Derivative Report
May 11, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has decreased by 7.32%
BankNifty futures open interest has decreased by 12.33%
as market closed at 8191.50 levels.
The Nifty May future closed at premium of 19.05 points
against a premium of 24.85 points. The June series
closed at a premium of 48.75 points.
The Implied Volatility of at the money options has
decreased from 19.18% to 18.27%.
Nifty PCR-OI has increased from 0.94 to 0.97 levels.
The total OI of the market is Rs. 1,99,328/- cr. and the
stock futures OI is Rs. 57,818/- cr.
Few of the liquid counters where we have seen high cost
of carry are CENTURYTEX, COLPAL, TVSMOTOR,
BOSCHLTD and JINDALSTEL.
OI Gainers
View
OI
PRICE
FII's continued to sell in cash market, yesterday they
SCRIP
OI
CHANGE
PRICE
CHANGE
sold of Rs. 437 crores of equity cash, whereas they
(%)
(%)
bought of Rs. 194 crores in Index futures with fall
in open interest suggesting covering of some short
PNB
27190750
37.44
144.05
-8.19
positions.
HINDUNILVR
5497750
18.56
899.80
3.40
In Index Options front, FIIs bought significantly of
GODREJIND
1650649
15.64
336.40
-3.69
worth Rs. 2122 crores with rise in open interest.
TITAN
7131000
13.30
350.15
-5.44
PCR-OI increased mainly due to majority of open
interest addition in put options with rise in put IV’s
MOTHERSUMI
2915500
12.35
489.00
3.42
indicating long formation. We continue to witness
further OI addition in 7700 and 8100 put options,
OI Losers
while in call options some buildup was seen in
8500 and
8600 strike which may be short
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
positions.
(%)
(%)
Seeing continues selling in cash and Future market
ICICIBANK
37405500
-9.88
317.85
3.75
with buildup in lower put strikes we believe market
will still remain in pressure. We may see some
IDFC
60822000
-7.66
160.35
3.35
bounce in market which may be a shorting
UNIONBANK
14416000
-6.96
134.35
1.63
opportunity.
EICHERMOT
194000
-6.90
15833.55
6.27
IRB
6517000
-6.43
228.50
5.13
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.97
0.85
PNB
58.66
BANKNIFTY
0.71
0.68
TITAN
40.18
RELIANCE
0.40
0.56
EICHERMOT
46.19
SBIN
0.47
0.55
TATAMOTORS
39.66
SUNPHARMA
0.40
0.31
AMTEKAUTO
67.86
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Derivative Report
May 11, 2015
FII Statistics for 08-May2015
Turnover on 08-May2015
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Contracts
Value
Change
(` in cr.)
(%)
INDEX
2340.24
2145.64
194.60
425494
10103.60
(4.23)
7,36,711
18958.78
-14.43
FUTURES
Index Futures
INDEX
Index
16428.23
14305.49
2122.74
2795319
67859.34
3.89
71,29,507
156956.51
-17.82
OPTIONS
Options
STOCK
3519.98
2404.62
1115.36
1832417
46266.90
0.25
9,85,803
25396.03
4.70
FUTURES
Stock Futures
STOCK
Stock
1752.60
1780.64
(28.04)
78937
2000.73
9.88
4,36,604
11272.61
-0.98
OPTIONS
Options
24041.05
20636.40
3404.65
5132167
126230.58
1.93
92,88,625
212583.92
-14.55
Total
Total
Nifty Spot = 8191.50
Lot Size = 25
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8200
204.05
Buy
8200
136.50
59.25
40.75
8259.25
38.20
61.80
8161.80
Sell
Sell
8300
144.80
8100
98.30
Buy
Buy
8200
204.05
8200
136.50
106.95
93.05
8306.95
67.55
132.45
8132.45
Sell
8400
97.10
Sell
8000
68.95
Buy
8300
144.80
Buy
8100
98.30
47.70
52.30
8347.70
29.35
70.65
8070.65
Sell
8400
97.10
Sell
8000
68.95
Note: Above mentioned Bullish or Bearish Spreads in Nifty (May Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Derivative Report
May 11, 2015
Strategy Date
Symbol
Strategy
Status
04-05-15
RELIANCE
Bull Call Spread
Open
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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