Derivative Report
Jan 28, 2015
Nifty Vs OI
Comments
The Nifty futures open interest increased by 8.14% levels
BankNifty futures open interest has increased by 23.42%
as market closed at 8910.50 levels.
The Nifty January future closed at premium of 12.15
points against a premium of 8.80 points. The February
series closed at a premium of 76.75 points.
The Implied Volatility of at the money options has
increased from 12.88% to 16.77%.
Nifty PCR-OI has increased from 1.31 to 1.37 levels.
The total OI of the market is Rs. 2,54,327/- cr. and the
stock futures OI is Rs. 68,980/- cr.
Few of the liquid counters where we have seen high cost
of carry are DISHTV, JPPOWER, SRTRANSFIN, STAR and
GODREJIND.
View
OI Gainers
FIIs continue buying in cash market segment; they
were net buyers of worth Rs. 953 crores. In Index
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
Futures again they bought of Rs. 1731 crores with
(%)
(%)
rise in open interest suggesting long formations in
last trading session.
KOTAKBANK
5715750
23.17
1388.35
0.27
In Index Options they bought of worth Rs. 624 crores
AMBUJACEM
6714000
21.92
250.20
-1.05
with marginal rise in open interest indicating blend of
INFY
9617000
20.48
2136.50
-3.21
short covering and long formation. PCR-OI increased
mainly due to open interest addition in put options,
SRTRANSFIN
1440000
20.10
1101.65
1.62
while implied volatility also increased on the closing
SIEMENS
1950500
19.44
1064.25
2.24
basis. We witness significant amount of open interest
addition in 8800 & 8900 put option, which may be
short formations in the hopes market to continue it up
OI Losers
move. Decent amount of unwinding was also seen in
OI
PRICE
the range of 8400-8600 put options. On the other
SCRIP
OI
CHANGE
PRICE
CHANGE
hand in call options some open interest addition was
(%)
(%)
seen in
9000 strike price which may be long
UNIONBANK
6601000
-15.40
238.15
-5.89
positions, unwinding in lower strikes 8400-8800 was
also visible in last trading session.
EICHERMOT
208000
-13.15
16089.25
5.86
COLPAL
595750
-9.67
1926.45
0.44
Seeing FIIs continuously pouring of liquidity in our
market we believe Nifty will show further strength.
HINDUNILVR
8719500
-6.84
941.95
-2.17
Rollover in Nifty and BankNifty is at
43.74% &
MINDTREE
428250
-6.34
1305.90
-1.10
35.73% respectively.
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.37
1.17
EICHERMOT
39.03
BANKNIFTY
2.06
1.17
BOSCHLTD
43.08
RELIANCE
0.61
0.78
DRREDDY
33.82
INFY
1.36
0.59
PTC
42.46
BANKBARODA
0.82
0.73
AXISBANK
41.01
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Derivative Report
Jan 28, 2015
FII Statistics for 27-Jan-2015
Turnover on 27- Jan -2015
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Contracts
Value
Change
(` in cr.)
(%)
INDEX
INDEX
10731.42
8999.73
1731.69
1063069
26504.74
9.57
11,96,077
31596.54
63.36
FUTURES
FUTURES
INDEX
INDEX
21737.99
21113.89
624.09
2977452
79997.56
0.17
1,10,56,815
266503.81
-0.69
OPTIONS
OPTIONS
STOCK
STOCK
22841.24
23598.22
(756.97)
1912609
58807.02
5.09
23,22,895
74840.99
71.96
FUTURES
FUTURES
STOCK
STOCK
3087.24
3264.12
(176.88)
114440
3883.74
1.46
5,16,147
18132.32
-5.66
OPTIONS
OPTIONS
TOTAL
58397.89
56975.96
1421.92
6067570
169193.06
3.27
TOTAL
1,50,91,941
391074.59
11.60
Nifty Spot =8910.50
Lot Size = 50
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8900
56.40
Buy
8900
34.40
42.50
57.50
8942.50
22.95
77.05
8877.05
Sell
Sell
9000
13.90
8800
11.45
Buy
Buy
8900
56.40
8900
34.40
53.60
146.40
8953.60
30.30
169.70
8869.70
Sell
9100
2.80
Sell
8700
4.10
Buy
9000
13.90
Buy
8800
11.45
11.10
88.90
9011.10
7.35
92.65
8792.65
Sell
9100
2.80
Sell
8700
4.10
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Jan Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Derivative Report
Jan 28, 2015
Strategy Date
Symbol
Strategy
Status
29-12-2014
NIFTY
Long Put
Loss booked on 02-01-2015.
05-01-2014
NIFTY
Ratio Put Spread
Open.
12-01-2015
ITC
Short Straddle
Open.
19-01-2015
ICICIBANK
Ratio Put Spread
Open.
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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