Derivative Report
Oct 10, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 0.78% while
BankNifty futures open interest has increased by 1.98%
as market closed at 7960.55 levels.
The Nifty October future closed at premium of 29.80
point against a premium of 52.80 points. The November
series closed at a premium of 78.85 points.
The Implied Volatility of at the money options has
decreased from 13.56% to 11.92%.
Nifty PCR-OI has increased from 0.86 to 0.87 levels.
The total OI of the market is Rs. 1,78,329/- cr. and the
stock futures OI is Rs. 51,735/- cr.
Few of the liquid counter stocks where we have seen high
cost of carry are L&TFH, OFSS, UCOBANK, KTKBANK
and IOB.
OI Gainers
View
OI
PRICE
Yesterday Nifty recovered from the losses of last 2-3
SCRIP
OI
CHANGE
PRICE
CHANGE
trading sessions and gave a closing nearly
117
(%)
(%)
points up. FIIs activity in cash market segment was
muted. In Index Futures they were net buyer with rise
MOTHERSUMI
5510000
13.16
384.05
-0.06
in open interest indicating some fresh long formation
TECHM
2714625
11.74
2336.45
-2.58
in yesterday’s trading session.
FEDERALBNK
15316000
10.86
131.90
7.62
In Index Options FIIs were net buyers with marginal
SRTRANSFIN
951000
10.39
901.45
0.37
change in open interest suggesting blend of both
long & short covering. PCR-OI increased due to open
IBREALEST
38760000
9.78
69.00
3.89
interest addition in put options while implied volatility
also plunged. In call options we saw writers of 8000
OI Losers
& 8100 strike prices covering their positions due to
significant upward move in market and due to this
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
maximum open interest in call options has again
(%)
(%)
shifted to 8200. On the other in put options we
witnessed some open interest addition in 7900 strike
JSWENERGY
6996000
-7.70
73.60
5.55
price, followed by unwinding in 7500 & 7700 put
AMBUJACEM
7770000
-7.65
215.80
3.17
options. Maximum open interest in put options is still
intact at 7800 strike price indicating major support
ACC
1424250
-7.58
1429.05
3.00
zone for Nifty. We believe Nifty may trade in the
ICICIBANK
8494250
-7.46
1488.40
2.21
range of 7800 on the lower side and 8200 on the
higher side.
COLPAL
496500
-7.07
1728.95
0.41
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.87
0.89
FEDERALBNK
52.33
BANKNIFTY
1.00
0.85
BHEL
56.82
INFY
0.53
0.54
ZEEL
42.32
RELIANCE
0.44
0.44
JUSTDIAL
47.92
SBIN
0.49
0.64
AMBUJACEM
31.95
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Derivative Report
Oct 10, 2014
FII Statistics for 09-Oct-2014
Turnover on 09-Oct-2014
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Contracts
Value
Change
(` in cr.)
(%)
INDEX
INDEX
1878.03
1311.74
566.28
289231
11545.80
3.82
3,45,612
13709.91
11.60
FUTURES
FUTURES
INDEX
INDEX
12705.41
12510.46
194.95
1547662
61560.16
(0.25)
35,37,571
141305.06
21.55
OPTIONS
OPTIONS
STOCK
STOCK
1936.45
2007.77
(71.31)
1196098
42943.41
0.29
5,97,396
22867.42
0.19
FUTURES
FUTURES
STOCK
STOCK
2605.04
2576.98
28.06
57043
2156.63
8.69
4,00,755
15850.40
30.85
OPTIONS
OPTIONS
TOTAL
19124.94
18406.96
717.98
3090034
118205.99
0.48
TOTAL
48,81,334
193732.79
18.51
Nifty Spot =7960.55
Lot Size = 50
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
7900
101.75
Buy
7900
104.75
42.60
57.40
7942.60
39.50
60.50
7860.50
Sell
Sell
8000
59.15
7800
65.25
Buy
Buy
7900
101.75
7900
104.75
71.45
128.55
7971.45
66.50
133.50
7833.50
Sell
8100
30.30
Sell
7700
38.25
Buy
8000
59.15
Buy
7800
65.25
28.85
71.15
8028.85
27.00
73.00
7773.00
Sell
8100
30.30
Sell
7700
38.25
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Oct Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Derivative Report
Oct 10, 2014
Strategy Date
Symbol
Strategy
Status
29-09-2014
NIFTY
Long Put
Did not trigger.
07-10-2014
HINDALCO
Ratio Bull Call Spread
Open.
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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