Derivative Report
September 11, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 2.85%
BankNifty futures open interest has increased by 5.52% as
market closed at 7788.10 levels.
The Nifty September future closed at a premium of 20.15
points against a premium of 8.10 points. The October
series closed at a premium of 57.45 points.
The Implied Volatility of at the money options has
increased from 24.76% to 25.80%.
Nifty PCR-OI has increased from 0.94 to 0.95 levels.
The total OI of the market is Rs. 2,29,517/- cr. and the
stock futures OI is Rs. 56,954/- cr.
Few of the liquid counters where we have seen high cost of
carry are JUSTDIAL, JPPOWER, UNITECH, NHPC and
YESBANK.
View
OI Gainers
FIIs were net sellers in both cash market segment
OI
PRICE
and in Index Futures. They sold equities to the tune
SCRIP
OI
CHANGE
PRICE
CHANGE
of Rs. 121 crores and Index Futures of worth Rs.
(%)
(%)
273 crores with rise in OI suggesting short
BEL
676350
38.47
3364.85
0.66
formation.
CEATLTD
1713600
31.32
1201.45
7.41
In Index Options, they were net buyers of Rs. 357
crores with rise in OI. In call options we saw build-
DABUR
3592000
12.92
279.75
1.12
up in
7900 and
8300 strikes, followed by
APOLLOHOSP
582250
11.54
1411.90
4.48
unwinding in 7500 strike. On the other hand in put
options,
7400 and
7700 strikes added good
WOCKPHARMA
3410750
11.28
1322.75
8.46
amount of OI. While some build-up was also seen
in
7000-7100 strikes, which may be shorts.
Maximum OI is seen in 8500 call and 7200 put
OI Losers
options.
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
We are witnessing continuous selling in equities by
(%)
(%)
bigger hands and majority of positions in Nifty and
SUNTV
9913000
-9.86
345.00
-7.36
BankNifty futures are short. Even though Nifty gave
a decent bounce in last three trading sessions, we
DHFL
3659000
-6.59
219.40
-1.90
are hardly seeing any meaningful buying interest in
IRB
5596000
-5.58
223.15
-0.25
Nifty. We still believe it’s a sell on rise market;
7900-7950 is an immediate resistance for Nifty.
DIVISLAB
889675
-5.09
2159.70
3.70
ARVIND
3328700
-4.37
260.85
-2.01
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.95
0.79
CEATLTD
75.85
BANKNIFTY
0.70
0.68
UPL
55.25
SBIN
0.42
0.32
PETRONET
47.59
RELIANCE
0.55
0.58
APOLLOHOSP
49.18
YESBANK
0.77
0.82
SUNTV
88.81
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Derivative Report
September 11, 2015
FII Statistics for 10-September 2015
Turnover on 10-September 2015
Open Interest
Turnover
No. of
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Value
Change
Contracts
(` in cr.)
(%)
INDEX
1768.10
2041.50
(273.40)
1048823
22342.70
3.80
882717
21456.59
-4.97
Index Futures
FUTURES
INDEX
Index
17016.07
16659.18
356.88
3933857
92236.98
2.85
6963174
148890.52
-6.76
OPTIONS
Options
STOCK
2360.14
2047.78
312.36
1846829
45764.52
0.28
867746
22556.7
-5.35
Stock Futures
FUTURES
STOCK
Stock
1850.62
1963.93
(113.31)
101046
2452.83
13.14
414380
10903.61
-7.85
OPTIONS
Options
22994.93
22712.40
282.54
6930555
162797.03
2.43
9128017
203807.43
-6.48
Total
Total
Nifty Spot = 7788.10
Lot Size = 25
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
7800
157.65
Buy
7800
151.40
49.55
50.45
7849.55
37.95
62.05
7762.05
Sell
7900
108.10
Sell
7700
113.45
Buy
7800
157.65
Buy
7800
151.40
87.35
112.65
7887.35
68.15
131.85
7731.85
Sell
8000
70.30
Sell
7600
83.25
Buy
7900
108.10
Buy
7700
113.45
37.80
62.20
7937.80
30.20
69.80
7669.80
Sell
8000
70.30
Sell
7600
83.25
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Sept. Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Derivative Report
September 11, 2015
Strategy Date
Symbol
Strategy
Status
August 31, 2015
HINDALCO
Long Call
Active
September 07, 2015
RELIANCE
Short Strangle
Active
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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