Derivative Report
Aug 04, 2014
Comments
Nifty Vs OI
The Nifty futures open interest decreased by 4.87% while
BankNifty futures open interest has increased by 4.58%
as market closed at 7602.60 levels.
The Nifty August future closed at premium of 20.00 point
against a premium of 29.25 points. The September
series closed at a premium of 55.75 points.
The Implied Volatility of at the money options has
increased from 13.22% to 14.31%.
Nifty PCR-OI has increased from 0.78 to 0.80 levels.
The total OI of the market is Rs. 1,45,359/- cr. and the
stock futures OI is Rs. 51,095/- cr.
Few of the liquid counters stocks where we have seen
high cost of carry are GMRINFRA, INDUSINDBK, IOB,
JPASSOCIAT and TATAPOWER.
OI Gainers
View
OI
PRICE
FIIs are continuously selling in cash market segment
SCRIP
OI
CHANGE
PRICE
CHANGE
from last two trading session in a reasonable way,
(%)
(%)
they were net seller of worth Rs. 1072 crores on
Friday. In F&O segment significant amount of
JUSTDIAL
210375
25.78
1689.80
0.60
unwinding of long position formed earlier was
GMRINFRA
170330000
22.12
28.70
8.22
witnessed in Index Futures.
LT
9538750
15.77
1468.70
-2.49
On Friday FIIs were quite active in Index Options
HCLTECH
2569000
13.12
1515.25
-2.81
segment, wherein they bought of Rs. 3050 crores
with significant rise in open interest indicating buying
APOLLOTYRE
9388000
10.45
168.50
-3.23
in options. PCR-OI has increased with rise in implied
volatility which suggests buying in put options. We
OI Losers
observed good amount of buildup in the range of
7300-7600 put options and we believe FIIs have
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
bought these put options on Friday. On the other
(%)
(%)
hand in call options good amount of buildup in 7700
& 7800 strike price was seen, while 8000 call options
TECHM
2054000
-14.39
2127.25
-0.76
also added decent buildup in last trading session.
CESC
943000
-12.85
646.60
0.63
Maximum open interest in current series in seen in
8000 call & 7300 put options.
DABUR
2140000
-12.08
202.35
-1.86
PETRONET
2958000
-9.71
185.95
1.20
M&MFIN
7062000
-9.22
241.65
3.08
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.80
1.02
CIPLA
25.49
BANKNIFTY
0.67
0.76
GMRINFRA
74.14
RELIANCE
0.45
0.45
GAIL
35.34
SBIN
0.25
0.36
TITAN
42.73
LT
0.37
0.36
NTPC
38.71
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Derivative Report
Aug 04, 2014
FII Statistics for 01-Aug-2014
Turnover on 01-Aug-2014
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Contracts
Value
Change
(` in cr.)
(%)
INDEX
INDEX
2442.23
3587.96
(1145.73)
247731
9437.77
(6.85)
5,21,232
19988.43
-26.71
FUTURES
FUTURES
INDEX
INDEX
16453.21
13403.04
3050.18
1214413
46158.49
11.58
29,93,815
115785.64
-62.29
OPTIONS
OPTIONS
STOCK
STOCK
3386.91
2868.16
518.74
1374401
48837.51
0.13
8,28,068
31821.34
-53.82
FUTURES
FUTURES
STOCK
STOCK
2013.32
1870.29
143.03
36454
1265.40
1828.78
2,93,420
11147.38
-37.00
OPTIONS
OPTIONS
TOTAL
24295.67
21729.45
2566.23
2872999
105699.17
5.28
TOTAL
46,36,545
178743.62
-57.54
Nifty Spot =7602.60
Lot Size = 50
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
7600
129.65
Buy
7600
110.15
47.80
52.20
7647.80
37.55
62.45
7562.45
Sell
Sell
7700
81.85
7500
72.60
Buy
Buy
7600
129.65
7600
110.15
82.05
117.95
7682.05
64.30
135.70
7535.70
Sell
7800
47.60
Sell
7400
45.85
Buy
7700
81.85
Buy
7500
72.60
34.25
65.75
7734.25
26.75
73.25
7473.25
Sell
7800
47.60
Sell
7400
45.85
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
Aug 04, 2014
Strategy Date
Symbol
Strategy
Status
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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