Apr 24, 2015
Nifty Vs OI
The Nifty futures open interest has decreased by 3.20%
BankNifty futures open interest has decreased by 2.80%
as market closed at 8398.30 levels.
The Nifty April future closed at premium of 7.05 points
against a premium of 31.50 points. The May series
closed at a premium of 58.35 points.
The Implied Volatility of at the money options has
decreased from 17.50% to 17.44%.
Nifty PCR-OI has increased from 0.85 to 0.86 levels.
The total OI of the market is Rs. 2,48,302/- cr. and the
stock futures OI is Rs. 70,005/- cr.
Few of the liquid counters where we have seen high cost
of carry are MRF, JPPOWER, NHPC, HINDZINC and
FIIs cash market selling continued but quantum
yesterday was far less. In FNO segment too their
activity was not much apart from further long
unwinding in index futures.
In options segment we saw significant built-up in
8300 put and some built-up was visible in 8500
call. Interestingly implied volatility has kept rising
so far and is near union budget level.
We continue to maintain our stance this is sell on
rise market but for time being looking at the data
we suggest to hold on to short strangles for more
Rollover have not picked at all with NIFTY rolls at
10% and that of BANKNIFTY at 12%. We may have
volatile last week of April series.
Apr 24, 2015
FII Statistics for 23-Apr-2015
Turnover on 23-Apr-2015
Nifty Spot = 8398.30
Lot Size = 25
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Apr Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
Apr 24, 2015
Long Call Ladder
Ratio Bear Put Spread
Ratio Bear Put Spread
Research Team Tel: 022 - 39357800
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