Aug 26, 2014
Nifty Vs OI
The Nifty futures open interest decreased by 1.72% while
BankNifty futures open interest has decreased by 1.23%
as market closed at 7906.30 levels.
The Nifty August future closed at premium of 9.15 point
against a premium of 14.35 points. The September
series closed at a premium of 46.05 points.
The Implied Volatility of at the money options has
increased from 11.70% to 12.66%.
Nifty PCR-OI remains unchanged at 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 ALBK, HAVELLS, POWERGRID,
DABUR and SUNPHARMA.
FIIs were net buyer in cash market segment of worth
Rs. 127 crores, while in F&O segment again they
bought in Index Futures with fall in open interest
indicating short positions formed earlier were
In Index options FIIs were net seller with rise in open
interest indicating some short formation. PCR-OI
remained unchanged while implied volatility jumped
higher. In call options we saw 8000 strike price
adding good amount of open interest followed by
unwinding in 7800 & 8100 call options. On the other
hand 7900 put options also added decent buildup
while some unwinding in 7600-7800 strike price was
witnessed yesterday. Maximum open interest in
current series is seen in 8000 call and of put options
has shifted from 7800 to 7700 strike price.
Roll-over in NIFTY and BANKNIFTY is 26.09% &
Aug 26, 2014
FII Statistics for 25-Aug-2014
Turnover on 25-Aug-2014
Nifty Spot =7906.30
Lot Size = 50
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
Aug 26, 2014
Ratio Put Spread
Loss booked on 12-08-2014.
Ratio Bull Call Spread
Research Team Tel: 022 - 39357800
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