September 22, 2015
Nifty Vs OI
The Nifty futures open interest has increased by 4.13%
BankNifty futures open interest has increased by 6.27% as
market closed at 7977.10 levels.
The Nifty September future closed at a premium of 2.95
points against a premium of 0.65 point. The October
series closed at a premium of 40.90 points.
The Implied Volatility of at the money options has
decreased from 18.53% to 17.88%.
Nifty PCR-OI has decreased from 1.00 to 0.99 levels.
The total OI of the market is Rs. 2,47,880/- cr. and the
stock futures OI is Rs. 62,454/- cr.
Few of the liquid counters where we have seen high cost of
carry are UNITECH, JPPOWER, JSWENERGY, IDFC and
FIIs were net buyer in cash market segment to the
tune of Rs. 155 crores. In Index Futures they sold
significantly of Rs. 1836 with good amount of rise
in OI, suggesting fresh short formation in last
In Index Options front, they bought of Rs. 1925
crores with some rise in OI. In call options, we saw
fresh build-up in 7900, 8000 and 8300 strikes.
While decent amount of unwinding was seen in
7800 call option. On the other hand in put
options, 7900 strike added decent OI, followed by
unwinding in out the money put strikes 7500-
7600. Maximum OI is seen in 8000 call and 7800
FII’s yesterday again added meaningful shorts in
Index Futures which suggests further pain. We
would stick to our view, that it’s a sell on rise
market. Avoid forming fresh longs in Index.
Roll-over in Nifty and BankNifty is
September 22, 2015
FII Statistics for 21-September 2015
Turnover on 21-September 2015
Nifty Spot = 7977.10
Lot Size = 25
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Sept. Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
September 22, 2015
August 31, 2015
September 07, 2015
September 14, 2015
Ratio Bull Call Spread
Booked Profit on Sept 21, 2015
September 21, 2015
Ratio Bear Put Spread
Research Team Tel: 022 - 39357800
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