June 03, 2015
Nifty Vs OI
The Nifty futures open interest has increased by 0.81%
BankNifty futures open interest has increased by 25.71%
as market closed at 8236.45 levels.
The Nifty June future closed at a discount of 11.10 points
against a discount of 1.75 points. The July series closed
at a premium of 26.90 points.
The Implied Volatility of at the money options has
increased from 16.13% to 16.32%.
Nifty PCR-OI has decreased from 0.95 to 0.91 levels.
The total OI of the market is Rs. 1,91,494/- cr. and the
stock futures OI is Rs. 60,676/- cr.
Few of the liquid counters where we have seen high cost
of carry are JPPOWER, AMTEKAUTO, DABUR,
ADANIPORTS and HCLTECH.
FII's were sellers in both cash and future market.
Yesterday, they sold Rs. 594 crores of equity cash;
whereas they were net sellers of Rs 2163 crores in
Index futures with marginal change in open interest
suggesting blend of long unwinding and formation
of long positions.
In Index options front, FIIs were net buyer of Rs.
1066 crores with rise in open interest indicating
fresh long formation. PCR-OI decreased with some
rise in implied volatility suggesting buying in call
options. We saw good amount of buildup in the
range of 8300 to 8600 call options, some open
interest addition was also witnessed in 8800 and
9000 call options. Whereas, in put options, 7700
7900 strikes added good amount of open
interest. Maximum buildup in current series has
shifted to 9000 call and of put options still remains
at 8000 strike price.
Yesterday we saw meaningful selling in equity cash
and Index Futures by FIIs we believe most of the
longs formed in Friday’s trading session are out of
the system. We also saw out of the money put
options to be quite active this indicates expectation
of further weakness in market.
June 03, 2015
FII Statistics for 02-June 2015
Turnover on 02-June 2015
Nifty Spot = 8236.45
Lot Size = 25
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
June 03, 2015
June 01, 2015
Ratio Bull Call Spread
Research Team Tel: 022 - 39357800
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