Derivative Report
May 05, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has decreased by 2.24%
BankNifty futures open interest has increased by 5.79%
as market closed at 8331.95 levels.
The Nifty May future closed at premium of 40.30 points
against a premium of 62.55 points. The June series
closed at a premium of 72.90 points.
The Implied Volatility of at the money options has
decreased from 16.56% to 16.14%.
Nifty PCR-OI has increased from 0.95 to 0.99 levels.
The total OI of the market is Rs. 1,84,316/- cr. and the
stock futures OI is Rs. 62,751/- cr.
Few of the liquid counters where we have seen high cost
of carry are MINDTREE, ULTRACEMCO, JPPOWER,
NHPC and AMTEKAUTO.
OI Gainers
View
OI
PRICE
FII's activity is cash market segment was muted,
SCRIP
OI
CHANGE
PRICE
CHANGE
whereas in Index Futures there shorted of Rs 280
(%)
(%)
crores with rise in open interest suggesting some
short formation in last trading session.
SRTRANSFIN
2655000
87.20
835.10
-13.89
SKSMICRO
7988000
34.73
466.55
-0.74
In Index Options front, FIIs bought significantly of
worth Rs. 2287 crores with good amount of rise in
EXIDEIND
15310000
21.35
163.35
-4.78
open interest. PCR-OI continues to increase due to
ORIENTBANK
5763000
13.74
213.40
4.74
majority of open interest addition in put options.
Buildup was seen in the range of 7700-8300 put
HINDZINC
3362000
13.43
171.55
1.27
options, wherein
7700 strike added significant
open interest. On the other hand in call options
OI Losers
8400-8700 strikes were active and added good
amount of buildup. Maximum buildup is seen in
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
8600 call and 8100 put options.
(%)
(%)
Seeing the overall data we believe we may see
APOLLOHOSP
465250
-8.05
1208.35
6.26
some more bounce. This is a sell on rise market so
avoid going aggressively long.
RELINFRA
6452500
-6.70
437.40
5.52
ARVIND
5569000
-6.62
273.55
7.65
HINDALCO
22176000
-6.04
134.10
4.28
PFC
4112000
-5.32
276.55
4.10
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.99
0.95
SRTRANSFIN
84.64
BANKNIFTY
0.82
0.69
ABIRLANUVO
66.78
RELIANCE
0.41
0.34
BAJAJ-AUTO
40.88
SUNPHARMA
0.40
0.26
ADANIPORTS
55.81
INFY
0.41
0.34
ONGC
48.83
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Derivative Report
May 05, 2015
FII Statistics for 04-May2015
Turnover on 04-May2015
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Contracts
Value
Change
(` in cr.)
(%)
INDEX
5665.86
6169.92
(504.06)
553099
12626.35
(35.86)
6,10,689
15244.87
-60.31
FUTURES
Index Futures
INDEX
Index
27753.15
26703.04
1050.11
1988605
49532.12
(36.81)
55,34,752
121550.96
-75.50
OPTIONS
Options
STOCK
15260.07
15286.25
(26.18)
1865175
48041.09
(3.19)
9,03,738
23508.47
-68.83
FUTURES
Stock Futures
STOCK
Stock
861.53
862.31
(0.77)
5755
139.51
(95.74)
3,44,456
9082.19
-46.97
OPTIONS
Options
49540.61
49021.51
519.09
4412634
110339.07
(27.32)
73,93,635
169386.49
-72.98
Total
Total
Nifty Spot = 8331.95
Lot Size = 25
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8400
125.30
Buy
8300
107.50
43.45
56.55
8443.45
31.20
68.80
8268.80
Sell
Sell
8500
81.85
8200
76.30
Buy
Buy
8400
125.30
8300
107.50
74.40
125.60
8474.40
54.95
145.05
8245.05
Sell
8600
50.90
Sell
8100
52.55
Buy
8500
81.85
Buy
8200
76.30
30.95
69.05
8530.95
23.75
76.25
8176.25
Sell
8600
50.90
Sell
8100
52.55
Note: Above mentioned Bullish or Bearish Spreads in Nifty (May Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Derivative Report
May 05, 2015
Strategy Date
Symbol
Strategy
Status
04-05-15
RELIANCE
Bull Call Spread
Open
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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