Derivative Report
June 03, 2015
Nifty Vs OI
Comments
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.
View
OI Gainers
FII's were sellers in both cash and future market.
Yesterday, they sold Rs. 594 crores of equity cash;
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
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
PAGEIND
20125
51.89
15652.80
-7.42
of long positions.
AJANTPHARM
215000
28.55
1561.00
-4.33
In Index options front, FIIs were net buyer of Rs.
ADANIPORTS
12863000
17.56
310.95
-0.35
1066 crores with rise in open interest indicating
fresh long formation. PCR-OI decreased with some
KSCL
184250
16.98
902.10
-4.31
rise in implied volatility suggesting buying in call
SOUTHBANK
5697000
14.67
23.60
-3.87
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
OI Losers
9000 call options. Whereas, in put options, 7700
OI
PRICE
to
7900 strikes added good amount of open
SCRIP
OI
CHANGE
PRICE
CHANGE
interest. Maximum buildup in current series has
(%)
(%)
shifted to 9000 call and of put options still remains
BEL
166875
-16.25
3481.40
-4.23
at 8000 strike price.
UNIONBANK
10556000
-14.77
155.20
-8.46
Yesterday we saw meaningful selling in equity cash
BAJFINANCE
43375
-14.74
4292.05
-2.41
and Index Futures by FIIs we believe most of the
longs formed in Friday’s trading session are out of
AMARAJABAT
168250
-13.61
876.15
-0.33
the system. We also saw out of the money put
POWERGRID
18296000
-9.94
142.60
-1.01
options to be quite active this indicates expectation
of further weakness in market.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.91
0.80
UNIONBANK
62.44
BANKNIFTY
0.79
0.66
DHFL
41.75
SBIN
0.34
0.36
ALBK
55.41
SUNPHARMA
0.48
0.35
TVSMOTOR
52.72
RELIANCE
0.47
0.48
ANDHRABANK
50.48
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Derivative Report
June 03, 2015
FII Statistics for 02-June 2015
Turnover on 02-June 2015
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Contracts
Value
Change
(` in cr.)
(%)
INDEX
1895.73
4059.25
(2163.52)
625152
14029.00
0.47
10,74,485
27826.72
150.18
FUTURES
Index Futures
INDEX
Index
21917.60
20851.03
1066.57
2270370
57501.55
5.12
97,33,392
221700.02
171.12
OPTIONS
Options
STOCK
3012.04
3007.93
4.11
1951627
49923.90
0.41
10,07,354
27361.37
19.13
FUTURES
Stock Futures
STOCK
Stock
1909.98
1918.96
(8.99)
46391
1162.30
2.07
5,78,880
16771.39
57.85
OPTIONS
Options
28735.34
29837.18
(1101.83)
4893540
122616.74
2.57
1,23,94,115
293659.96
132.16
Total
Total
Nifty Spot = 8236.45
Lot Size = 25
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8200
149.25
Buy
8300
175.15
47.25
52.75
8247.25
48.75
51.25
8251.25
Sell
Sell
8300
102.00
8200
126.40
Buy
Buy
8200
149.25
8300
175.15
84.60
115.40
8284.60
86.85
113.15
8213.15
Sell
8400
64.65
Sell
8100
88.30
Buy
8300
102.00
Buy
8200
126.40
37.35
62.65
8337.35
38.10
61.90
8161.90
Sell
8400
64.65
Sell
8100
88.30
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 03, 2015
Strategy Date
Symbol
Strategy
Status
June 01, 2015
INFY
Ratio Bull Call Spread
Active
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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