Derivative Report
Nov 19, 2014
Nifty Vs OI
Comments
The Nifty futures open interest increased by 0.56% while
BankNifty futures open interest has increased by 5.93%
as market closed at 8425.90 levels.
The Nifty November future closed at premium of 26.00
points against a premium of
22.20 points. The
December series closed at a premium of 72.50 points.
The Implied Volatility of at the money options has
decreased from 11.04% to 10.48%.
Nifty PCR-OI has increased from 1.07 to 1.09 levels.
The total OI of the market is Rs. 2,23,059/- cr. and the
stock futures OI is Rs. 62,159/- cr.
Few of the liquid counter stocks where we have seen high
cost of carry are IOB, BHARATFORG, JISLJALEQS, L&TFH
and DISHTV.
View
OI Gainers
FIIs activity in cash market segment was subdued. In
OI
PRICE
Index Futures they were net sellers with rise in open
SCRIP
OI
CHANGE
PRICE
CHANGE
interest which suggests that FII have formed marginal
(%)
(%)
short positions in last trading session.
GLENMARK
3838000
10.03
788.60
2.73
In Index Options also their activity was quiet. PCR-OI
ULTRACEMCO
1019000
9.33
2530.10
-0.95
increased further mainly due to significant amount of
open interest addition in put options while implied
HINDALCO
33692000
8.87
155.30
-1.42
volatility decreased by nearly 50 basis points. We are
IDEA
13636000
8.12
168.40
2.39
witnessing significant amount of open interest
IFCI
67466000
7.04
40.90
4.45
addition in 8400 put options from last two trading
sessions and we believe these are blend of long and
short positions. Some buildup was also seen in 8500
OI Losers
put options. On the other hand in call options some
OI
PRICE
buildup was seen in 8700 strike price.
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
We believe one should trade with positive bias &
adopt buy on dip strategy as we haven’t witnessed
SBIN
5924375
-7.46
2945.75
0.05
any reasonable amount of short formations yet, one
RELCAPITAL
14268500
-6.29
523.90
3.89
can buy put option to hedge their long positions.
APOLLOHOSP
339500
-5.89
1145.85
2.98
Large cap counters where we have seen good
amount of open interest additions are
UNIONBANK
9232000
-5.74
223.45
0.97
ULTRACEMCO, HINDALCO, NMDC, IDFC and
ALBK
12892000
-4.67
123.10
1.40
CIPLA.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.09
1.19
RCOM
61.55
BANKNIFTY
1.72
1.05
JISLJALEQS
71.56
SBIN
0.81
0.66
APOLLOHOSP
36.65
RELIANCE
0.45
0.32
BHARATFORG
48.27
TATASTEEL
0.68
0.51
IFCI
48.49
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Derivative Report
Nov 19, 2014
FII Statistics for 18-Nov-2014
Turnover on 18-Nov-2014
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Contracts
Value
Change
(` in cr.)
(%)
INDEX
INDEX
826.59
990.44
(163.86)
891699
19912.73
1.61
3,48,038
9391.92
-19.28
FUTURES
FUTURES
INDEX
INDEX
12467.44
12498.38
(30.94)
2830556
68353.86
0.75
55,29,420
124368.86
-15.82
OPTIONS
OPTIONS
STOCK
STOCK
3174.74
2994.67
180.08
1697815
51202.87
0.45
9,97,932
30376.90
11.17
FUTURES
FUTURES
STOCK
STOCK
3014.55
3010.57
3.98
99897
3182.77
3.84
5,56,133
17765.99
-6.01
OPTIONS
OPTIONS
TOTAL
19483.32
19494.06
(10.75)
5519967
142652.23
0.85
TOTAL
74,31,531
181904.56
-11.53
Nifty Spot =8425.90
Lot Size = 50
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8400
86.55
Buy
8400
36.55
52.90
47.10
8452.90
20.95
79.05
8379.05
Sell
Sell
8500
33.65
8300
15.60
Buy
Buy
8400
86.55
8400
36.55
76.95
123.05
8476.95
29.15
170.85
8370.85
Sell
8600
9.60
Sell
8200
7.40
Buy
8500
33.65
Buy
8300
15.60
24.05
75.95
8524.05
8.20
91.80
8291.80
Sell
8600
9.60
Sell
8200
7.40
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Nov Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Derivative Report
Nov 19, 2014
Strategy Date
Symbol
Strategy
Status
03-11-2014
NIFTY
Long Call
Open
10-11-2014
RELIANCE
Short Strangle
Open
17-11-2014
HDFCBANK
Ratio Call Spread
Open
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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