Derivative Report
July 29,
2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 5.98%
BankNifty futures open interest has increased by 6.86%
as market closed at 8337.00 levels.
The Nifty July future closed at a premium of 13.95 points
against premium of 11.80 points. The August series
closed at a premium of 56.05 points.
The Implied Volatility of at the money options has
decreased from 16.19% to 15.90%.
Nifty PCR-OI has decreased from 0.92 to 0.90 levels.
The total OI of the market is Rs. 2,72,799/- cr. and the
stock futures OI is Rs. 71.505/- cr.
Few of the liquid counters where we have seen high cost
of carry are UNITECH, GLENMARK, TVSMOTOR, PNB and
IFCI.
View
OI Gainers
Yesterday, FIIs were net sellers in both cash market
OI
PRICE
and in Index Futures. They sold equities of worth
SCRIP
OI
CHANGE
PRICE
CHANGE
Rs. 1375 crores and in Index Futures they sold
(%)
(%)
marginally of Rs.
119 crores with significant
DISHTV
41448000
24.27
113.15
-4.19
change in open interest. This suggests blend of
long and short formation in last trading session.
BHARTIARTL
14210000
19.87
410.80
-1.92
In Index options front, FIIs bought of Rs.
659
HINDZINC
3076000
15.99
156.30
-4.46
crores with some rise in open interest. We saw
BOSCHLTD
360000
13.48
23063.00
-0.14
significant amount of buildup in the range of
PFC
9879000
13.06
246.35
-2.82
8300-8450 call options which may be long
positions. Whereas, in put options, decent buildup
OI Losers
was seen in 8250 & 8400 strikes, we continue to
witness huge unwinding in
8500 put option.
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
Maximum buildup in current series has shifted to
(%)
(%)
8400 call and 8300 put options.
HINDPETRO
11150500
-19.77
932.90
1.48
Seeing the overall data, we would suggest not
CEATLTD
2516500
-12.50
816.25
3.57
going short in Nifty and being stock specific.
Rollover in Nifty and BankNifty is on the higher
ORIENTBANK
6589000
-9.76
162.00
0.43
side at 40.40% & 37.17% respectively and we
AMBUJACEM
7422000
-8.67
230.75
-1.58
believe these are mostly longs.
AMARAJABAT
302000
-8.42
864.45
2.39
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.90
0.86
SYNDIBANK
58.66
BANKNIFTY
0.75
0.73
NMDC
39.46
INFY
0.86
0.67
HINDZINC
30.49
RELIANCE
0.51
0.44
GLENMARK
34.30
TATASTEEL
0.28
0.43
PNB
43.63
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Derivative Report
July 29,
2015
FII Statistics for 28-July 2015
Turnover on 28-July 2015
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Value
Change
Contracts
(` in cr.)
(%)
INDEX
9,71,111
24335.55
8.48
6972.97
7092.60
(119.64)
1012515
22855.92
10.49
Index Futures
FUTURES
INDEX
Index
22569.76
21910.41
659.34
3848683
93681.74
1.18
1,29,02,335
300054.98
-6.23
OPTIONS
Options
STOCK
21,66,350
60557.86
27.68
15048.67
15455.18
(406.51)
1959035
53072.40
2.74
Stock Futures
FUTURES
STOCK
Stock
2987.89
3013.86
(25.97)
144580
3792.99
0.25
6,43,871
19451.29
4.18
OPTIONS
Options
47579.28
47472.06
107.23
6964813
173403.04
2.86
1,66,83,671
404400.06
-1.01
Total
Total
Nifty Spot = 8337.00
Lot Size = 25
Bull-Call Spreads
Bear-Put Spreads
Action
Strike Price
Risk
Reward BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8400
23.95
Buy
8300
21.20
18.40
81.60
8418.40
16.35
83.65
8283.65
Sell
8500
5.55
Sell
8200
4.85
Buy
8400
23.95
Buy
8300
21.20
22.45
177.55
8422.45
20.05
179.95
8279.95
Sell
8600
1.50
Sell
8100
1.15
Buy
8500
5.55
Buy
8200
4.85
4.05
95.95
8504.05
3.70
96.30
8196.30
Sell
8600
1.50
Sell
8100
1.15
Note: Above mentioned Bullish or Bearish Spreads in Nifty (July Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Derivative Report
July 29,
2015
Strategy Date
Symbol
Strategy
Status
June 29, 2015
LT
Ratio Bear Put Spread
Active
July 06, 2015
RELIANCE
Ratio Bull Call Spread
Active
July 13, 2015
HINDUNILVR
Long Put Ladder
Active
July 20, 2015
TATASTEEL
Ratio Bull Call Spread
Active
July 27, 2015
NIFTY
Ratio Bull Call Spread
Active
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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