May 27, 2015
Nifty Vs OI
The Nifty futures open interest has increased by 5.73%
BankNifty futures open interest has increased by 4.84%
as market closed at 8339.35 levels.
The Nifty May future closed at discount of 1.45 points
against a discount of 1.80 points. The June series closed
at a premium of 16.00 points.
The Implied Volatility of at the money options has
increased from 15.59% to 16.20%.
Nifty PCR-OI has decreased from 1.03 to 0.99 levels.
The total OI of the market is Rs. 2,41,805/- cr. and the
stock futures OI is Rs. 65,496/- cr.
Few of the liquid counters where we have seen high cost
of carry are JPASSOCIAT, MRF, GMRINFRA, BHEL and
FII's activity in cash market segment was subdued.
In Index Futures they bought of worth Rs.
crores with significant rise in open interest which
suggests blend of long and short positions.
In options front, FIIs were net sellers of Rs.
crores with rise in open interest which indicates
some short formation. PCR-OI decreased further
with rise in implied volatility suggesting buying in
call options. We saw good amount of buildup in
8350 & 8400 call options which may be blend of
long and short positions, followed by unwinding in
8500 & 8600 strikes. Whereas in put options 8200
strike added decent amount of open interest, while
unwinding was visible in the range of 8300-8500
put options. Maximum buildup in current series in
seen in 8500 call and 8300 put options
Roll-over in Nifty is on the lower side at 38.75%
and of BankNifty is on the higher side at 34.26%.
Seeing global clues we believe market may show
weakness in today’s trading session but we don’t
expect Nifty to correct more than 100-150 points.
May 27, 2015
FII Statistics for 26-May 2015
Turnover on 26-May 2015
Nifty Spot = 8339.35
Lot Size = 25
Note: Above mentioned Bullish or Bearish Spreads in Nifty (May Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
May 27, 2015
Bull Call Spread
Bull Call Spread
Ratio Bear Put Spread
Research Team Tel: 022 - 39357800
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