Derivative Report
Sept 08, 2014
Comments
Nifty Vs OI
The Nifty futures open interest decreased by 3.20% while
BankNifty futures open interest has decreased by 0.76%
as market closed at 8086.85 levels.
The Nifty September future closed at premium of 29.85
point against a premium of 36.45 points. The October
series closed at a premium of 70.80 points.
The Implied Volatility of at the money options has
decreased from 12.23% to 11.88%.
Nifty PCR-OI has decreased from 0.91 to 0.90 levels.
The total OI of the market is Rs. 1,85,229/- cr. and the
stock futures OI is Rs. 54,283/- cr.
Few of the liquid counter stocks where we have seen high
cost of carry are HDFCBANK, JPPOWER, UPL,
APOLLOHOSP and HEXAWARE.
View
OI Gainers
Nifty was under pressure on Friday and it closed on a
slightly negative note. FIIs were net buyer in cash
OI
PRICE
market segment of worth Rs. 310 crores. In Index
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
Futures they were net seller with fall in open interest
indicating unwinding of long positions formed earlier
VOLTAS
7482000
20.02
260.20
4.85
in Friday’s trading session.
HINDZINC
14300000
15.06
171.65
2.14
In Index options good amount of fresh long buildup
HEXAWARE
7642000
12.68
169.55
4.69
was seen on Friday. PCR-OI decreased sightly with
fall in implied volatility which suggests selling
HAVELLS
3220000
11.03
273.10
-0.43
pressure in call options. In last trading session 8200
IRB
14452000
8.60
266.15
3.28
call options added some buildup. While in put
options we could hardly see any strike price having
reasonable buildup, some unwinding in 7700 put
OI Losers
options was witnessed on Friday. Maximum buildup
OI
PRICE
in current series is seen in 8200 call and 8000 put
SCRIP
OI
CHANGE
PRICE
CHANGE
options.
(%)
(%)
Large cap counter where we saw good amount of
DLF
31848000
-11.36
175.45
4.49
addition in open interest are TATAMOTORS, HDFC,
CESC
991000
-8.92
757.35
1.50
KOTAKBANK, SSLT and COALINDIA.
UBL
574000
-8.74
727.20
2.69
MRF
27250
-6.84
27159.70
1.69
BANKBARODA
3870500
-6.45
885.05
0.83
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.90
1.02
MCDOWELL-N
35.66
BANKNIFTY
0.82
0.89
NMDC
36.86
RELIANCE
0.39
0.49
HEXAWARE
39.51
SBIN
0.51
0.53
UBL
26.60
DLF
0.63
0.42
ASIANPAINT
23.79
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Derivative Report
Sept 08, 2014
FII Statistics for 05-Sept-2014
Turnover on 05-Sept-2014
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Contracts
Value
Change
(` in cr.)
(%)
INDEX
INDEX
1058.73
1652.66
(593.93)
268241
10875.63
(2.92)
3,12,530
12629.84
17.98
FUTURES
FUTURES
INDEX
INDEX
12584.68
11765.25
819.43
1364086
55115.82
1.85
28,47,617
115718.98
24.19
OPTIONS
OPTIONS
STOCK
STOCK
1984.77
2615.74
(630.96)
1272433
46893.54
(0.33)
6,75,063
27683.13
-1.57
FUTURES
FUTURES
STOCK
STOCK
1845.93
1882.29
(36.37)
52516
1900.44
6.77
3,25,281
13281.66
-3.15
OPTIONS
OPTIONS
TOTAL
17474.11
17915.94
(441.83)
2957276
114785.43
0.54
TOTAL
41,60,492
169313.68
16.19
Nifty Spot =8086.85
Lot Size = 50
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8100
96.90
Buy
8100
82.95
46.05
53.95
8146.05
33.95
66.05
8066.05
Sell
Sell
8200
50.85
8000
49.00
Buy
Buy
8100
96.90
8100
82.95
73.80
126.20
8173.80
55.70
144.30
8044.30
Sell
8300
23.10
Sell
7900
27.25
Buy
8200
50.85
Buy
8000
49.00
27.75
72.25
8227.75
21.75
78.25
7978.25
Sell
8300
23.10
Sell
7900
27.25
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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Derivative Report
Sept 08, 2014
Strategy Date
Symbol
Strategy
Status
02-09-2014
DLF
Long call ladder
Open.
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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