCRIP
OI
CHANGE
PRICE
CHANGE
Yesterday, they bought Rs. 2284 crores of equity
(%)
(%)
cash; whereas they were net buyers by Rs 3825
crores in Index futures with rise in open interest
BHARTIARTL
14625000
106.42
425.20
5.26
suggesting formation of long positions.
EICHERMOT
290375
91.19
18499.85
2.10
In Index options front, FIIs were net buyer of Rs.
LUPIN
5095500
67.19
1814.80
3.94
2713 crores with rise in open interest indicating
BOSCHLTD
257750
37.10
23805.90
2.58
fresh long formation. We saw good amount of
buildup in 8400 to 8900 call options, wherein
UPL
8814500
34.79
549.90
5.18
8700 and 8800 call options were most active.
Whereas, in put options, 8000 to 8400 strikes
OI Losers
added decent amount of open interest. 8200-8300
put options added more than 20,000. Maximum
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
buildup in current series in seen in 8800 call and
(%)
(%)
8000 put options.
MCLEODRUSS
1542000
-5.22
241.65
2.42
Seeing the quantum of buying in last trading
session we believe one should avoid going short in
M&MFIN
5590000
-4.53
272.05
1.64
this market as of now. 8450-8500 is a major
BANKINDIA
13562000
-3.82
196.60
3.66
resistance for Nifty, one should watch for this level.
BATAINDIA
831250
-3.60
1078.65
2.33
HAVELLS
3400000
-2.86
277.35
1.54
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.95
0.80
ENGINERSIN
40.63
BANKNIFTY
0.82
0.68
BHARTIARTL
39.69
SBIN
0.39
0.40
GRASIM
32.84
RELIANCE
0.66
0.52
M&M
39.51
LT
1.11
0.84
LUPIN
41.25
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Derivative Report
June 01, 2015
FII Statistics for 29-May 2015
Turnover on 29-May 2015
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Contracts
Value
Change
(` in cr.)
(%)
INDEX
5515.37
1692.33
3823.05
612001
14037.49
12.09
8,12,971
20049.49
-30.72
FUTURES
Index Futures
INDEX
Index
12172.30
9459.02
2713.28
2067216
54077.05
8.94
48,96,186
109451.23
-74.96
OPTIONS
Options
STOCK
6374.83
7625.23
(1250.40)
1916768
50664.14
5.83
13,43,742
37131.51
-47.06
FUTURES
Stock Futures
STOCK
Stock
1484.55
1386.20
98.35
37789
992.13
2453.31
4,15,891
11305.11
-30.72
OPTIONS
Options
25547.05
20162.78
5384.28
4633774
119770.81
8.87
74,68,790
177937.34
-67.80
Total
Total
Nifty Spot = 8433.65
Lot Size = 25
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8500
121.00
Buy
8400
119.30
42.75
57.25
8542.75
32.10
67.90
8367.90
Sell
Sell
8600
78.25
8300
87.20
Buy
Buy
8500
121.00
8400
119.30
73.60
126.40
8573.60
56.90
143.10
8343.10
Sell
8700
47.40
Sell
8200
62.40
Buy
8600
78.25
Buy
8300
87.20
30.85
69.15
8630.85
24.80
75.20
8275.20
Sell
8700
47.40
Sell
8200
62.40
Note: Above mentioned Bullish or Bearish Spreads in Nifty (June Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Derivative Report
June 01, 2015
Strategy Date
Symbol
Strategy
Status
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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