Derivative Report
June 18, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 2.72%
BankNifty futures open interest has decreased by 2.56%
as market closed at 8091.55 levels.
The Nifty June future closed at a discount of 12.50 points
against discount of 0.30 points. The July series closed at
a premium of 11.80 points.
The Implied Volatility of at the money options has
decreased from 16.79% to 16.18%.
Nifty PCR-OI remained unchanged at 0.89 levels.
The total OI of the market is Rs. 2,28,655/- cr. and the
stock futures OI is Rs. 60,606/- cr.
Few of the liquid counters where we have seen high cost
of carry are UNITECH, IBREALEST, DHFL, KSCL and
SOUTHBANK.
View
OI Gainers
FII's were sellers in cash market segment; they sold
OI
PRICE
of Rs. 940 crores of equity cash. In Index futures
SCRIP
OI
CHANGE
PRICE
CHANGE
they were sellers of worth Rs. 217 crores with fall in
(%)
(%)
open interest suggesting unwinding of long
BRITANNIA
256875
57.96
2768.50
5.66
positions in last trading session.
OFSS
99125
19.25
3766.60
4.05
In Index options front, FIIs bought of worth Rs. 621
crores with rise in open interest indicating long
BAJFINANCE
51875
18.91
4789.30
1.85
formation. In call options we saw open interest
PAGEIND
28625
18.65
14501.65
0.61
addition in 8100 & 8300 strikes which may be mix
of long and shorts; some unwinding was visible in
OIL
360000
15.20
464.90
-0.81
8000 & 8200 call options. On the other hand in
put options 8000 & 8100 strikes added decent
OI Losers
open interest which is mostly long positions, while
significant unwinding was seen in 7800 & 7900
OI
PRICE
put options. Maximum buildup in current series is
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
seen in 8500 call and of put options has again got
shifted to 8000 strike.
DISHTV
23968000
-21.59
114.50
6.26
We are hardly seeing any buying interest in Index
IGL
903000
-11.03
401.00
3.78
Futures by FIIs, continuous buildup in put options is
AMARAJABAT
184750
-8.43
873.15
2.31
visible from past few days and we believe these are
longs getting formed. We believe 8200-8250 is a
CASTROLIND
270000
-6.90
441.90
2.14
major resistance for Nifty and one should form
JUSTDIAL
833750
-6.27
1155.35
3.48
shorts near its resistance levels.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.89
0.94
IGL
32.71
BANKNIFTY
0.66
0.66
DHFL
42.92
SBIN
0.30
0.30
GLENMARK
41.90
INFY
0.55
0.51
IBULHSGFIN
37.39
RELIANCE
0.67
0.51
DABUR
30.51
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Derivative Report
June 18, 2015
FII Statistics for 17-June 2015
Turnover on 17-June 2015
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Contracts
Value
Change
(` in cr.)
(%)
INDEX
2266.33
2483.70
(217.37)
672057
15568.98
(0.89)
7,03,412
16929.04
13.73
FUTURES
Index Futures
INDEX
Index
16118.34
15496.93
621.41
3241104
77916.25
4.02
93,43,456
200609.77
19.79
OPTIONS
Options
STOCK
3241.54
2455.35
786.19
1986777
49046.30
(0.12)
9,60,814
24893.56
32.12
FUTURES
Stock Futures
STOCK
Stock
1585.83
1652.49
(66.66)
93552
2278.50
1.97
4,73,998
12165.53
32.72
OPTIONS
Options
23212.05
22088.48
1123.57
5993490
144810.03
2.02
1,14,81,680
254597.91
21.02
Total
Total
Nifty Spot = 8091.55
Lot Size = 25
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8100
65.75
Buy
8100
89.85
36.55
63.45
8136.55
39.40
60.60
8060.60
Sell
Sell
8200
29.20
8000
50.45
Buy
Buy
8100
65.75
8100
89.85
54.85
145.15
8154.85
63.45
136.55
8036.55
Sell
8300
10.90
Sell
7900
26.40
Buy
8200
29.20
Buy
8000
50.45
18.30
81.70
8218.30
24.05
75.95
7975.95
Sell
8300
10.90
Sell
7900
26.40
Note: Above mentioned Bullish or Bearish Spreads in Nifty (June Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Derivative Report
June 18, 2015
Strategy Date
Symbol
Strategy
Status
June 01, 2015
INFY
Ratio Bull Call Spread
Active
June 08, 2015
SBIN
Ratio Bull Call Spread
Active
June 15, 2015
ITC
Short Strangle
Active
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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