Jan 15, 2015
Nifty Vs OI
The Nifty futures open interest decreased by 2.00% while
BankNifty futures open interest has increased by 3.99%
as market closed at 8277.55 levels.
The Nifty January future closed at premium of 29.80
points against a premium of 17.10 points. The February
series closed at a premium of 80.50 points.
The Implied Volatility of at the money options has
increased from 14.78% to 15.54%.
Nifty PCR-OI has decreased from 1.14 to 1.11 levels.
The total OI of the market is Rs. 1,99,721/- cr. and the
stock futures OI is Rs. 60,218/- cr.
Few of the liquid counters where we have seen high cost
of carry are JPPOWER, SSLT, TITAN, EXIDEIND and
FIIs activity in cash market segment was subdued. In
Index Futures they were net buyers with marginal rise
in open interest which may be due to short covering
in last trading session.
In Index Options they bought of worth Rs. 319 crores
with rise in open interest suggesting long formation.
PCR-OI decreased mainly due to open interest
addition in call options, while implied volatility
increased on the closing basis indicating long
formation in call options. We saw some open interest
addition in 8300-8500 call option which may be
long position. On the other hand in put options
decent amount of buildup was seen in 7600 & 7900
strike prices followed by unwinding in 8200 call
options. Maximum buildup in current series is seen in
8400 call & 8000 put options.
We still maintain our negative stance in market
seeing the quantum of unwinding in Index Futures
and shorting in stock futures in current series. 8400-
8450 is the resistance level for market, one should
adopt sell on rise strategy and avoid going long in
Jan 15, 2015
FII Statistics for 14-Jan-2015
Turnover on 14- Jan -2015
Nifty Spot =8277.55
Lot Size = 50
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Jan Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
Jan 15, 2015
Loss booked on 02-01-2015.
Ratio Put Spread
Research Team Tel: 022 - 39357800
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