Derivative Report
May 13, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 4.20%
BankNifty futures open interest has increased by 9.30%
as market closed at 8126.95 levels.
The Nifty May future closed at premium of 4.30 points
against a premium of 16.90 points. The June series
closed at a premium of 33.45 points.
The Implied Volatility of at the money options has
increased from 18.47% to 21.25%.
Nifty PCR-OI has decreased from 1.05 to 0.96 levels.
The total OI of the market is Rs. 2,08,888/- cr. and the
stock futures OI is Rs. 56,805/- cr.
Few of the liquid counters where we have seen high cost
of carry are GMRINFRA, JPPOWER, FEDERALBNK,
AMTEKAUTO and CANBK.
OI Gainers
View
OI
PRICE
FII's continued to sell in cash market, yesterday they
SCRIP
OI
CHANGE
PRICE
CHANGE
sold of Rs. 1329 crores of equity cash, whereas
(%)
(%)
they bought marginally of Rs. 178 crores in Index
futures with fall in open interest suggesting
UPL
6217000
16.65
491.50
-3.21
covering of short positions formed earlier.
UCOBANK
16916000
12.26
57.15
-8.27
In Index Options front, FIIs bought significantly of
PFC
4700000
10.33
260.95
-1.84
worth Rs. 2443 crores with rise in open interest.
CIPLA
8956000
9.74
664.95
-0.42
Huge amount of OI addition was seen in 8200-
8400 call options, which may be long positions.
RELINFRA
7795000
8.93
400.80
-3.15
Good amount of buildup was also seen in 8700
call options. On the other hand in put options
OI Losers
7500 and 7800 strikes added good amount of
buildup, while profit booking was visible in 8000-
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
8300 put options. Maximum buildup in current
(%)
(%)
series is seen in 8500 call and 8100 put options.
HINDZINC
3814000
-14.48
169.85
-3.00
Seeing yesterday’s options data we believe we may
see some bounce but don’t go carried away as this
BANKBARODA
19987500
-14.35
158.50
-6.79
bounce is temporary.
HEXAWARE
5667000
-9.55
254.30
-1.01
DRREDDY
884125
-9.30
3473.95
3.18
SRTRANSFIN
2592750
-8.49
808.35
-2.06
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.96
0.98
UCOBANK
63.51
BANKNIFTY
0.68
0.79
TATASTEEL
50.81
RELIANCE
0.41
0.54
CAIRN
49.37
SBIN
0.48
0.63
ADANIPOWER
65.81
SUNPHARMA
0.40
0.28
JSWENERGY
62.70
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Derivative Report
May 13, 2015
FII Statistics for 12-May 2015
Turnover on 12-May 2015
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Contracts
Value
Change
(` in cr.)
(%)
INDEX
2675.25
2497.09
178.16
419822
9905.62
(1.83)
8,56,443
21217.53
40.04
FUTURES
Index Futures
INDEX
Index
18099.94
15656.29
2443.65
3008527
71968.00
4.16
91,85,105
200522.95
29.33
OPTIONS
Options
STOCK
4038.08
2825.92
1212.16
1835563
45861.42
0.09
9,85,397
25512.25
6.12
FUTURES
Stock Futures
STOCK
Stock
1915.53
1899.70
15.83
88340
2227.05
6.91
4,58,891
12057.15
8.59
OPTIONS
Options
26728.80
22879.00
3849.80
5352252
129962.10
2.29
1,14,85,838
259310.17
26.28
Total
Total
Nifty Spot = 8126.95
Lot Size = 25
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8100
159.95
Buy
8200
180.00
51.00
49.00
8151.00
45.90
54.10
8154.10
Sell
Sell
8200
108.95
8100
134.10
Buy
Buy
8100
159.95
8200
180.00
89.90
110.10
8189.90
82.30
117.70
8117.70
Sell
8300
70.05
Sell
8000
97.70
Buy
8200
108.95
Buy
8100
134.10
38.90
61.10
8238.90
36.40
63.60
8063.60
Sell
8300
70.05
Sell
8000
97.70
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 13, 2015
Strategy Date
Symbol
Strategy
Status
04-05-15
RELIANCE
Bull Call Spread
Open
11-05-15
INFY
Bull Call Spread
Open
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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