Derivative Report
Sept 18, 2014
Comments
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.
OI Gainers
View
OI
PRICE
Yesterday Nifty recovered and closed up by
42
SCRIP
OI
CHANGE
PRICE
CHANGE
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
IRB
13200000
13.75
241.40
-3.31
blend of long unwinding and short covering in last
DRREDDY
1550375
12.54
3081.95
2.16
trading session.
EICHERMOT
119625
11.54
11405.50
-0.36
In Index Options they bought significantly of worth
GAIL
2818000
10.60
445.80
-0.39
Rs. 991 crores with some rise in open interest which
suggests blend of short covering and formations of
IGL
1069000
10.09
415.70
1.48
long positions. PCR-OI increased with rise in implied
volatility which suggests buying in put options, 7700
OI Losers
and 8000 strike prices of put options added some
buildup and we believe these are long positions
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
formed by FIIs. On the other hand in call options
(%)
(%)
8200 strike price added majority of open interest
yesterday, followed by unwinding in
8300 strike
HDIL
24112000
-15.93
85.60
-1.10
price. Maximum buildup in current series is seen in
MINDTREE
188750
-10.44
1133.35
0.63
8200 call options and of put options still remains at
8000 strike price.
MCDOWELL-N
819000
-10.07
2402.35
1.43
TATASTEEL
18650000
-7.52
498.40
1.98
COLPAL
788000
-6.11
1613.05
-2.32
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.90
0.86
HDFC
28.47
BANKNIFTY
0.73
0.80
ASIANPAINT
30.85
RELIANCE
0.38
0.43
CENTURYTEX
46.45
SBIN
0.49
0.54
GODREJIND
45.85
ICICIBANK
0.40
0.54
JPASSOCIAT
96.81
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1
Derivative Report
Sept 18, 2014
FII Statistics for 17-Sept-2014
Turnover on 17-Sept-2014
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Contracts
Value
Change
(` in cr.)
(%)
INDEX
INDEX
1672.33
1619.99
52.34
235358
9402.05
(5.34)
2,93,301
11702.08
-27.78
FUTURES
FUTURES
INDEX
INDEX
18360.05
17368.75
991.30
1627226
64864.75
1.59
41,52,648
166817.72
-21.32
OPTIONS
OPTIONS
STOCK
STOCK
3079.95
2976.04
103.91
1317102
48069.42
(0.34)
7,14,960
29164.13
-14.94
FUTURES
FUTURES
STOCK
STOCK
2921.42
2998.54
(77.12)
75810
2746.56
1.48
4,12,086
16616.29
-14.78
OPTIONS
OPTIONS
TOTAL
26033.75
24963.31
1070.43
3255496
125082.78
0.27
TOTAL
55,72,995
224300.22
-20.47
Nifty Spot =7975.50
Lot Size = 50
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8000
56.20
Buy
8000
64.65
34.75
65.25
8034.75
37.55
62.45
7962.45
Sell
Sell
8100
21.45
7900
27.10
Buy
Buy
8000
56.20
8000
64.65
49.55
150.45
8049.55
54.60
145.40
7945.40
Sell
8200
6.65
Sell
7800
10.05
Buy
8100
21.45
Buy
7900
27.10
14.80
85.20
8114.80
17.05
82.95
7882.95
Sell
8200
6.65
Sell
7800
10.05
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
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Derivative Report
Sept 18, 2014
Strategy Date
Symbol
Strategy
Status
02-09-2014
DLF
Long call ladder
Open.
08-09-2014
NIFTY
Long put ladder
Open.
15-09-2014
HINDALCO
Short strangle
Open.
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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