Derivative Report
Mar 19, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has decreased by 3.05%
BankNifty futures open interest has increased by 0.18%
as market closed at 8685.90 levels.
The Nifty March future closed at premium of
18.80
points against a premium of 16.90 points. The April
series closed at a premium of 90.35 points.
The Implied Volatility of at the money options has
increased from 15.81% to 17.43%.
Nifty PCR-OI has decreased from 0.91 to 0.89 levels.
The total OI of the market is Rs. 2,49,152.59/- cr. and
the stock futures OI is Rs. 76,192.62/- cr.
Few of the liquid counters where we have seen high cost
of carry are IDFC, DIVISLAB, HDFCBANK, ADANIPORTS
and GMRINFRA.
View
OI Gainers
FIIs were net sellers in cash market segment of worth
OI
PRICE
Rs. 457 crores. In Index Futures they were again net
SCRIP
OI
CHANGE
PRICE
CHANGE
sellers of Rs. 525 crores with fall in open interest
(%)
(%)
indicating continuation of long unwinding in last
TECHM
5780000
44.57
2793.75
-2.53
trading session.
HCLTECH
8315000
39.33
1998.80
-1.84
In Index Options they sold of worth Rs. 406 crores
with rise in open interest indicating fresh short
IOC
6570000
9.63
351.40
0.67
formation. In call options 8700-8900 strikes added
MINDTREE
270000
9.31
1429.70
0.95
decent buildup which is long positions as implied
volatility increased by 150 basis points. On the other
BIOCON
4684500
6.49
451.85
3.19
hand in put options 8400 & 8500 strike added
decent buildup which may be short positions by FIIs.
OI Losers
Maximum buildup in current series is seen in 9000
OI
PRICE
call & 8500 put option.
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
FIIs data still haven’t showed any negative signal, in
fact we have witness that these guys have bought call
WOCKPHARMA
2572500
-17.23
1883.90
-2.15
options of 8800-9000 strikes and the quantum is
DABUR
2343000
-13.03
284.40
0.11
also huge. We believe market will remain in range of
8550-8600 on the lower side and 8900-8950 on the
JUSTDIAL
1037500
-9.31
1269.20
7.17
higher side. One should buy as Nifty is near the
GODREJIND
1554553
-7.23
344.15
-0.53
lower side of the range now.
PFC
5058000
-5.74
284.40
1.44
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.89
0.87
JUSTDIAL
68.85
BANKNIFTY
0.70
0.78
ZEEL
36.34
RELIANCE
0.52
0.53
BIOCON
36.90
SBIN
0.35
0.35
BPCL
34.97
ITC
0.35
0.24
NTPC
40.22
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Derivative Report
Mar 19, 2015
FII Statistics for 18-Mar-2015
Turnover on 18-Mar-2015
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Contracts
Value
Change
(` in cr.)
(%)
INDEX
INDEX
739.97
1265.05
(525.08)
869454
20601.87
(2.27)
5,94,821
16972.73
-25.92
FUTURES
FUTURES
INDEX
INDEX
19898.07
20304.23
(406.16)
2375382
64337.90
5.87
74,72,059
178235.79
-24.07
OPTIONS
OPTIONS
STOCK
STOCK
3465.82
2154.34
1311.48
2037553
61582.69
1.11
7,88,068
25262.54
-7.75
FUTURES
FUTURES
STOCK
STOCK
1785.77
1750.40
35.36
105769
3277.03
0.03
3,62,332
11831.57
-15.41
OPTIONS
OPTIONS
25889.63
25474.02
415.61
5388158
149799.50
2.55
TOTAL
92,17,280
232302.64
-22.32
Total
Nifty Spot = 8685.90
Lot Size = 25
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8700
91.35
Buy
8700
87.00
43.60
56.40
8743.60
36.25
63.75
8663.75
Sell
Sell
8800
47.75
8600
50.75
Buy
Buy
8700
91.35
8700
87.00
69.15
130.85
8769.15
59.10
140.90
8640.90
Sell
8900
22.20
Sell
8500
27.90
Buy
8800
47.75
Buy
8600
50.75
25.55
74.45
8825.55
22.85
77.15
8577.15
Sell
8900
22.20
Sell
8500
27.90
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Mar Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Derivative Report
Mar 19, 2015
Strategy Date
Symbol
Strategy
Status
02-03-2015
NIFTY
Long Put
Profit booked on 10-03-15
09-03-2015
HEROMOTOCO
Long Call Ladder
Open
09-03-2015
NIFTY
Long Call
Open
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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