Sept 29, 2014
Nifty Vs OI
The Nifty futures open interest increased by 4.39% while
BankNifty futures open interest has decreased by 1.82%
as market closed at 7968.85 levels.
The Nifty October future closed at premium of 63.05
point against a premium of 59.95 points. The November
series closed at a premium of 111.80 points.
The Implied Volatility of at the money options has
decreased from 12.51% to 12.30%.
Nifty PCR-OI has decreased from 0.86 to 0.85 levels.
The total OI of the market is Rs. 1,61,436/- cr. and the
stock futures OI is Rs. 51,737/- cr.
Few of the liquid counter stocks where we have seen high
cost of carry are IFCI, HDFCBANK, RELIANCE,
JPASSOCIAT and LUPIN.
Nifty recovered after 90 points fall on Friday. Even
though market closed on a positive note FIIs were
sold significantly, they sold of worth Rs. 1133 crores
in cash market segment. In Index Futures they were
net seller with fall in open interest indicating
unwinding of long positions formed earlier.
In Index Options they bought of worth Rs. 776 crores
with good amount of rise in open interest. PCR-OI
has decreased due to more of open interest addition
in call options while implied volatility still remains
more or less in line. We believe both long and short
formation took place on Friday’s trading session. In
call options we saw good amount of buildup in 8000
& 8200 strike price, some open interest addition was
also seen in 8300 strike price. On the other hand in
put options 7700 & 7800 strike price added decent
amount of buildup and we believe this is long
positions formed by FIIs. Maximum buildup in current
series in call options still remains at 8200 strike price
and that of put options has shifted to 7800 strike
Sept 29, 2014
FII Statistics for 26-Sept-2014
Turnover on 26-Sept-2014
Nifty Spot =7968.85
Lot Size = 50
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Oct Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
Sept 29, 2014
Research Team Tel: 022 - 39357800
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