Derivative Report
Mar 09, 2015
Nifty Vs OI
Comments
The Nifty futures open interest decreased by
2.72%
BankNifty futures open interest has increased by 4.31%
as market closed at 8937.75 levels.
The Nifty March future closed at premium of
51.00
points against a premium of 33.70 points. The April
series closed at a premium of 119.00 points.
The Implied Volatility of at the money options has
decreased from 14.21% to 13.47%.
Nifty PCR-OI has increased from 0.96 to 0.98 levels.
The total OI of the market is Rs. 2,21,055/- cr. and the
stock futures OI is Rs. 73,755/- cr.
Few of the liquid counters where we have seen high cost
of carry are HDFCBANK, STAR, JPASSOCIAT,
JISLJALEQS and IDFC.
View
OI Gainers
FIIs activity in cash market segment was subdued. In
OI
PRICE
Index Futures they were marginal buyers with decent
SCRIP
OI
CHANGE
PRICE
CHANGE
fall in open interest indicating blend of long
(%)
(%)
unwinding and short covering in last trading session.
DIVISLAB
643875
34.18
1772.65
2.30
In Index Options again their activity was muted. In
UBL
617500
17.96
1026.65
2.82
call options we saw some buildup in 9000, 9100 &
9300 strike prices, followed by good amount of
STAR
3064500
14.24
1032.20
9.46
unwinding in 9400 call options. On the other hand in
DABUR
3198000
13.28
266.70
1.23
put options 8700 & 8900 strikes continue to add
some buildup. Maximum buildup in current series is
NMDC
16950000
6.62
127.35
-3.32
seen in 9000 call & 8500 put options.
OI Losers
From last two sessions we saw FIIs activity to be
marginal while from start of series they have been
OI
PRICE
going long in Index Futures. We still haven’t witness
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
unwinding of all those positions formed a month
back, in fact we have been witnessing fresh longs,
MOTHERSUMI
3253000
-4.24
482.75
4.63
this suggests these guy are still holding on to their
UNITECH
173826000
-4.23
19.15
-2.28
long position and are expecting further upside. We
believe domestic participant who all were stuck in
SKSMICRO
5805000
-4.19
458.95
2.58
longs at higher levels have unwounded their positions
TATACHEM
3565000
-3.36
466.45
0.24
due to which we saw fall from higher levels in
market.
SIEMENS
1700250
-3.02
1376.10
-2.06
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.98
0.89
COLPAL
36.04
BANKNIFTY
0.79
0.67
STAR
66.43
SBIN
0.39
0.53
GLENMARK
36.59
ITC
0.43
0.34
IDEA
37.06
RELIANCE
0.55
0.49
MOTHERSUMI
43.16
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Derivative Report
Mar 09, 2015
FII Statistics for 05-Mar-2015
Turnover on 05-Mar-2015
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Contracts
Value
Change
(` in cr.)
(%)
INDEX
INDEX
1720.90
1644.85
76.05
965680
23306.85
(2.04)
7,09,756
20800.63
-24.11
FUTURES
FUTURES
INDEX
INDEX
21784.97
21785.17
(0.20)
1827624
52816.86
0.13
71,92,945
176905.69
-17.39
OPTIONS
OPTIONS
STOCK
STOCK
2214.08
2367.67
(153.59)
1958137
60630.96
0.27
7,86,155
26150.49
-34.45
FUTURES
FUTURES
STOCK
STOCK
2173.12
2170.37
2.75
95678
3048.29
2.84
3,73,909
12576.92
-29.94
OPTIONS
OPTIONS
TOTAL
27893.07
27968.06
(74.99)
4847119
139802.96
(0.20)
TOTAL
90,62,769
236434.17
-21.03
Nifty Spot =8937.75
Lot Size = 25
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8900
163.95
Buy
8900
78.45
56.10
43.90
8956.10
28.00
72.00
8872.00
Sell
Sell
9000
107.85
8800
50.45
Buy
Buy
8900
163.95
8900
78.45
100.00
100.00
9000.00
47.35
152.65
8852.65
Sell
9100
63.95
Sell
8700
31.10
Buy
9000
107.85
Buy
8800
50.45
43.90
56.10
9043.90
19.35
80.65
8780.65
Sell
9100
63.95
Sell
8700
31.10
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Mar Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Derivative Report
Mar 09, 2015
Strategy Date
Symbol
Strategy
Status
02-03-2015
NIFTY
Long Put
Open
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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