Derivative Report
September 07, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 3.05%
BankNifty futures open interest has increased by 1.57% as
market closed at 7655.05 levels.
The Nifty September future closed at a premium of 9.30
points against a premium of 19.55 points. The October
series closed at a premium of 50.50 points.
The Implied Volatility of at the money options has
increased from 24.20% to 26.11%.
Nifty PCR-OI has decreased from 0.99 to 0.96 levels.
The total OI of the market is Rs. 2,17,471/- cr. and the
stock futures OI is Rs. 54,671/- cr.
Few of the liquid counters where we have seen high cost of
carry are JPPOWER, UNITECH, JSWENERGY, ZEEL and
ENGINERSIN.
OI Gainers
View
OI
PRICE
FIIs were net sellers in both cash market segment
SCRIP
OI
CHANGE
PRICE
CHANGE
and in Index Futures. They sold equities to the tune
(%)
(%)
of Rs. 1287 crores and Index Futures of worth Rs.
356 crores with rise in OI suggesting short
PAGEIND
49125
17.31
13982.60
-0.87
formation.
RELINFRA
7672400
8.40
308.25
-6.19
In Index Options, they were net buyers of Rs. 635
GLENMARK
2985000
8.12
1030.65
-3.64
crores with good amount of rise OI. In call options
IRB
5363000
7.56
213.05
-5.40
we saw build-up in the range of
7600-8100
strikes, wherein 7700 and 7800 call options added
IBULHSGFIN
4281000
7.35
720.60
1.46
huge open interest expecting bounce in Nifty. On
the other hand in put options, 7200-7300 strikes
added good amount of build-up, followed by
OI Losers
unwinding in 7600-7900 put options. Maximum
OI
PRICE
OI is seen in 8500 call and 7500 put options.
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
We are witnessing continuous selling in equities by
bigger hands and majority of positions in Nifty and
IOC
8104000
-14.13
408.60
3.59
BankNifty are shorts. We believe it’s a sell on rise
CEATLTD
1158900
-10.61
1092.15
-1.73
market and 8100-8200 is a major resistance for
Nifty.
MRF
44625
-10.08
38546.35
-4.18
PIDILITIND
509500
-9.82
558.40
0.04
HEXAWARE
4486000
-8.24
241.60
-2.89
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.96
0.85
OIL
43.88
BANKNIFTY
0.58
0.56
TATAPOWER
56.11
SBIN
0.39
0.48
DRREDDY
37.34
RELIANCE
0.51
0.53
NMDC
45.75
LT
0.45
0.46
ACC
34.80
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Derivative Report
September 07, 2015
FII Statistics for 04-September 2015
Turnover on 04-September 2015
Open Interest
Turnover
No. of
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Value
Change
Contracts
(` in cr.)
(%)
INDEX
2563.93
2920.31
(356.38)
997080
20629.48
1.91
1027889
24212.55
42.46
Index Futures
FUTURES
INDEX
Index
19134.87
18499.25
635.62
3655466
84006.17
8.08
8300106
175060.53
41.82
OPTIONS
Options
STOCK
2626.69
2137.09
489.61
1819382
43715.78
0.74
871683
21637.21
12.05
Stock Futures
FUTURES
STOCK
Stock
2060.47
2104.84
(44.36)
70779
1733.92
7.16
438458
11033.46
22.57
OPTIONS
Options
26385.96
25661.48
724.48
6542707
150085.36
4.98
10638136
231943.75
37.45
Total
Total
Nifty Spot = 7655.05
Lot Size = 25
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
7700
164.60
Buy
7600
163.75
47.65
52.35
7747.65
34.25
65.75
7565.75
Sell
7800
116.95
Sell
7500
129.50
Buy
7700
164.60
Buy
7600
163.75
86.30
113.70
7786.30
63.00
137.00
7537.00
Sell
7900
78.30
Sell
7400
100.75
Buy
7800
116.95
Buy
7500
129.50
38.65
61.35
7838.65
28.75
71.25
7471.25
Sell
7900
78.30
Sell
7400
100.75
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Sept. Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Derivative Report
September 07, 2015
Strategy Date
Symbol
Strategy
Status
August 31, 2015
HINDALCO
Long Call
Active
Research Team Tel: 022 - 39357800
E-mail: [email protected]om
Website: www.angelbroking.com
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