June 30, 2015
Nifty Vs OI
The Nifty futures open interest has increased by 9.69%
BankNifty futures open interest has increased by 2.32%
as market closed at 8318.40 levels.
The Nifty July future closed at a premium of 0.75 points
against premium of 0.55 points. The August series closed
at a premium of 35.75 points.
The Implied Volatility of at the money options has
increased from 14.48% to 15.84%.
Nifty PCR-OI has increased from 1.01 to 1.06 levels.
The total OI of the market is Rs. 1,71,896/- cr. and the
stock futures OI is Rs. 53,953/- cr.
Few of the liquid counters where we have seen high cost
of carry are BEL, UBL, GMRINFRA, ADANIPOWER and
Yesterday, FII's were net sellers in cash market
segment of worth Rs. 711 crores. In Index Futures
they were net buyers of Rs.
547 crores with
significant rise in open interest suggesting mix of
both long and short positions.
In Index options front, FIIs bought significantly of
Rs. 1791 crores with decent rise in open interest
which indicates long formation. PCR-OI increased
with rise in implied volatility which suggests buying
in put options. In call options we saw open interest
addition in the range of 8200-8400 and 8600
strikes which may be blend of long and short
positions. Whereas, in put options, buildup up was
scattered in the broader range of 7500-8200 strike
price. Maximum buildup in current series in seen in
8500 call and 7900 put options.
The above data indicates mix positions in Index
Futures with significant buying of put options from
last two trading session. Till we don’t see
reasonable buying in Index Futures we would
suggest not to go long in Nifty at current levels and
trade stock specific.
June 30, 2015
FII Statistics for 29-June 2015
Turnover on 29-June 2015
Nifty Spot = 8318.40
Lot Size = 25
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
June 30, 2015
June 29, 2015
Ratio Bear Put Spread
Research Team Tel: 022 - 39357800
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