Sept 18, 2014
Nifty Vs OI
The Nifty futures open interest decreased by 0.70% while
BankNifty futures open interest has decreased by 5.70%
as market closed at 7975.50 levels.
The Nifty September future closed at premium of 17.35
point against a premium of 27.95 points. The October
series closed at a premium of 62.00 points.
The Implied Volatility of at the money options has
increased from 12.34% to 13.00%.
Nifty PCR-OI has increased from 0.87 to 0.90 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 RCOM, EICHERMOT, HDFCBANK,
HEXAWARE and GAIL.
Yesterday Nifty recovered and closed up by
points. FIIs were net buyer in cash market segment of
worth Rs. 136 crores. In Index Futures they were
marginal buyer with fall in open interest indicating
blend of long unwinding and short covering in last
In Index Options they bought significantly of worth
Rs. 991 crores with some rise in open interest which
suggests blend of short covering and formations of
long positions. PCR-OI increased with rise in implied
volatility which suggests buying in put options, 7700
and 8000 strike prices of put options added some
buildup and we believe these are long positions
formed by FIIs. On the other hand in call options
8200 strike price added majority of open interest
yesterday, followed by unwinding in
price. Maximum buildup in current series is seen in
8200 call options and of put options still remains at
8000 strike price.
Sept 18, 2014
FII Statistics for 17-Sept-2014
Turnover on 17-Sept-2014
Nifty Spot =7975.50
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 18, 2014
Long call ladder
Long put ladder
Research Team Tel: 022 - 39357800
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