Derivative Report
Oct 21, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 5.25% while
BankNifty futures open interest has increased by 6.66%
as market closed at 7879.40 levels.
The Nifty October future closed at premium of 17.85
points against a premium of
37.35 points. The
November series closed at a premium of 64.60 points.
The Implied Volatility of at the money options has
decreased from 15.22% to 12.29%.
Nifty PCR-OI has increased from 0.84 to 0.85 levels.
The total OI of the market is Rs. 2,14,628/- cr. and the
stock futures OI is Rs. 53,015/- cr.
Few of the liquid counter stocks where we have seen high
cost of carry are GMRINFRA, HDFCBANK, VOLTAS,
NTPC and ADANIENT.
View
OI Gainers
In last trading session NIFTY recovered nearly 100
OI
PRICE
points. For the first time in this month we witnessed
SCRIP
OI
CHANGE
PRICE
CHANGE
FIIs buying in cash market segment; they bought
(%)
(%)
significantly of worth Rs.
1040 crores. In Index
EXIDEIND
10244000
16.15
158.35
-3.64
Futures they continue buying in a big way, they
bought of worth Rs. 1455 crores with significant rise
AXISBANK
24057500
14.86
417.85
4.08
in open interest indicating fresh long formation.
CESC
1240000
11.16
655.80
-2.33
In Index Options they were net sellers with some
UNIONBANK
11648000
11.00
222.65
1.22
decline in open interest signifying unwinding of
positions. PCR-OI increased further while IV’s
ANDHRABANK
15084000
9.40
75.20
4.86
plunged which indicated selling in put options. We
witnessed
7900 put options adding considerable
OI Losers
amount of open interest and we believe these may be
short positions. On the other hand in call options we
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
saw good amount of unwinding in 7900 strike price,
(%)
(%)
it must be profit booking of some long positions
formed in last two trading session. Maximum open
VOLTAS
6382000
-10.37
231.80
1.19
interest in this series has shifted from 8000 to 8100
EICHERMOT
107500
-9.66
11636.40
2.49
call option & of put options has shifted to 7700 put
options.
SKSMICRO
3762000
-9.28
312.45
8.42
ONGC
21225000
-8.65
419.00
4.89
Seeing cash and Futures base buying by FIIs we
believe market may continue it’s up move. We
HINDALCO
28802000
-8.44
146.50
4.63
suggest to trade with positive bias.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.85
0.91
HINDPETRO
56.12
BANKNIFTY
1.35
1.12
ONGC
42.50
RELIANCE
0.36
0.52
SKSMICRO
66.57
TCS
0.28
0.39
TVSMOTOR
54.60
INFY
0.81
0.73
ULTRACEMCO
48.25
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Derivative Report
Oct 21, 2014
FII Statistics for 20-Oct-2014
Turnover on 20-Oct-2014
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Contracts
Value
Change
(` in cr.)
(%)
INDEX
INDEX
3341.55
1886.54
1455.01
298985
11865.61
17.44
4,06,171
16218.87
-16.28
FUTURES
FUTURES
INDEX
INDEX
16162.76
16354.92
(192.17)
1775639
70080.59
(0.79)
44,00,208
175115.75
-7.90
OPTIONS
OPTIONS
STOCK
STOCK
3231.93
2604.22
627.72
1228202
43391.31
0.44
7,01,831
25807.04
-6.52
FUTURES
FUTURES
STOCK
STOCK
2881.39
2926.23
(44.84)
80187
2864.24
5.94
4,29,000
15656.23
-17.71
OPTIONS
OPTIONS
TOTAL
25617.63
23771.91
1845.72
3383013
128201.74
1.20
TOTAL
59,37,214
232798.30
-9.11
Nifty Spot =7879.40
Lot Size = 50
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
7900
64.50
Buy
7900
66.45
36.75
63.25
7936.75
34.00
66.00
7866.00
Sell
Sell
8000
27.75
7800
32.45
Buy
Buy
7900
64.50
7900
66.45
54.60
145.40
7954.60
51.25
148.75
7848.75
Sell
8100
9.90
Sell
7700
15.20
Buy
8000
27.75
Buy
7800
32.45
17.85
82.15
8017.85
17.25
82.75
7782.75
Sell
8100
9.90
Sell
7700
15.20
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Oct Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Derivative Report
Oct 21, 2014
Strategy Date
Symbol
Strategy
Status
29-09-2014
NIFTY
Long Put
Did not trigger.
07-10-2014
HINDALCO
Ratio Bull Call Spread
Open.
13-10-2014
LT
Ratio Bear Put Spread
Open.
20-10-2014
RELIANCE
Ratio Bear Put Spread
Open.
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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