June 25, 2015
Nifty Vs OI
The Nifty futures open interest has increased by 12.65%
BankNifty futures open interest has decreased by 4.68%
as market closed at 8360.85 levels.
The Nifty June future closed at a discount of 10.55 points
against discount of 4.15 points. The July series closed at
a premium of 8.50 points.
The Implied Volatility of at the money options has
increased from 14.23% to 19.32%.
Nifty PCR-OI has decreased from 1.17 to 1.15 levels.
The total OI of the market is Rs. 2,51,934/- cr. and the
stock futures OI is Rs. 65,423/- cr.
Few of the liquid counters where we have seen high cost
of carry are SOUTHBANK, UNITECH, RCOM,
ADANIPOWER and BANKBARODA.
Yesterday, FII's activity in cash market segment was
subdued. Whereas, they bought index futures worth
Rs 1490 crores with significant rise in open interest,
suggesting fresh long formation from last two
In Index options front, FIIs continue to buy of Rs.
743 crores with some rise in open interest
indicating long formation. We saw good amount of
8350 call options, followed by
unwinding in 8000, 8200 and 8300 call options.
Whereas, in put options, 8350 strike added decent
open interest. We have also witnessed heavy
unwinding in 8100-8300 put option. Maximum
buildup in current series in seen in 8500 call and
8200 put options.
Rollover in Nifty and BankNifty is on the higher
side at 45.89% & 26.26% respectively.
Seeing yesterday’s options data we believe some
long straddle was formed in Nifty. We believe Nifty
may be volatile in today’s trading session. Those
who are long in Nifty can hold on to their longs as
FIIs have started showing buying interest in Nifty.
June 25, 2015
FII Statistics for 24-June 2015
Turnover on 24-June 2015
Nifty Spot = 8360.85
Lot Size = 25
Note: Above mentioned Bullish or Bearish Spreads in Nifty (June Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
June 25, 2015
June 01, 2015
Ratio Bull Call Spread
June 08, 2015
Ratio Bull Call Spread
June 15, 2015
June 22, 2015
Ratio Bear Put Spread
Research Team Tel: 022 - 39357800
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