Apr 27, 2015
Nifty Vs OI
The Nifty futures open interest has decreased by 1.91%
BankNifty futures open interest has increased by 6.10%
as market closed at 8305.25 levels.
The Nifty April future closed at premium of 13.55 points
against a premium of 7.05 points. The May series closed
at a premium of 66.80 points.
The Implied Volatility of at the money options has
increased from 17.44% to 17.46%.
Nifty PCR-OI has decreased from 0.86 to 0.83 levels.
The total OI of the market is Rs. 2,50,162/- cr. and the
stock futures OI is Rs. 69,069/- cr.
Few of the liquid counters where we have seen high cost
of carry are HDIL, CANBK, POWERGRID, JUSTDIAL and
FII's continued to sell in both cash and future
market, yesterday they sold Rs. 775 crores of equity
cash, whereas they shorted Rs 530 crores of Index
futures with fall in open interest indicating
unwinding of long positions formed earlier.
In options front, they bought of worth Rs.
crores with rise in open interest which suggest long
formation. We believe some long positions in call
options have been formed in last trading sessions
seeing PCR-OI decreased further with IV’s
remaining higher. We saw good 8300 & 8400 call
options adding good amount of open interest.
While in put options some buildup was visible in
8000 & 8200 strikes followed by unwinding in
8400 & 8500 put options suggesting guys who
were long in these puts have squared off their
We expect some bounce in the market assuming
IV’s to fall and also seeing continuous buildup in
call options. One call got long in Nifty Futures and
avoid buying call options as IV’s are high.
Apr 27, 2015
FII Statistics for 24-Apr-2015
Turnover on 24-Apr-2015
Nifty Spot = 8305.25
Lot Size = 25
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Apr Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
Apr 27, 2015
Long Call Ladder
Ratio Bear Put Spread
Ratio Bear Put Spread
Research Team Tel: 022 - 39357800
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