Derivative Report
July 07,
2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 2.57%
BankNifty futures open interest has increased by 0.74%
as market closed at 8522.15 levels.
The Nifty July future closed at a premium of 15.60 points
against premium of
3.10 points. The August series
closed at a premium of 52.90 points.
The Implied Volatility of at the money options has
decreased from 14.92% to 14.25%.
Nifty PCR-OI has increased from 1.11 to 1.13 levels.
The total OI of the market is Rs. 2,03,080/- cr. and the
stock futures OI is Rs. 59,364/- cr.
Few of the liquid counters where we have seen high cost
of carry are
NHPC, JPPOWER, IFCI, COLPAL and
CASTROLIND.
View
OI Gainers
Yesterday, FII's were net buyer in cash market, of
OI
PRICE
worth Rs. 149 crores. Whereas, they sold index
SCRIP
OI
CHANGE
PRICE
CHANGE
futures of Rs 854 crores with marginal rise in open
(%)
(%)
interest, suggesting blend of both short formation
CEATLTD
1744500
34.92
702.40
-1.37
and long unwinding.
CASTROLIND
645000
21.47
444.95
2.09
In Index options front, FIIs bought marginally with
good amount of rise in open interest indicating
ARVIND
4706000
15.85
286.10
5.94
mix of long and short positions. We saw decent
SRF
633500
14.45
1329.90
5.71
amount of buildup in 8600 call options, followed
SOUTHBANK
16506000
14.34
25.25
5.43
by unwinding in 8700 call options. Whereas, in put
options, 8200 and 8500 strikes added considerable
OI Losers
amount of open interest, some buildup was also
seen in 8400 puts. Maximum buildup in current
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
series in seen in 8500 call and 8000 put options.
(%)
(%)
FIIs have been unwinding some of their longs
IBREALEST
28896000
-9.02
56.75
1.34
along with some fresh shorting yesterday. We
IOC
8183000
-3.81
427.80
2.41
suggest trading stock specific till we see any
reasonable buying or selling figure in Nifty as it is
AMBUJACEM
5907000
-2.85
245.50
1.97
trading near its major resistance zone.
ACC
1036250
-2.75
1500.85
1.81
EICHERMOT
249125
-2.59
20437.45
0.34
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.13
0.97
DRREDDY
27.33
BANKNIFTY
1.19
0.77
SOUTHBANK
43.88
RELIANCE
0.69
0.56
BATAINDIA
39.92
INFY
0.55
0.42
CROMPGREAV
43.30
SBIN
0.48
0.47
ABIRLANUVO
42.37
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Derivative Report
July 07,
2015
FII Statistics for 06-July 2015
Turnover on 06-July 2015
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Value
Change
Contracts
(` in cr.)
(%)
INDEX
7,74,805
20455.56
51.58
1514.11
2367.77
(853.66)
682036
15663.18
0.70
Index Futures
FUTURES
INDEX
Index
13376.90
13310.04
66.86
2669457
68742.54
4.14
71,25,754
160307.08
50.87
OPTIONS
Options
STOCK
8,42,913
23790.71
20.69
2168.48
2434.81
(266.33)
1684874
46585.14
1.20
Stock Futures
FUTURES
STOCK
Stock
1069.19
1077.78
(8.59)
74974
2045.78
3.63
3,18,183
9182.43
17.43
OPTIONS
Options
18128.68
19190.40
(1061.72)
5111341
133036.65
2.68
90,61,655
213735.78
45.12
Total
Total
Nifty Spot = 8522.15
Lot Size = 25
Bull-Call Spreads
Bear-Put Spreads
Action
Strike Price
Risk
Reward BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8500
148.05
Buy
8500
109.85
51.70
48.30
8551.70
34.60
65.40
8465.40
Sell
8600
96.35
Sell
8400
75.25
Buy
8500
148.05
Buy
8500
109.85
89.80
110.20
8589.80
58.65
141.35
8441.35
Sell
8700
58.25
Sell
8300
51.20
Buy
8600
96.35
Buy
8400
75.25
38.10
61.90
8638.10
24.05
75.95
8375.95
Sell
8700
58.25
Sell
8300
51.20
Note: Above mentioned Bullish or Bearish Spreads in Nifty (July Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Derivative Report
July 07,
2015
Strategy Date
Symbol
Strategy
Status
June 29, 2015
LT
Ratio Bear Put Spread
Active
July 06, 2015
RELIANCE
Ratio Bull Call Spread
Active
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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