Derivative Report
June 29, 2015
Nifty Vs OI
Comments
The Nifty futures open interest has increased by 0.32%
BankNifty futures open interest has decreased by 9.15%
as market closed at 8381.10 levels.
The Nifty July future closed at a premium of 0.55 points
against premium of 22.75 points. The August series
closed at a premium of 35.15 points.
The Implied Volatility of at the money options has
decreased from 14.53% to 14.48%.
Nifty PCR-OI has decreased from 1.03 to 1.01 levels.
The total OI of the market is Rs. 1,63,961/- cr. and the
stock futures OI is Rs. 53,864/- cr.
Few of the liquid counters where we have seen high cost
of carry are
JPASSOCIAT, IFCI,
RCOM, UBL and
JPPOWER.
View
OI Gainers
Yesterday, FII's were net buyer in cash market of
OI
PRICE
SCRIP
OI
CHANGE
PRICE
CHANGE
worth Rs. 280 crores. In Index Futures they were
(%)
(%)
net sellers of Rs. 261 crores with rise in open
interest suggesting some short formation.
SRF
374500
70.62
1208.95
6.81
In Index options front, FIIs were net buyer of Rs.
AMARAJABAT
216500
37.24
878.20
1.44
1383 crores with decent rise in open interest which
INDUSINDBK
3745500
21.40
852.20
0.31
indicates long formation. In call options buildup
was scattered in the range of 8500-9000 strikes
ORIENTBANK
5910000
19.13
175.80
-4.12
which may be blend of long and short positions.
KSCL
449000
17.69
768.75
-2.16
Whereas, in put options, 7800, 8000 and 8200
strikes added decent amount of open interest.
Maximum buildup in current series in seen in 8500
OI Losers
call and 7900 put options.
OI
PRICE
The Global data indicates market may remain in
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
pressure today. In Nifty Futures we are hardly
seeing any buying interest, huge open interest is
IGL
1019500
-9.05
416.70
3.77
accumulated in 7900 put options from start of July
APOLLOHOSP
433500
-4.83
1306.40
0.22
series. Seeing the above data we suggest to trade
with negative bias,
8450-8500 is a strong
TATACOMM
4497500
-3.77
423.35
-0.87
resistance zone for Nifty.
DRREDDY
636500
-2.92
3521.10
0.96
ASHOKLEY
50284000
-2.46
71.75
2.21
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
1.01
0.92
INDIACEM
65.40
BANKNIFTY
0.92
0.73
IGL
33.73
RELIANCE
0.56
0.53
SRF
58.44
INFY
0.53
0.43
MCLEODRUSS
45.13
TATASTEEL
0.68
0.48
RCOM
56.11
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Derivative Report
June 29, 2015
FII Statistics for 26-June 2015
Turnover on 26-June 2015
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Contracts
Value
Change
(` in cr.)
(%)
INDEX
980.96
1242.03
(261.07)
490297
11234.70
0.82
6,05,609
16157.86
-44.29
FUTURES
Index Futures
INDEX
Index
11764.29
10380.73
1383.56
2075700
54664.43
7.07
43,85,770
98925.62
-77.14
OPTIONS
Options
STOCK
2100.57
1979.66
120.91
1612800
43816.48
0.86
8,15,203
21656.75
-64.86
FUTURES
Stock Futures
STOCK
Stock
1151.71
984.23
167.48
37483
983.35
896.09
3,05,779
8265.01
-41.67
OPTIONS
Options
15997.53
14586.66
1410.88
4216280
110698.95
4.68
61,12,361
145005.24
-73.03
Total
Total
Nifty Spot = 8381.10
Lot Size = 25
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8400
140.85
Buy
8400
158.85
46.15
53.85
8446.15
41.15
58.85
8358.85
Sell
Sell
8500
94.70
8300
117.70
Buy
Buy
8400
140.85
8400
158.85
80.90
119.10
8480.90
73.30
126.70
8326.70
Sell
8600
59.95
Sell
8200
85.55
Buy
8500
94.70
Buy
8300
117.70
34.75
65.25
8534.75
32.15
67.85
8267.85
Sell
8600
59.95
Sell
8200
85.55
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
June 29, 2015
Strategy Date
Symbol
Strategy
Status
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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