Nifty Vs OI
The Nifty futures open interest has increased by 4.02%
BankNifty futures open interest has increased by 9.09%
as market closed at 8608.05 levels.
The Nifty July future closed at a premium of 18.60 points
against premium of 18.25 points. The August series
closed at a premium of 53.20 points.
The Implied Volatility of at the money options has
decreased from 13.23% to 12.05%.
Nifty PCR-OI has increased from 1.14 to 1.19 levels.
The total OI of the market is Rs. 2,37,655/- cr. and the
stock futures OI is Rs. 65,515/- cr.
Few of the liquid counters where we have seen high cost
of carry are JPASSOCIAT, NHPC, JPPOWER, GMRINFRA
Yesterday, FII's were net buyers in both cash
market and Index Futures. They bought equities of
Rs. 745 crores and Index Futures of worth Rs. 1511
crores with rise in OI. This suggests continuation
of fresh long formation in Index Futures.
In Index options front, FIIs were net buyers of Rs.
755 crores with rise in open interest indicating
longs formation. We saw some buildup in 8900
call options, while good amount of unwinding was
visible in 8400, 8500 and 8800 call option. We
believe those who had gone short in these calls
are unwinding their positions. Whereas, in put
options, meaningful open interest addition was
seen in 8500 and 8600 strikes, which is mostly
short position as IV’s plunged yesterday.
Maximum buildup in current series has shifted to
8600 call and 8400 put options.
From last three trading session, we are witnessing
meaningful buying in Index Futures by FII’s and at
the same time huge shorting in 8400 & 8500 put
was also witnessed. We suggest staying long and
trading with positive bias.
FII Statistics for 16-July 2015
Turnover on 16-July 2015
Nifty Spot = 8608.05
Lot Size = 25
Note: Above mentioned Bullish or Bearish Spreads in Nifty (July Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
June 29, 2015
Ratio Bear Put Spread
July 06, 2015
Ratio Bull Call Spread
July 13, 2015
Long Put Ladder
Research Team Tel: 022 - 39357800
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