Derivative Report
July 22,
2015
Nifty Vs OI
Comments
The Nifty futures open interest has decreased by 2.76%
BankNifty futures open interest has increased by 1.29%
as market closed at 8529.45 levels.
The Nifty July future closed at a premium of 15.55 points
against premium of 24.80 points. The August series
closed at a premium of 51.15 points.
The Implied Volatility of at the money options has
decreased from 12.77% to 12.39%.
Nifty PCR-OI has decreased from 1.21 to 1.16 levels.
The total OI of the market is Rs. 2,43,441/- cr. and the
stock futures OI is Rs. 65,911/- cr.
Few of the liquid counters where we have seen high cost
of carry are
FEDERALBNK, IFCI, BEL, PIDILITIND and
HDFCBANK.
View
OI Gainers
Yesterday, FII's were net sellers in cash market,
OI
PRICE
where they sold equity of worth Rs. 226 crores.
SCRIP
OI
CHANGE
PRICE
CHANGE
Whereas, they bought index futures worth Rs 1256
(%)
(%)
crores with some fall in open interest, suggesting
SUNPHARMA
18614250
22.22
807.65
-14.97
combination of both long formation and short
covering in last trading session.
HINDUNILVR
4973750
11.49
894.30
-2.27
In Index options front, FIIs were net sellers of Rs.
INFY
17359250
11.07
1115.60
11.16
806 crores with fall in open interest. We saw good
CESC
1714500
9.00
583.15
-4.27
amount of buildup in 8500 & 8600 call options.
HEXAWARE
7219000
8.25
272.45
-0.51
Whereas, in put options, we hardly saw any strike
adding open interest, huge amount of unwinding
OI Losers
was seen in 8400-8600 strike. This may be due to
profit booking by those guys, who were long.
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
Maximum buildup in current series is seen in 8600
(%)
(%)
call and 8500 put options.
IGL
1448000
-21.11
459.80
-0.16
Despite market correcting in second half, we saw
HINDZINC
2816000
-12.27
165.95
-0.51
FIIs buying figure in Index Futures. Last week also
they had formed meaningful longs in Index
LICHSGFIN
11101500
-10.64
464.35
-2.94
Futures. We believe one should buy on dips in this
MINDTREE
583750
-10.19
1269.40
-1.63
market. The immediate support for Nifty is placed
at 8450-8500 levels.
ARVIND
4244000
-8.65
286.90
-4.45
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.16
1.17
SUNPHARMA
82.31
BANKNIFTY
1.00
0.88
INFY
55.18
INFY
1.25
0.76
LUPIN
35.01
TATASTEEL
0.32
0.29
ONGC
28.45
RELIANCE
0.58
0.47
HAVELLS
32.88
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Derivative Report
July 22,
2015
FII Statistics for 21-July 2015
Turnover on 21-July 2015
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Value
Change
Contracts
(` in cr.)
(%)
INDEX
5,49,261
15199.4
17.90
1999.11
742.95
1256.17
893644
20420.51
(1.12)
Index Futures
FUTURES
INDEX
Index
13743.12
14549.00
(805.88)
3564136
88462.80
(1.17)
79,96,803
184314.87
21.37
OPTIONS
Options
STOCK
11,67,051
31516.36
39.23
3075.73
3089.15
(13.42)
1816091
49913.77
0.62
Stock Futures
FUTURES
STOCK
Stock
3151.80
3327.32
(175.53)
121373
3306.38
5.92
8,65,958
23690.9
80.98
OPTIONS
Options
21969.76
21708.41
261.34
6395244
162103.46
(0.53)
1,05,79,073
254721.53
27.06
Total
Total
Nifty Spot = 8529.45
Lot Size = 25
Bull-Call Spreads
Bear-Put Spreads
Action
Strike Price
Risk
Reward BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8500
91.30
Buy
8500
50.75
50.45
49.55
8550.45
26.70
73.30
8473.30
Sell
8600
40.85
Sell
8400
24.05
Buy
8500
91.30
Buy
8500
50.75
77.05
122.95
8577.05
39.50
160.50
8460.50
Sell
8700
14.25
Sell
8300
11.25
Buy
8600
40.85
Buy
8400
24.05
26.60
73.40
8626.60
12.80
87.20
8387.20
Sell
8700
14.25
Sell
8300
11.25
Note: Above mentioned Bullish or Bearish Spreads in Nifty (July Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Derivative Report
July 22,
2015
Strategy Date
Symbol
Strategy
Status
June 29, 2015
LT
Ratio Bear Put Spread
Active
July 06, 2015
RELIANCE
Ratio Bull Call Spread
Active
July 13, 2015
HINDUNILVR
Long Put Ladder
Active
July 20, 2015
TATASTEEL
Ratio Bull Call Spread
Active
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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