Sept 17, 2014
Nifty Vs OI
The Nifty futures open interest decreased by 1.79% while
BankNifty futures open interest has decreased by 0.78%
as market closed at 7932.90 levels.
The Nifty September future closed at premium of 27.95
point against a premium of 20.55 points. The October
series closed at a premium of 73.80 points.
The Implied Volatility of at the money options has
decreased from 12.41% to 12.34%.
Nifty PCR-OI has decreased from 0.91 to 0.87 levels.
The total OI of the market is Rs. 2,01,201/- cr. and the
stock futures OI is Rs. 56,943/- cr.
Few of the liquid counter stocks where we have seen high
cost of carry are GMRINFRA, APOLLOHOSP, NHPC,
NTPC and GLENMARK.
Yesterday it was the red day for market, NIFTY
plunged more than 100 points. FIIs also participated
in this downward move; they were net seller of worth
Rs. 828 crores. They also formed some fresh short
positions in Index Futures yesterday.
In Index Options they bought significantly of worth
Rs. 1076 crores with rise in open interest which
suggests blend of short covering and formations of
long positions. PCR-OI decreased with marginal
change in implied volatility which indicated mix of
both long and short positions in call options. 8000
strike price of call options added significant buildup,
7900, 8100 and 8200 strike prices also added some
buildup. On the other hand in put options
strike price added majority of open interest yesterday,
followed by good amount of unwinding in 8000 &
8100 strike price, we believe writers of put options
are squaring off their position from last two trading
session anticipating further selling pressure in Nifty.
Maximum buildup in current series is seen in 8200
call options and of put options still remains at 8000
Sept 17, 2014
FII Statistics for 16-Sept-2014
Turnover on 16-Sept-2014
Nifty Spot =7932.90
Lot Size = 50
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Aug Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
Sept 17, 2014
Long call ladder
Long put ladder
Research Team Tel: 022 - 39357800
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