Sept 11, 2014
Nifty Vs OI
The Nifty futures open interest decreased by 4.11% while
BankNifty futures open interest has increased by 4.17%
as market closed at 8101.70 levels.
The Nifty September future closed at premium of 36.60
point against a premium of 29.25 points. The October
series closed at a premium of 81.25 points.
The Implied Volatility of at the money options has
increased from 11.91% to 12.14%.
Nifty PCR-OI has decreased from 0.98 to 0.96 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 HEXAWARE,
JSWENERGY and JPPOWER.
Yesterday Nifty was under pressure and it closed on a
negative note. FIIs activity in cash market segment
was subdued. In Index Futures they were net seller
with fall in open interest indicating unwinding of long
positions formed earlier in last trading session.
In Index Options they were net buyer with rise in
open interest which suggests buying in options. PCR-
OI decreased due buildup in call options, in addition
to unwinding in put options. We also witnessed rise in
implied volatility which all together indicates buying
in call options. We saw decent amount of buildup in
8300 strike price of call options which may be long
positions formed by FIIs. On the other hand we
hardly saw any reasonable amount of buildup in put
options, good amount of unwinding was seen in
8100 & 8200 strike price which may be due to profit
booking. Maximum buildup in current series has
shifted from 8200 to 8300 call options and of put
options is seen in 8000 strike price.
Sept 11, 2014
FII Statistics for 10-Sept-2014
Turnover on 10-Sept-2014
Nifty Spot =8094.10
Lot Size = 50
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
Sept 11, 2014
Long call ladder
Long put ladder
Research Team Tel: 022 - 39357800
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