Derivative Report
Apr 27, 2015
Nifty Vs OI
Comments
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
JUBLFOOD.
OI Gainers
View
OI
PRICE
FII's continued to sell in both cash and future
SCRIP
OI
CHANGE
PRICE
CHANGE
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
TITAN
8520000
18.02
394.90
-1.97
unwinding of long positions formed earlier.
INFY
11885750
17.26
2001.30
-5.85
In options front, they bought of worth Rs.
315
PETRONET
4794000
13.93
165.80
-3.91
crores with rise in open interest which suggest long
UNITECH
203445000
8.87
15.70
-4.27
formation. We believe some long positions in call
options have been formed in last trading sessions
BANKBARODA
24530000
8.76
173.50
-2.91
seeing PCR-OI decreased further with IV’s
remaining higher. We saw good 8300 & 8400 call
OI Losers
options adding good amount of open interest.
While in put options some buildup was visible in
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
8000 & 8200 strikes followed by unwinding in
(%)
(%)
8400 & 8500 put options suggesting guys who
were long in these puts have squared off their
BHARATFORG
2921000
-13.19
1203.95
2.65
positions.
HDIL
16972000
-10.77
116.30
-4.24
We expect some bounce in the market assuming
NMDC
15800000
-10.69
129.30
3.52
IV’s to fall and also seeing continuous buildup in
call options. One call got long in Nifty Futures and
TATASTEEL
20257500
-9.61
370.35
0.18
avoid buying call options as IV’s are high.
COLPAL
747000
-9.01
2034.90
0.96
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.83
0.79
INFY
37.69
BANKNIFTY
0.64
0.69
BOSCHLTD
50.09
RELIANCE
0.44
0.38
TECHM
36.31
SUNPHARMA
0.44
0.41
JPASSOCIAT
54.27
INFY
0.52
0.81
PETRONET
33.80
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Derivative Report
Apr 27, 2015
FII Statistics for 24-Apr-2015
Turnover on 24-Apr-2015
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Contracts
Value
Change
(` in cr.)
(%)
INDEX
INDEX
1331.11
1861.54
(530.43)
782125
17484.69
(1.59)
7,52,209
19391.34
-20.39
FUTURES
FUTURES
INDEX
INDEX
22129.62
21813.93
315.69
3054696
74358.43
1.34
1,11,00,455
248143.09
-22.54
OPTIONS
OPTIONS
STOCK
STOCK
6062.13
5178.23
883.90
1901801
54595.78
(1.29)
11,85,009
38176.68
22.23
FUTURES
FUTURES
STOCK
STOCK
4151.56
4358.09
(206.53)
127953
3720.80
4.93
6,53,150
25430.85
60.41
OPTIONS
OPTIONS
33674.42
33211.79
462.64
5866575
150159.70
0.15
TOTAL
1,36,90,823
331141.95
-15.48
Total
Nifty Spot = 8305.25
Lot Size = 25
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8300
81.05
Buy
8300
66.45
42.00
58.00
8342.00
29.55
70.45
8270.45
Sell
Sell
8400
39.05
8200
36.90
Buy
Buy
8300
81.05
8300
66.45
62.80
137.20
8362.80
48.15
151.85
8251.85
Sell
8500
18.25
Sell
8100
18.30
Buy
8400
39.05
Buy
8200
36.90
20.80
79.20
8420.80
18.60
81.40
8181.40
Sell
8500
18.25
Sell
8100
18.30
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
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Derivative Report
Apr 27, 2015
Strategy Date
Symbol
Strategy
Status
30-03-15
ITC
Long Call Ladder
Open
06-04-15
MARUTI
Ratio Bear Put Spread
Open
13-04-15
BANKNIFTY
Short Strangle
Open
20-04-15
NIFTY
Ratio Bear Put Spread
Open
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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