Derivative Report
July 17,
2015
Nifty Vs OI
Comments
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
and UNITECH.
View
OI Gainers
Yesterday, FII's were net buyers in both cash
market and Index Futures. They bought equities of
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
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.
MINDTREE
620250
31.97
1228.00
0.07
In Index options front, FIIs were net buyers of Rs.
PIDILITIND
707500
21.56
562.75
1.71
755 crores with rise in open interest indicating
BAJFINANCE
142125
12.24
5269.10
2.06
longs formation. We saw some buildup in 8900
WOCKPHARMA
3555500
9.45
1550.60
4.29
call options, while good amount of unwinding was
visible in 8400, 8500 and 8800 call option. We
ICICIBANK
45381000
9.15
318.50
0.90
believe those who had gone short in these calls
are unwinding their positions. Whereas, in put
OI Losers
options, meaningful open interest addition was
OI
PRICE
seen in 8500 and 8600 strikes, which is mostly
SCRIP
OI
CHANGE
PRICE
CHANGE
short position as IV’s plunged yesterday.
(%)
(%)
Maximum buildup in current series has shifted to
KSCL
705250
-7.23
764.05
0.28
8600 call and 8400 put options.
OIL
848000
-6.40
445.00
0.29
From last three trading session, we are witnessing
ARVIND
4758000
-6.19
291.45
0.76
meaningful buying in Index Futures by FII’s and at
the same time huge shorting in 8400 & 8500 put
APOLLOTYRE
9282000
-5.65
188.85
1.75
was also witnessed. We suggest staying long and
M&M
4774000
-3.19
1279.95
-0.06
trading with positive bias.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.19
1.29
RECLTD
38.32
BANKNIFTY
1.31
0.91
TATACHEM
39.84
INFY
0.67
0.84
AXISBANK
32.04
TATASTEEL
0.34
0.25
JSWSTEEL
40.82
RELIANCE
0.71
0.53
KOTAKBANK
31.67
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Derivative Report
July 17,
2015
FII Statistics for 16-July 2015
Turnover on 16-July 2015
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Value
Change
Contracts
(` in cr.)
(%)
INDEX
5,67,094
16082.47
25.42
3046.93
1535.69
1511.24
900896
20831.40
5.46
Index Futures
FUTURES
INDEX
Index
12378.64
11623.05
755.59
3410248
85847.09
2.72
74,37,719
170984.28
17.99
OPTIONS
Options
STOCK
8,69,427
24616.92
14.85
2861.55
2317.85
543.70
1776847
49596.05
1.03
Stock Futures
FUTURES
STOCK
Stock
1444.25
1506.72
(62.47)
100175
2753.97
5.71
4,24,803
12274.14
8.80
OPTIONS
Options
19731.37
16983.31
2748.06
6188166
159028.51
2.66
92,99,043
223957.81
17.59
Total
Total
Nifty Spot = 8608.05
Lot Size = 25
Bull-Call Spreads
Bear-Put Spreads
Action
Strike Price
Risk
Reward BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8600
95.05
Buy
8600
70.70
47.85
52.15
8647.85
30.40
69.60
8569.60
Sell
8700
47.20
Sell
8500
40.30
Buy
8600
95.05
Buy
8600
70.70
75.15
124.85
8675.15
47.60
152.40
8552.40
Sell
8800
19.90
Sell
8400
23.10
Buy
8700
47.20
Buy
8500
40.30
27.30
72.70
8727.30
17.20
82.80
8482.80
Sell
8800
19.90
Sell
8400
23.10
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
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Derivative Report
July 17,
2015
Strategy Date
Symbol
Strategy
Status
June 29, 2015
LT
Ratio Bear Put Spread
Active
July 06, 2015
RELIANCE
Ratio Bull Call Spread
Active
July 13, 2015
HINDUNILVR
Long Put Ladder
Active
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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