Sept 23, 2014
Nifty Vs OI
The Nifty futures open interest increased by 15.36% while
BankNifty futures open interest has increased by 7.37%
as market closed at 8146.30 levels.
The Nifty September future closed at premium of 12.15
point against a premium of 9.55 points. The October
series closed at a premium of 68.55 points.
The Implied Volatility of at the money options has
increased from 10.35% to 11.04%.
Nifty PCR-OI has increased from 0.97 to 1.01 levels.
The total OI of the market is Rs. 2,17,600/- cr. and the
stock futures OI is Rs. 57,562/- cr.
Few of the liquid counter stocks where we have seen high
cost of carry are NHPC, TATAGLOBAL, L&TFH, BAJAJ-
AUTO and RELIANCE.
Yesterday market opened gap down but in second
half it managed to recover from those levels and
gave a positive closing. FIIs were net seller in cash
market segment of worth Rs. 186 crores. In Index
Futures they were net buyer with significant rise in
open interest which is mainly due to expiry coming
In Index Options they were net seller with rise in open
interest which suggests formations of short positions
in last trading session. PCR-OI increased due to open
interest addition in put options, while IV’s also
increased which indicates buying in put options. We
saw 8100-8200 strike prices of put options adding
good amount of open interest which may be blend of
both long and short positions. On the other hand in
call options we hardly saw any strikes adding
reasonable amount of open interest, 8250 call option
added majority of open interest. Maximum buildup in
current series is seen in 8200 call options and of put
options still remains at 8000 strike price.
Sept 23, 2014
FII Statistics for 22-Sept-2014
Turnover on 22-Sept-2014
Nifty Spot =8146.30
Lot Size = 50
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Aug Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
Sept 23, 2014
Long call ladder
Long put ladder
Research Team Tel: 022 - 39357800
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