Apr 21, 2015
Nifty Vs OI
The Nifty futures open interest has increased by 1.26%
BankNifty futures open interest has increased by 12.12%
as market closed at 8448.10 levels.
The Nifty April future closed at premium of 21.80 points
against a premium of 32.85 points. The May series
closed at a premium of 77.80 points.
The Implied Volatility of at the money options has
increased from 14.97% to 16.35%.
Nifty PCR-OI has decreased from 0.97 to 0.89 levels.
The total OI of the market is Rs. 2,32,834/- cr. and the
stock futures OI is Rs. 67,653/- cr.
Few of the liquid counters where we have seen high cost
of carry are BHARATFORG, UNITECH, GMRINFRA,
SRTRANSFIN and NHPC.
FII's continue to sell in cash market segment and
yesterday they were sellers to the tune of Rs 1500
crores. In index futures they unwounded
significant amount of long positions.
Despite FIIs index future unwinding we saw
significant built-up of short positions in BankNifty
futures and some in Nifty futures as well. This
indicates that most traders are bearish on market
as of now and this consensus may lead to further
rise in implied volatility which has already
increased by more than 200 bps in last two
In options segment we have witnessed huge built-
up in 8600 and 8500 call. This we believe is blend
of both long and short and which further indicates
that volatility may only increase from here and
don't expect one way correction. 8600 and 8700
put writers seem to have given away their bets.
Apr 21, 2015
FII Statistics for 20-Apr-2015
Turnover on 20-Apr-2015
Nifty Spot = 8448.10
Lot Size = 25
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Apr Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
Apr 21, 2015
Long Call Ladder
Ratio Bear Put Spread
Ratio Bear Put Spread
Research Team Tel: 022 - 39357800
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