Derivative Report
Aug 19, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 6.444% while
BankNifty futures open interest has increased by 16.03%
as market closed at 7874.25 levels.
The Nifty August future closed at premium of 3.45 point
against a premium of 12.00 points. The September
series closed at a premium of 34.90 points.
The Implied Volatility of at the money options has
increased from 10.87% to 11.32%.
Nifty PCR-OI has increased from 0.99 to 1.07 levels.
The total OI of the market is Rs. 1,90,957/- cr. and the
stock futures OI is Rs. 53,384/- cr.
Few of the liquid counters stocks where we have seen
high cost of carry are GMRINFRA, ASHOKLEY,
MCLEODRUSS, HDIL and PTC.
OI Gainers
View
OI
PRICE
FIIs were net buyer in cash market segment of worth
SCRIP
OI
CHANGE
PRICE
CHANGE
Rs. 473 crores. In F&O segment again they were net
(%)
(%)
buyer in Index Futures with rise in open interest
indicating fresh long positions.
SUNTV
1763000
26.93
369.95
0.23
ACC
949750
16.28
1508.65
2.02
In Index options they were net buyer with rise in open
interest indicating fresh long formation, PCR-OI has
IOC
3817000
16.12
352.35
4.17
jumped higher due to significant buildup in put
HEROMOTOCO
1275500
14.66
2511.45
-0.19
options while implied volatility also increased
yesterday, this suggest buying in put options. 7700-
CIPLA
5637000
14.43
471.05
4.81
7900 strike price of put options are continuously
active from last 2-3 trading sessions, yesterday even
OI Losers
they added significant buildup and we believe these
positions are formed by FIIs. On the other hand we
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
hardly saw any buildup in call options, good amount
(%)
(%)
of unwinding was seen in 7800 strike price in last
trading session. Maximum open interest in current
ZEEL
5679000
-11.90
280.35
3.32
series is seen in 8000 call and 7600 put options.
LT
8321500
-10.33
1516.00
1.83
ORIENTBANK
6102000
-8.84
271.85
4.10
PETRONET
3530000
-6.71
179.55
3.71
HDIL
25128000
-6.27
94.55
5.44
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.07
1.11
CIPLA
32.02
BANKNIFTY
0.94
0.88
AXISBANK
36.51
SBIN
0.41
0.43
JUBLFOOD
52.03
RELIANCE
0.50
0.45
BPCL
49.62
AXISBANK
0.54
0.46
ONGC
44.33
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Derivative Report
Aug 19, 2014
FII Statistics for 18-Aug-2014
Turnover on 18-Aug-2014
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Contracts
Value
Change
(` in cr.)
(%)
INDEX
INDEX
2059.39
1841.69
217.70
284121
11163.33
3.06
3,14,896
12253.81
-0.45
FUTURES
FUTURES
INDEX
INDEX
13521.20
12784.96
736.24
1558305
61296.86
4.62
38,95,150
151781.94
2.01
OPTIONS
OPTIONS
STOCK
STOCK
2742.49
2069.82
672.67
1401880
50794.26
0.19
6,48,014
25629.56
2.59
FUTURES
FUTURES
STOCK
STOCK
2451.28
2565.57
(114.29)
76499
2848.67
3.06
3,60,524
14107.49
7.25
OPTIONS
OPTIONS
TOTAL
20774.37
19262.04
1512.32
3320805
126103.13
2.53
TOTAL
52,18,585
203772.88
2.28
Nifty Spot =7874.25
Lot Size = 50
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
7900
47.55
Buy
7900
69.85
31.30
68.70
7931.30
38.25
61.75
7861.75
Sell
Sell
8000
16.25
7800
31.60
Buy
Buy
7900
47.55
7900
69.85
42.80
157.20
7942.80
55.65
-55.65
7844.35
Sell
8100
4.75
Sell
7900
14.20
Buy
8000
16.25
Buy
7800
31.60
11.50
88.50
8011.50
17.40
-117.40
7782.60
Sell
8100
4.75
Sell
7900
14.20
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
Aug 19, 2014
Strategy Date
Symbol
Strategy
Status
04-08-2014
BANKNIFTY
Ratio Put Spread
Open
11-08-2014
NIFTY
Long Put
Loss booked on 12-08-2014.
18-08-2014
BHEL
Ratio Bull Call Spread
Open
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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