Derivative Report
June 05, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 1.57%
BankNifty futures open interest has increased by 3.45%
as market closed at 8130.65 levels.
The Nifty June future closed at a premium of
10.95
points against a premium of 1.25 points. The July series
closed at a premium of 46.45 points.
The Implied Volatility of at the money options has
increased from 17.08% to 17.58%.
Nifty PCR-OI was unchanged at 0.88 levels.
The total OI of the market is Rs. 1,99,913/- cr. and the
stock futures OI is Rs. 59,746/- cr.
Few of the liquid counters where we have seen high cost
of carry are JPPOWER, BEL, IFCI, SIEMENS and IOB.
OI Gainers
View
OI
PRICE
FII's were net buyers in cash market of worth Rs.
SCRIP
OI
CHANGE
PRICE
CHANGE
511 crores; whereas they were marginal sellers in
(%)
(%)
Index futures with rise in open interest suggesting
blend of long and short formation in yesterday’s
APOLLOTYRE
18702000
117.01
172.90
-1.71
trading session.
CEATLTD
351000
46.86
705.20
-3.96
In Index options front, FIIs bought significantly of
SOUTHBANK
8172000
24.73
23.20
0.00
worth Rs. 1571 crores with rise in open interest
ADANIENT
6373500
24.23
116.90
5.98
indicating fresh long formation. We saw some
buildup in 8200-8300 and 8500 call options,
BRITANNIA
158625
18.27
2594.40
2.91
which may be long positions expecting Nifty to give
some bounce. Whereas, in put options some
OI Losers
buildup was seen in the range of 7700-8000
strikes, followed by unwinding in 8100 and 8300
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
put options. Maximum buildup in current series has
(%)
(%)
shifted from 9000 to 8500 call options and of put
options still remains at 8000 strike price.
UNITECH
194165000
-14.84
9.50
9.20
Seeing the overall data we believe it’s a sell on rise
HEROMOTOCO
1455750
-6.65
2556.45
-1.30
market; any bounce can be a shorting opportunity.
HDIL
16162000
-6.53
100.90
3.91
ALBK
7390000
-5.81
95.20
1.22
MINDTREE
208250
-5.45
1384.75
-0.50
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.88
0.82
SAIL
40.78
BANKNIFTY
0.72
0.72
NMDC
39.90
SBIN
0.31
0.36
EICHERMOT
53.97
SUNPHARMA
0.47
0.43
IGL
30.29
RELIANCE
0.56
0.51
IOC
38.36
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Derivative Report
June 05, 2015
FII Statistics for 04-June 2015
Turnover on 04-June 2015
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Contracts
Value
Change
(` in cr.)
(%)
INDEX
1578.00
1578.29
(0.29)
651465
14553.57
7.45
6,53,066
17074.15
-7.65
FUTURES
Index Futures
INDEX
Index
14240.24
12668.61
1571.63
2493666
61808.98
3.65
64,39,344
143004.35
-15.63
OPTIONS
Options
STOCK
2856.65
2659.72
196.93
1963018
49306.78
0.05
8,63,519
21824.17
-15.08
FUTURES
Stock Futures
STOCK
Stock
1342.81
1343.02
(0.21)
54673
1315.04
6.74
3,76,941
9190.06
-26.79
OPTIONS
Options
20017.70
18249.64
1768.06
5162822
126984.36
2.73
83,32,870
191092.73
-15.53
Total
Total
Nifty Spot = 8130.65
Lot Size = 25
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8100
159.15
Buy
8200
168.60
50.75
49.25
8150.75
47.00
53.00
8153.00
Sell
Sell
8200
108.40
8100
121.60
Buy
Buy
8100
159.15
8200
168.60
89.80
110.20
8189.80
82.25
117.75
8117.75
Sell
8300
69.35
Sell
8000
86.35
Buy
8200
108.40
Buy
8100
121.60
39.05
60.95
8239.05
35.25
64.75
8064.75
Sell
8300
69.35
Sell
8000
86.35
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 05, 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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