Derivative Report
Apr 16, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 3.61%
BankNifty futures open interest has decreased by 5.36%
as market closed at 8750.20 levels.
The Nifty April future closed at premium of 35.95 points
against a premium of 21.45 points. The May series
closed at a premium of 85.75 points.
The Implied Volatility of at the money options has
increased from 12.70% to 13.56%.
Nifty PCR-OI has decreased from 1.12 to 1.05 levels.
The total OI of the market is Rs. 2,19,757/- cr. and the
stock futures OI is Rs. 68,738/- cr.
Few of the liquid counters where we have seen high cost
of carry are JPPOWER, OFSS, CENTURYTEX, IFCI and
NTPC.
OI Gainers
View
OI
PRICE
Yesterday market surprised us with fall in last half an
SCRIP
OI
CHANGE
PRICE
CHANGE
hour. FIIs activity in cash market segment was
(%)
(%)
subdued. In Index Futures they were net buyers of
worth Rs. 783 crores with good amount of rise in
IGL
1124500
17.69
424.20
-2.63
open interest indicating fresh long formation despite
SRTRANSFIN
1245250
16.51
1105.85
-3.77
fall in market.
DABUR
2292000
12.35
277.05
-2.50
In Index Options they were marginal buyers with rise
M&M
3165750
12.14
1215.40
-3.06
in open interest suggesting blend of long formation
and short covering. In call options 8900 strike added
TATACOMM
6651000
9.14
494.00
6.04
good amount of buildup, we believe these are long
positions seeing IV’s jumping higher yesterday. Some
OI Losers
buildup was also seen in
8800 and
9000 call
options. On the other hand in put options we hardly
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
saw any relevant open interest addition, unwinding
(%)
(%)
was visible in 8400 and 8500 put options. Maximum
buildup in current series is seen in 9000 call & 8600
WOCKPHARMA
3206000
-11.74
1743.80
-6.67
put option.
HDIL
20592000
-10.73
135.40
-2.66
We believe market may trade in the range of 8600-
BHARTIARTL
9304000
-8.77
416.05
-2.51
8650 on the lower side and 8900-8950 on the
higher side. We expect further selling pressure in
ORIENTBANK
5264000
-8.47
230.10
3.93
BankNifty; one can adopt Ratio Bear Put Spread
FEDERALBNK
16560000
-7.82
132.65
2.00
strategy for positional trade.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.05
1.06
WOCKPHARMA
55.67
BANKNIFTY
0.91
0.72
TATACOMM
47.79
RELIANCE
0.64
0.56
BHEL
45.46
AXISBANK
0.32
0.39
IGL
28.08
TATASTEEL
0.57
0.47
HEROMOTOCO
23.61
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Derivative Report
Apr 16, 2015
FII Statistics for 15-Apr-2015
Turnover on 15-Apr-2015
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Contracts
Value
Change
(` in cr.)
(%)
INDEX
INDEX
1876.81
1093.55
783.26
731245
17092.66
5.14
5,32,032
15211.67
24.87
FUTURES
FUTURES
INDEX
INDEX
14011.89
13935.34
76.56
2503174
65810.97
1.17
61,00,667
145792.13
6.36
OPTIONS
OPTIONS
STOCK
STOCK
2904.10
2924.27
(20.17)
1843565
56273.15
0.70
8,90,409
28860.11
20.48
FUTURES
FUTURES
STOCK
STOCK
2000.15
2053.02
(52.87)
99823
2962.82
5.73
4,23,192
13579.11
24.29
OPTIONS
OPTIONS
20792.95
20006.18
786.78
5177807
142139.59
1.63
TOTAL
79,46,300
203443.02
10.48
Total
Nifty Spot = 8750.20
Lot Size = 25
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8800
84.60
Buy
8700
64.60
39.45
60.55
8839.45
24.20
75.80
8675.80
Sell
Sell
8900
45.15
8600
40.40
Buy
Buy
8800
84.60
8700
64.60
63.65
136.35
8863.65
39.90
160.10
8660.10
Sell
9000
20.95
Sell
8500
24.70
Buy
8900
45.15
Buy
8600
40.40
24.20
75.80
8924.20
15.70
84.30
8584.30
Sell
9000
20.95
Sell
8500
24.70
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Apr Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Derivative Report
Apr 16, 2015
Strategy Date
Symbol
Strategy
Status
30-03-15
ITC
Long Call Ladder
Open
06-04-15
MARUTI
Ratio Bear Put Spread
Open
13-04-15
BANKNIFTY
Short Strangle
Open
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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