Derivative Report
Aug 25, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 1.01% while
BankNifty futures open interest has increased by 5.81%
as market closed at 7913.20 levels.
The Nifty August future closed at premium of 14.35 point
against a premium of 12.05 points. The September
series closed at a premium of 48.75 points.
The Implied Volatility of at the money options has
increased from 11.07% to 11.70%.
Nifty PCR-OI has decreased from 1.01 to 1.00 levels.
The total OI of the market is Rs. 2,21,631/- cr. and the
stock futures OI is Rs. 58,508/- cr.
Few of the liquid counters stocks where we have seen
high cost of carry are SUNTV, BPCL, RCOM, ALBK and
JUSTDIAL.
View
OI Gainers
OI
PRICE
Friday Nifty moved in a range of 20-30 points and
SCRIP
OI
CHANGE
PRICE
CHANGE
closed on a positive note above 7900 mark. FIIs were
(%)
(%)
net buyer in cash market segment of worth Rs. 302
crores, while in F&O segment again they bought in
BPCL
4556000
17.51
685.40
2.89
Index Futures with some rise in open interest
TITAN
7034000
16.94
366.95
5.75
indicating fresh long positions.
HDFC
7334000
14.16
1064.40
-0.76
In Index options FIIs were net buyer with rise in open
interest indicating long formation. PCR-OI decreased
SUNTV
2839000
11.12
368.60
-1.12
with some rise in open interest which suggests buying
HINDPETRO
9159000
10.54
467.45
4.31
in call options.
8100 call options added some
buildup followed by unwinding in 7900 strike price.
OI Losers
On the other hand 7900 put options also added
decent amount of buildup and we believe FIIs are
OI
PRICE
going long in these put strikes last 3-4 trading
SCRIP
OI
CHANGE
PRICE
CHANGE
sessions. Maximum open interest in current series is
(%)
(%)
seen in 8000 call and of put options has shifted from
MCDOWELL-N
3197375
-17.29
2410.20
0.39
7700 to 7800 strike price.
ORIENTBANK
5762000
-9.86
280.40
2.71
Roll-over in NIFTY and BANKNIFTY is 18.68% &
GAIL
2876000
-8.64
433.05
-0.18
15.35% respectively.
IGL
1144000
-8.26
371.15
-0.84
VOLTAS
6862000
-7.97
237.30
-1.10
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.00
1.07
TECHM
25.53
BANKNIFTY
1.02
0.84
UPL
44.04
SBIN
0.63
0.52
HCLTECH
31.38
RELIANCE
0.44
0.36
HDFCBANK
22.91
AXISBANK
0.67
0.65
SBIN
32.23
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Derivative Report
Aug 25, 2014
FII Statistics for 22-Aug-2014
Turnover on 22-Aug-2014
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Contracts
Value
Change
(` in cr.)
(%)
INDEX
INDEX
1888.99
1440.44
448.55
299442
11870.96
2.73
2,96,821
11742.95
-17.49
FUTURES
FUTURES
INDEX
INDEX
10524.60
10138.41
386.19
1749778
69230.11
1.98
37,68,032
14889.70
-91.83
OPTIONS
OPTIONS
STOCK
STOCK
4288.10
3991.54
296.56
1384764
50820.31
(0.17)
8,28,827
32542.84
2.55
FUTURES
FUTURES
STOCK
STOCK
2610.21
2717.31
(107.09)
87114
3276.81
4.04
4,27,036
16585.30
6.14
OPTIONS
OPTIONS
TOTAL
19311.90
18287.70
1024.20
3521098
135198.18
1.23
TOTAL
53,20,716
209760.78
-14.00
Nifty Spot =7913.20
Lot Size = 50
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
7900
58.75
Buy
7900
33.65
41.65
58.35
7941.65
22.75
77.25
7877.25
Sell
Sell
8000
17.10
7800
10.90
Buy
Buy
7900
58.75
7900
33.65
55.85
144.15
7955.85
28.80
-28.80
7871.20
Sell
8100
2.90
Sell
7900
4.85
Buy
8000
17.10
Buy
7800
10.90
14.20
85.80
8014.20
6.05
-106.05
7793.95
Sell
8100
2.90
Sell
7900
4.85
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
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Derivative Report
Aug 25, 2014
Strategy Date
Symbol
Strategy
Status
04-08-2014
BANKNIFTY
Ratio Put Spread
Open
11-08-2014
NIFTY
Long Put
Loss booked on 12-08-2014.
18-08-2014
BHEL
Ratio Bull Call Spread
Open
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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