Feb 05, 2015
Nifty Vs OI
The Nifty futures open interest decreased by 0.41% levels
BankNifty futures open interest has decreased by 1.41%
as market closed at 8723.70 levels.
The Nifty February future closed at premium of 53.65
points against a premium of 53.35 points. The March
series closed at a premium of 112.90 points.
The Implied Volatility of at the money options has
decreased from 19.08% to 17.91%.
Nifty PCR-OI has increased from 0.85 to 0.86 levels.
The total OI of the market is Rs. 1,88,343/- cr. and the
stock futures OI is Rs. 67,792/- cr.
Few of the liquid counters where we have seen high cost
of carry are JPPOWER, HINDPETRO, OFSS, IGL and
FIIs activity in cash market segment was subdued. In
Index Futures they bought of worth Rs. 220 crores
with fall in open interest suggesting covering of short
positions formed earlier, while they continue forming
short positions in Stock Futures.
There was some buying in Index Options with rise in
open interest indicating fresh long formation. PCR-OI
increased mainly due to open interest addition in put
options, while implied volatility decreased on the
closing basis which indicates selling in put options.
We witness decent open interest addition in the range
of 8800 & 8900 call options, which may be long
formation. On the other hand in put options decent
amount of open interest addition was seen in 8300 &
8700 strike prices which is mix of long & short
Despite seeing pressure in market we are hardly
relevant profit booking or selling by FIIs in Index
Futures, they continue to buy higher call options from
last few days. Seeing the overall data we don’t see
this fall to last for long.
Feb 05, 2015
FII Statistics for 04-Feb-2015
Turnover on 04-Feb-2015
Nifty Spot =8723.70
Lot Size = 50
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Feb Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
Feb 05, 2015
Ratio Bull Call Spread
Research Team Tel: 022 - 39357800
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