Derivative Report
August 25, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 35.97%
BankNifty futures open interest has decreased by 1.00% as
market closed at 7809.00 levels.
The Nifty August future closed at a discount of 2.65 points
against premium of 6.40 points. The September series
closed at a premium of 35.55 points.
The Implied Volatility of at the money options has
increased from 15.35% to 35.25%.
Nifty PCR-OI has decreased from 0.88 to 0.76 levels.
The total OI of the market is Rs. 2,60,249/- cr. and the
stock futures OI is Rs. 64,421/- cr.
Few of the liquid counters where we have seen high cost of
carry are JPPOWER, INDIACEM, JISLJALEQS, BHARTIARTL
and PFC.
View
OI Gainers
Yesterday Nifty crashed nearly 500 points due to
OI
PRICE
global destruction. FIIs sold heavily in cash
SCRIP
OI
CHANGE
PRICE
CHANGE
segment of worth Rs. 5275 crores. While in Index
(%)
(%)
Futures they were net sellers of Rs. 411 crores with
IOB
19280000
41.02
34.55
-8.60
significant rise in OI. These OI additions are
because of short getting rolled plus further addition
BAJAJ-AUTO
2129875
28.32
2190.75
-8.84
of shorts ands longs in September series.
BHARTIARTL
20684000
17.91
350.25
-5.43
In Index Options, they sold to the tune of Rs.633
BOSCHLTD
334375
16.25
22473.95
-7.14
crores with rise OI which indicates fresh shorting
yesterday. We saw significant OI addition in 7900-
TCS
4182375
14.87
2583.45
-3.56
8200 call options, followed by unwinding in 8500-
8700 strikes. On the other hand, in put options, we
saw decent build-up in 7500-7700 strikes. Huge
OI Losers
amount of unwinding was visible in 8000-8300 put
OI
PRICE
options. Maximum OI is seen in 8400 call and
SCRIP
OI
CHANGE
PRICE
CHANGE
8300 put options.
(%)
(%)
AMARAJABAT
264500
-32.87
987.25
-8.38
From past few days, we are witnessing continuous
long unwinding and fresh selling pressure in Index
OIL
441000
-29.50
427.10
-6.58
Futures. Seeing the quantum of unwinding, we
CEATLTD
1233000
-24.05
1023.95
-12.31
believe, we may see further pain in Nifty. We
suggest not doing any bottom fishing in this market
PIDILITIND
1049000
-23.07
546.25
-3.47
even if we see bounce in current series.
HEXAWARE
8808000
-20.91
223.65
-13.86
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.76
0.89
WOCKPHARMA
122.33
BANKNIFTY
0.52
0.54
NHPC
51.72
RELIANCE
0.33
0.30
BIOCON
63.33
SBIN
0.38
0.47
PFC
78.74
TATAMOTORS
0.39
0.60
INDIACEM
105.48
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Derivative Report
August 25, 2015
FII Statistics for 24-August 2015
Turnover on 24-August 2015
Open Interest
Turnover
No. of
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Value
Change
Contracts
(` in cr.)
(%)
INDEX
8787.90
9199.55
(411.65)
886260
18749.43
44.70
20,95,165
48636.87
94.14
Index Futures
FUTURES
INDEX
Index
45216.71
45850.48
(633.77)
3403612
81979.81
7.65
1,92,61,939
416627.74
24.60
OPTIONS
Options
STOCK
12617.06
11402.65
1214.41
2032549
49420.71
2.24
24,03,998
62633.64
84.90
Stock Futures
FUTURES
STOCK
Stock
4855.76
5025.19
(169.43)
164020
3976.75
5.59
8,30,290
23233.91
22.35
OPTIONS
Options
71477.43
71477.87
(0.44)
6486441
154126.71
9.62
2,45,91,392
551132.17
33.68
Total
Total
Nifty Spot = 7809.00
Lot Size = 25
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
7800
122.90
Buy
7800
120.90
49.30
50.70
7849.30
39.75
60.25
7760.25
Sell
7900
73.60
Sell
7700
81.15
Buy
7800
122.90
Buy
7800
120.90
82.15
117.85
7882.15
57.15
142.85
7742.85
Sell
8000
40.75
Sell
7600
63.75
Buy
7900
73.60
Buy
7700
81.15
32.85
67.15
7932.85
17.40
82.60
7682.60
Sell
8000
40.75
Sell
7600
63.75
Note: Above mentioned Bullish or Bearish Spreads in Nifty (August Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Derivative Report
August 25, 2015
Strategy Date
Symbol
Strategy
Status
August 03, 2015
HINDALCO
Bear Put Spread
Profit Booked on 12th August 2015
August 10, 2015
BANKNIFTY
Long Strangle
Profit Booked on 12th August 2015
August 17, 2015
NIFTY
Ratio Bear Put Spread
Loss Booked on 24th August 2015
August 24, 2015
LT
Long Put
Did Not Triggered
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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