Aug 27, 2014
Nifty Vs OI
The Nifty futures open interest increased by 0.52% while
BankNifty futures open interest has decreased by 2.12%
as market closed at 7904.75 levels.
The Nifty August future closed at premium of 2.50 point
against a premium of 9.15 points. The September series
closed at a premium of 39.55 points.
The Implied Volatility of at the money options has
decreased from 12.66% to 11.86%.
Nifty PCR-OI has decreased from 1.00 to 0.99 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 lage cap stocks where we have seen high roll-
over are NMDC, UNIONBANK, LUPIN, RELIANCE and
Yesterday Nifty was under pressure but in second half
it got covered and closed approximately flat. FIIs
were net buyer in cash market segment of worth Rs.
364 crores, while in F&O segment again they bought
in Index Futures with marginal rise in open interest
indicating mix of both long and short covering.
In Index options FIIs were net seller with marginal
change in open interest indicating blend of both short
formation and long unwinding. PCR-OI decreased
due to buildup in call options, while implied volatility
plunged in last trading session. In call options we saw
7900 & 7950 strike price adding good amount of
buildup followed by unwinding in 7800 & 8100 strike
price. On the other hand we hardly saw any
reasonable buildup in put options, majority of
addition in open interest was seen in 7850 strike
price. We also witnessed decent amount of
7900 & 7950 put options.
Maximum open interest in current series is seen in
8000 call and 7800 put options.
Roll-over in NIFTY and BANKNIFTY is 39.78% &
Aug 27, 2014
FII Statistics for 26-Aug-2014
Turnover on 26-Aug-2014
Nifty Spot =7904.75
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 27, 2014
Ratio Put Spread
Loss booked on 12-08-2014.
Ratio Bull Call Spread
Research Team Tel: 022 - 39357800
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