Jan 22, 2015
Nifty Vs OI
NIFTY futures continued their upward journey and
closed at 8738.50 levels with further rise in open
interest. BANKNIFTY futures too moved up to the
levels of 19,889.65 levels but with reduction in
Premium for current month Nifty futures has
reduced to 9.00 points and that of next month is at
Implied volatility has marginally increased to the
levels of 17.62%. Call IV’s are at 15.19% while that
of put is at 19.90%
NIFTY PCR-OI has inched up from 1.32 to 1.33
Among large caps HDFCBANK, HEROMOTOCO,
BANKBARODA have high cost of carry.
The pace of buying in cash market by FII’s is
increasing with rise in markets. They were net
buyers of Rs. 2065.49 crores in cash market
segment. Formation of index futures long
positions also continued as they were net buyers
in the segment to the tune of Rs. 483.32 crores
with rise in open interest.
Most of the now deep out-of-money puts saw
substantial unwinding suggesting that most of
the bears are now throwing in their towels.
However built-up continued in 8600 and 8700
put options which for yesterday was blend of
both long and short.
In calls activity was very less but interestingly
overall in last few sessions we have seen acitivity
gathering momentum even in 9000 strike call
option. Highest OI in calls is in 8700 strike.
Jan 22, 2015
FII Statistics for 21-Jan-2015
Turnover on 21-Jan-2015
Nifty Spot = 8729.50
Lot Size = 25
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Jan Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
Jan 22, 2015
Marginal loss booked (02-01-15)
Ratio Put Spread
Ratio Put Spread
Research Team Tel: 022 - 39357800
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