Derivative Report
Sept 01, 2014
Comments
Nifty Vs OI
The Nifty futures open interest decreased by
17.93%
while BankNifty futures open interest has decreased by
34.59% as market closed at 7936.05 levels.
The Nifty September future closed at premium of 32.05
point against a premium of 36.80 points. The October
series closed at a premium of 66.50 points.
The Implied Volatility of at the money options has
increased from 12.12% to 12.54%.
Nifty PCR-OI has decreased from 0.99 to 0.74 levels.
The total OI of the market is Rs. 1,35,958/- cr. and the
stock futures OI is Rs. 50,508/- cr.
Few of the liquid counter stocks where we have seen high
cost of carry are JPPOWER, IBREALEST, JPASSOCIAT,
ASHOKLEY and UNITECH.
OI Gainers
View
OI
PRICE
On Thursday Nifty closed on a positive note. FIIs
SCRIP
OI
CHANGE
PRICE
CHANGE
were net seller in cash market segment of worth Rs.
(%)
(%)
710 crores. In F&O segment they were net buyer in
Index Futures and in Index Options they were
DABUR
6998000
43.05
232.60
-0.71
marginal buyer, while open interest rose significantly
DLF
34670000
0.89
177.30
-2.91
due to expiry.
-
-
-
-
-
In Index options reasonable amount of buildup was
-
-
-
-
-
seen in 8000 & 8100 call options while maximum
open interest in September series is seen in 8000
-
-
-
-
-
strike price of call options. On the other hand in put
options decent amount of buildup was seen in the
OI Losers
range of 7600-8000 strike prices. Maximum open
interest in put options has shifted from 7800 to 7900
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
strike price in current series.
(%)
(%)
Roll-over in NIFTY and BANKNIFTY is in line at
ICICIBANK
6050500
-40.96
1556.80
0.76
73.41% & 58.71% respectively.
MCDOWELL-N
1521625
-38.07
2398.05
-0.33
HAVELLS
1751250
-36.89
284.20
-2.18
BHARTIARTL
7846000
-33.86
369.80
0.55
DRREDDY
1365250
-33.16
2947.90
0.90
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.74
1.10
TATACOMM
41.84
BANKNIFTY
0.65
0.69
BHEL
54.97
RELIANCE
0.35
0.34
MCLEODRUSS
32.53
SBIN
0.51
0.77
JUSTDIAL
42.51
JINDALSTEL
0.65
0.67
ANDHRABANK
55.44
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Derivative Report
Sept 01, 2014
FII Statistics for 28-Aug-2014
Turnover on 28-Aug-2014
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Contracts
Value
Change
(` in cr.)
(%)
INDEX
INDEX
6205.31
5358.28
847.03
280695
11199.71
(19.53)
5,97,435
23738.98
26.99
FUTURES
FUTURES
INDEX
INDEX
14092.69
14081.73
10.96
1095815
43573.46
(40.24)
78,29,373
310825.86
55.25
OPTIONS
OPTIONS
STOCK
STOCK
12088.57
12416.86
(328.29)
1243904
44849.74
(13.14)
15,76,864
59217.09
19.26
FUTURES
FUTURES
STOCK
STOCK
920.03
757.35
162.68
921
27.89
(98.95)
4,15,847
16066.22
8.84
OPTIONS
OPTIONS
TOTAL
33306.61
32614.22
692.39
2621335
99650.80
(29.19)
TOTAL
1,04,19,522
409848.36
44.66
Nifty Spot =7936.05
Lot Size = 50
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8000
98.55
Buy
8000
113.40
43.05
56.95
8043.05
40.00
60.00
7960.00
Sell
Sell
8100
55.50
7900
73.40
Buy
Buy
8000
98.55
8000
113.40
69.60
130.40
8069.60
67.80
132.20
7932.20
Sell
8200
28.95
Sell
7800
45.60
Buy
8100
55.50
Buy
7900
73.40
26.55
73.45
8126.55
27.80
72.20
7872.20
Sell
8200
28.95
Sell
7800
45.60
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Aug Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Derivative Report
Sept 01, 2014
Strategy Date
Symbol
Strategy
Status
04-08-2014
BANKNIFTY
Ratio Put Spread
Marginal loss on expiry.
11-08-2014
NIFTY
Long Put
Loss booked on 12-08-2014.
18-08-2014
BHEL
Ratio Bull Call Spread
Marginal loss on expiry.
25-08-2014
HINDUNILVR
Long Put
Loss booked on expiry.
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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