Derivative Report
Sept 26, 2014
Comments
Nifty Vs OI
The Nifty futures open interest decreased by
21.72%
while BankNifty futures open interest has decreased by
29.66% as market closed at 7911.85 levels.
The Nifty October future closed at premium of 59.95
point against a premium of 59.85 points. The November
series closed at a premium of 104.85 points.
The Implied Volatility of at the money options has
decreased from 12.51% to 12.30%.
Nifty PCR-OI has decreased from 0.87 to 0.86 levels.
The total OI of the market is Rs. 1,42,164/- cr. and the
stock futures OI is Rs. 49,085/- cr.
Few of the liquid counter stocks where we have seen high
cost of carry are JPASSOCIAT, ADANIPORTS,
GODREJIND, HDFCBANK and LUPIN.
View
OI Gainers
Yesterday Nifty plunged further 90 points; FIIs also
OI
PRICE
participated in this fall, they sold of worth Rs. 851
SCRIP
OI
CHANGE
PRICE
CHANGE
crores in cash market segment. In Index Futures they
(%)
(%)
were net buyer with significant fall in open interest
due to expiry.
GLENMARK
1135500
23.09
684.15
-2.17
HDIL
22360000
7.79
80.70
-8.84
In Index Options they bought significantly of worth
Rs. 1610 crores with huge amount of fall in open
-
-
-
-
-
interest due to expiry, net buying figure suggest more
-
-
-
-
-
of buying in options. New series has again started
with low implied volatility and PCR-OI is at
0.86
-
-
-
-
-
levels. We believe implied volatility may increase
from current levels and some further pain into
OI Losers
consideration in initial part of new series one can buy
put option in bounce back. Being start of new series
OI
PRICE
buildup in options is quite scattered, in call options
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
we saw open interest addition in 8000-8200 strike
price and in that of put options was seen in the range
GAIL
2087000
-45.52
451.85
1.41
of
7500-7900 strike price. Maximum buildup in
DRREDDY
868000
-33.40
3310.40
2.35
current series in call options still remains at
8200
strike price and that of put options has shifted to
IGL
710000
-33.33
412.10
-2.91
7800 strike in October series.
INFY
3359750
-32.51
3691.00
1.52
Rollover in NIFTY and BANKNIFTY is in line 72.35%
M&M
1966000
-31.28
1353.00
-0.54
& 60.10% respectively.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.86
1.07
ALBK
80.34
BANKNIFTY
0.88
0.84
JPPOWER
96.50
RELIANCE
0.50
0.44
JPASSOCIAT
138.15
SBIN
0.35
0.39
IDBI
81.70
LT
0.45
0.38
ANDHRABANK
85.50
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Derivative Report
Sept 26, 2014
FII Statistics for 25-Sept-2014
Turnover on 25-Sept-2014
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Contracts
Value
Change
(` in cr.)
(%)
INDEX
INDEX
5278.81
5157.74
121.07
286306
11366.50
(29.29)
7,70,016
30409.93
25.05
FUTURES
FUTURES
INDEX
INDEX
22995.94
21385.64
1610.31
1278287
50537.92
(31.12)
1,02,94,029
410992.69
24.90
OPTIONS
OPTIONS
STOCK
STOCK
13139.46
14005.07
(865.61)
1171907
41261.80
(13.85)
20,03,067
72705.20
17.26
FUTURES
FUTURES
STOCK
STOCK
1051.35
1004.87
46.48
1337
45.52
(98.47)
5,05,509
18502.47
-5.41
OPTIONS
OPTIONS
TOTAL
42465.57
41553.32
912.25
2737837
103211.74
(26.18)
TOTAL
1,35,72,646
532612.00
22.46
Nifty Spot =7911.85
Lot Size = 50
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
7900
162.45
Buy
7900
89.80
52.60
47.40
7952.60
31.90
68.10
7868.10
Sell
Sell
8000
109.85
7800
57.90
Buy
Buy
7900
162.45
7900
89.80
94.15
105.85
7994.15
53.45
146.55
7846.55
Sell
8100
68.30
Sell
7700
36.35
Buy
8000
109.85
Buy
7800
57.90
41.55
58.45
8041.55
21.55
78.45
7778.45
Sell
8100
68.30
Sell
7700
36.35
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Oct Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Derivative Report
Sept 26, 2014
Strategy Date
Symbol
Strategy
Status
02-09-2014
DLF
Long call ladder
Loss booked on expiry.
08-09-2014
NIFTY
Long put ladder
Profit booked on 24-09-2014.
15-09-2014
HINDALCO
Short strangle
Loss booked on expiry.
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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