Derivative Report
Aug 07, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 4.05% while
BankNifty futures open interest has increased by 8.86%
as market closed at 7672.05 levels.
The Nifty August future closed at premium of 19.40 point
against a premium of 26.30 points. The September
series closed at a premium of 53.75 points.
The Implied Volatility of at the money options has
increased from 12.78% to 13.45%.
Nifty PCR-OI has decreased from 0.87 to 0.86 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 JPASSOCIAT, COLPAL,
GMRINFRA, TATAMTRDVR and SRTRANSFIN.
OI Gainers
View
OI
PRICE
Yesterday market corrected nearly a percent still FIIs
SCRIP
OI
CHANGE
PRICE
CHANGE
were net buyer in cash market segment of worth Rs.
(%)
(%)
283 crores. In F&O segment they were net seller in
Index Futures with significant rise in open interest
APOLLOHOSP
413750
27.31
962.75
-1.42
indicating blend of both long & short positions in last
COLPAL
253250
16.44
1525.45
-1.12
trading session.
APOLLOTYRE
12098000
15.04
171.50
-7.48
In Index options FIIs were net buyer with rise in open
ZEEL
4851000
12.34
278.25
-2.30
interest indicating some fresh long formation, PCR-OI
decreased yesterday due to buildup in call options
PFC
9858000
7.34
262.00
-1.73
with rise in implied volatility which suggests buying in
call options, we saw 7800 & 7900 strike price of call
OI Losers
options adding more than
12,000 contracts
yesterday which we believe are mostly long positions.
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
On the other hand in put options we hardly saw any
(%)
(%)
reasonable buildup, wherein 7200 strike price was
active then other. Maximum open interest in current
MRF
30250
-12.32
23524.25
-1.30
series in seen in 8000 call & 7300 put options.
DABUR
1932000
-11.94
205.30
0.54
INFY
2251125
-7.66
3575.85
1.61
VOLTAS
5132000
-7.56
199.45
0.92
BAJAJ-AUTO
928125
-7.48
2143.75
-0.81
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.86
0.99
IDBI
61.72
BANKNIFTY
0.77
0.69
ITC
25.08
RELIANCE
0.46
0.36
APOLLOTYRE
69.31
SBIN
0.33
0.52
IBREALEST
71.23
AXISBANK
0.41
0.52
TATACOMM
46.13
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1
Derivative Report
Aug 07, 2014
FII Statistics for 06-Aug-2014
Turnover on 06-Aug-2014
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Contracts
Value
Change
(` in cr.)
(%)
INDEX
INDEX
1582.97
1906.65
(323.68)
285289
10947.39
9.96
3,95,307
15176.30
-26.75
FUTURES
FUTURES
INDEX
INDEX
11111.47
10462.50
648.96
1301204
49879.33
2.60
30,40,522
117785.05
-26.34
OPTIONS
OPTIONS
STOCK
STOCK
2368.38
2558.96
(190.58)
1373908
49278.05
(0.27)
6,68,687
26351.97
-9.98
FUTURES
FUTURES
STOCK
STOCK
1659.27
1609.06
50.21
59178
2107.22
11.62
2,56,019
10168.38
-5.66
OPTIONS
OPTIONS
TOTAL
16722.08
16537.17
184.92
3019579
112211.99
2.07
TOTAL
43,60,545
169482.54
-23.20
Nifty Spot =7672.05
Lot Size = 50
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
7700
95.10
Buy
7700
103.90
42.65
57.35
7742.65
38.70
61.30
7661.30
Sell
Sell
7800
52.45
7600
65.20
Buy
Buy
7700
95.10
7700
103.90
69.05
130.95
7769.05
64.55
135.45
7635.45
Sell
7900
26.05
Sell
7500
39.35
Buy
7800
52.45
Buy
7600
65.20
26.40
73.60
7826.40
25.85
74.15
7574.15
Sell
7900
26.05
Sell
7500
39.35
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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2
Derivative Report
Aug 07, 2014
Strategy Date
Symbol
Strategy
Status
04-08-2014
BANKNIFTY
Ratio Put Spread
Open
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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