Derivative Report
Sept 12, 2014
Comments
Nifty Vs OI
The Nifty futures open interest decreased by 3.42% while
BankNifty futures open interest has decreased by 2.95%
as market closed at 8085.70 levels.
The Nifty September future closed at premium of 33.70
point against a premium of 36.60 points. The October
series closed at a premium of 77.25 points.
The Implied Volatility of at the money options has
decreased from 12.14% to 11.81%.
Nifty PCR-OI remains unchanged at 0.96 levels.
The total OI of the market is Rs. 2,01,201/- cr. and the
stock futures OI is Rs. 56,943/- cr.
Few of the liquid counter stocks where we have seen high
cost of carry are GMRINFRA, HDFCBANK, EICHERMOT,
TVSMOTOR and IOB.
OI Gainers
View
OI
PRICE
FIIs were net buyer in cash market segment of worth
SCRIP
OI
CHANGE
PRICE
CHANGE
Rs. 433 crores. In Index Futures they were marginal
(%)
(%)
buyer with good amount of fall in open interest which
indicates blend of short covering and long unwinding
TVSMOTOR
2294000
124.46
229.65
1.94
in last trading session.
MINDTREE
182500
123.24
1170.70
2.13
In Index Options they were net buyer with rise in
MOTHERSUMI
2775000
115.28
438.95
9.25
open interest which suggests buying in options. PCR-
SKSMICRO
2996000
100.80
341.75
3.66
OI remained unchanged while the implied volatility
plunged. We saw decent amount of buildup in 8200
EICHERMOT
62375
51.21
11623.80
5.31
strike price of call options which may be long
positions formed by FIIs. On the other hand we
OI Losers
hardly saw any reasonable amount of buildup in put
options, 7900 strike price was active than other
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
strikes yesterday. Maximum buildup in current series
(%)
(%)
has shifted from 8300 to 8200 call options and of
put options is seen in 8000 strike price.
UNIONBANK
10384000
-13.87
210.10
3.54
Large cap counter wherein we witnessed maximum
IGL
1034000
-11.62
410.15
-0.21
addition in open interest are COALINDIA,
RECLTD
8334000
-8.93
283.15
5.33
HEROMOTOCO, SUNPHARMA, HDFC and WIPRO.
BANKINDIA
9286000
-8.84
287.30
3.32
IRB
14088000
-8.61
264.45
-0.71
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.96
0.97
MOTHERSUMI
56.14
BANKNIFTY
0.95
0.91
BHARATFORG
40.56
RELIANCE
0.37
0.38
RANBAXY
36.62
SBIN
0.53
0.43
SUNPHARMA
33.45
ICICIBANK
0.49
0.54
RECLTD
50.01
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Derivative Report
Sept 12, 2014
FII Statistics for 11-Sept-2014
Turnover on 11-Sept-2014
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Contracts
Value
Change
(` in cr.)
(%)
INDEX
INDEX
1634.20
1601.79
32.41
245727
9979.07
(5.05)
3,27,377
13295.73
18.90
FUTURES
FUTURES
INDEX
INDEX
14134.40
13569.47
564.93
1517362
61352.54
1.60
35,48,070
144703.23
32.66
OPTIONS
OPTIONS
STOCK
STOCK
2099.28
2611.75
(512.48)
1301365
48619.08
0.64
6,79,925
27638.71
10.67
FUTURES
FUTURES
STOCK
STOCK
1883.64
1958.74
(75.11)
64884
2381.74
7.00
3,25,853
12743.10
5.60
OPTIONS
OPTIONS
TOTAL
19751.51
19741.75
9.75
3129338
122332.43
0.75
TOTAL
48,81,229
198381.05
26.11
Nifty Spot =8085.70
Lot Size = 50
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8100
84.35
Buy
8100
65.10
45.35
54.65
8145.35
32.00
68.00
8068.00
Sell
Sell
8200
39.00
8000
33.10
Buy
Buy
8100
84.35
8100
65.10
70.20
129.80
8170.20
49.80
150.20
8050.20
Sell
8300
14.15
Sell
7900
15.30
Buy
8200
39.00
Buy
8000
33.10
24.85
75.15
8224.85
17.80
82.20
7982.20
Sell
8300
14.15
Sell
7900
15.30
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
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Derivative Report
Sept 12, 2014
Strategy Date
Symbol
Strategy
Status
02-09-2014
DLF
Long call ladder
Open.
08-09-2014
NIFTY
Long put ladder
Open.
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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