August 04, 2015
Nifty Vs OI
The Nifty futures open interest has decreased by 2.09%
BankNifty futures open interest has decreased by 1.39%
as market closed at 8543.05 levels.
The Nifty August future closed at a premium of 18.65
points against premium of 36.80 points. The September
series closed at a premium of 55.40 points.
The Implied Volatility of at the money options has
increased from 13.42% to 13.76%.
Nifty PCR-OI has increased from 0.91 to 0.92 levels.
The total OI of the market is Rs. 1,89,506/- cr. and the
stock futures OI is Rs. 64,778/- cr.
Few of the liquid counters where we have seen high cost
of carry are JPPOWER, JPASSOCIAT, INDIACEM,
MCLEODRUSS and DHFL.
Yesterday, FII's were net buyers in cash market of
worth Rs. 350 crores. Whereas, in Index Futures,
their activity was quite, they sold of Rs 188 crores
with fall in open interest, suggesting long
unwinding in last trading session.
In Index options front, FIIs were net buyer of Rs.
588 crores with rise in open interest. PCR-OI
increased with rise in IV’s which indicates buying in
put options. We saw decent amount of buildup in
deep out the money call options of 9000 strike.
Whereas, in put options, 8200 and 8500 strikes
added some open interest. Maximum buildup in
current series in seen in 9000 call and 8200 put
Seeing the overall data, we believe Nifty may
strengthen from current levels, as too many long
are in system. We are hardly seeing selling in Index
Futures, in fact FII’s had formed reasonable fresh
longs last week. We suggest to trade with positive
bias in market.
August 04, 2015
FII Statistics for 03-August 2015
Turnover on 03-August 2015
Nifty Spot = 8543.05
Lot Size = 25
Note: Above mentioned Bullish or Bearish Spreads in Nifty (August Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
August 04, 2015
August 03, 2015
Bear Put Spread
Research Team Tel: 022 - 39357800
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