Derivative Report
Sept 25, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 2.92% while
BankNifty futures open interest has increased by 7.09%
as market closed at 8002.40 levels.
The Nifty September future closed at premium of 12.80
point against a premium of 14.65 points. The October
series closed at a premium of 59.85 points.
The Implied Volatility of at the money options has
decreased from 13.53% to 12.51%.
Nifty PCR-OI has decreased from 0.89 to 0.87 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 large cap stocks where we have seen high
rollovers are GRASIM, MARUTI, HDFCBANK, HINDALCO
and RANBAXY.
OI Gainers
View
OI
PRICE
Yesterday after coal verdict Nifty plunged to 7950
SCRIP
OI
CHANGE
PRICE
CHANGE
levels but recoved in the end and closed nearly 15
(%)
(%)
points down; FIIs also participated in this fall, they
sold of worth Rs. 793 crores in cash market segment.
UNIONBANK
9376000
20.61
205.25
-1.89
In Index Futures they were net seller with rise in open
RELINFRA
6845500
18.45
636.40
0.39
interest indicating short formation in last trading
session.
LT
9230500
17.20
1464.00
-1.89
BHARATFORG
4805000
16.03
794.60
-4.71
In Index Options they sold of worth Rs. 977 crores
with rise in open interest which suggests formations
ICICIBANK
10169000
14.01
1516.40
-1.41
of short positions. PCR-OI decreased further due to
huge amount of open interest addition in call
OI Losers
options, while IV’s also declined which indicates
shorting in call options. We saw 8000-8100 strike
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
prices of call options adding good amount of open
(%)
(%)
interest which in majority is short formations by FIIs.
On the other hand in put options 8050 & 8100 strike
DLF
27894000
-15.48
159.60
2.12
price witnessed some profit booking. Maximum
ADANIPOWER
53040000
-15.27
46.70
-1.99
buildup in current series is seen in 8200 call options
and of put options still remains at 8000 strike price.
UNITECH
157267000
-14.76
20.15
-7.97
Rollover in NIFTY is on the higher side at 61.72% and
HDIL
20744000
-11.68
88.70
-0.67
that of BANKNIFTY is on the lower side at 42.71%.
ORIENTBANK
5402000
-9.97
254.00
-3.31
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.87
0.98
GMRINFRA
84.25
BANKNIFTY
0.68
0.84
HINDUNILVR
22.72
RELIANCE
0.34
0.38
JINDALSTEL
82.25
SBIN
0.50
0.68
COALINDIA
40.43
LT
0.41
0.69
BHARATFORG
48.43
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Derivative Report
Sept 25, 2014
FII Statistics for 24-Sept-2014
Turnover on 24-Sept-2014
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Contracts
Value
Change
(` in cr.)
(%)
INDEX
INDEX
5750.13
5914.07
(163.94)
404916
16251.37
3.69
6,08,502
24317.27
2.17
FUTURES
FUTURES
INDEX
INDEX
35930.11
36907.75
(977.64)
1855857
74169.89
2.08
81,88,558
329057.93
7.38
OPTIONS
OPTIONS
STOCK
STOCK
15284.73
15843.35
(558.62)
1360295
49304.20
1.47
16,83,170
62005.10
12.39
FUTURES
FUTURES
STOCK
STOCK
3596.41
3573.25
23.16
87565
3096.31
(4.69)
5,26,700
19561.32
5.07
OPTIONS
OPTIONS
TOTAL
60561.39
62238.42
(1677.03)
3708633
142821.78
1.85
TOTAL
1,10,06,937
434942.10
7.65
Nifty Spot =8002.40
Lot Size = 50
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8000
30.25
Buy
8000
18.30
27.25
72.75
8027.25
15.70
84.30
7984.30
Sell
Sell
8100
3.00
7900
2.60
Buy
Buy
8000
30.25
8000
18.30
29.65
170.35
8029.65
17.95
182.05
7982.05
Sell
8200
0.60
Sell
7800
0.35
Buy
8100
3.00
Buy
7900
2.60
2.40
97.60
8102.40
2.25
97.75
7897.75
Sell
8200
0.60
Sell
7800
0.35
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
Sept 25, 2014
Strategy Date
Symbol
Strategy
Status
02-09-2014
DLF
Long call ladder
Open.
08-09-2014
NIFTY
Long put ladder
Profit booked on 24-09-2014.
15-09-2014
HINDALCO
Short strangle
Open.
15-09-2014
NIFTY
Long put
Profit booked on 24-09-2014.
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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