Derivative Report
July 31, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 8.29% while
BankNifty futures open interest has decreased by 0.11%
as market closed at 7791.40 levels.
The Nifty July future closed at discount of 3.10 point
against a discount of 5.45 points. The August series
closed at a premium of 33.75 points.
The Implied Volatility of at the money options has
increased from 11.67% to 12.63%.
Nifty PCR-OI has increased from 0.91 to 0.99 levels.
The total OI of the market is Rs. 2,18,833/- cr. and the
stock futures OI is Rs. 57,347/- cr.
Few of the large caps stocks where we have seen low
roll-over are IGL, M&M, APOLLOHOSP, JUSTDIAL and
SRTRANSFIN.
OI Gainers
View
OI
PRICE
Yesterday market from the low of 7707 bounced
SCRIP
OI
CHANGE
PRICE
CHANGE
back and closed on positive note. FIIs sold in cash
(%)
(%)
market segment, they were net seller of worth Rs. 381
LT
8235250
41.94
1524.10
-6.98
crores. In F&O segment interestingly we saw fresh
long formation in last trading session.
HEROMOTOCO
1162250
29.23
2602.35
2.35
BHARTIARTL
14580000
25.96
373.15
4.91
In Index options FIIs were net buyer with rise in open
interest indicating fresh long formation. Yesterday
SBIN
6131375
24.43
2469.50
-0.74
PCR-OI increased with rise in implied volatility
HINDALCO
32020000
19.45
192.60
2.42
indicating buying in put option, 7750 strike price of
put options showed huge buildup and we believe
these are long positions by FIIs to hedge their long
OI Losers
positions in Futures. In call options we saw significant
OI
PRICE
unwinding in the range of 7600-7900 which may be
SCRIP
OI
CHANGE
PRICE
CHANGE
profit booking. Maximum buildup in current series is
(%)
(%)
witnessed in 8000 call and 7700 put options.
IGL
1003000
-16.69
369.90
0.64
Roll-over in Nifty and BankNifty is 52.73% & 43.77%
ZEEL
4892000
-7.54
295.15
2.54
respectively.
UPL
8108000
-6.70
324.25
4.26
RECLTD
4971000
-6.67
310.50
3.24
INDIACEM
14544000
-5.68
103.95
4.26
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.99
0.97
LT
46.90
BANKNIFTY
1.05
0.92
ARVIND
84.10
AXISBANK
0.84
0.77
BHARTIARTL
37.18
RELIANCE
0.39
0.45
LUPIN
33.89
SBIN
0.47
0.51
IDEA
43.70
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Derivative Report
July 31, 2014
FII Statistics for 30-July-2014
Turnover on 30-July-2014
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Contracts
(` in cr.)
(%)
Contracts
Value
Change
(` in cr.)
(%)
INDEX
INDEX
7946.98
7308.29
638.69
477115
18602.21
11.76
6,43,267
24905.83
28.82
FUTURES
FUTURES
INDEX
INDEX
20781.03
20311.97
469.06
1905470
74173.67
2.89
60,37,437
234025.54
15.33
OPTIONS
OPTIONS
STOCK
STOCK
16823.56
17196.78
(373.23)
1584764
57278.34
3.31
17,77,734
66013.98
36.79
FUTURES
FUTURES
STOCK
STOCK
3034.21
3273.49
(239.28)
121906
4534.44
1.33
4,55,818
17278.38
25.13
OPTIONS
OPTIONS
TOTAL
48585.77
48090.54
495.24
4089255
154588.65
3.97
TOTAL
89,14,268
342224.72
20.36
Nifty Spot =7791.40
Lot Size = 50
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
7800
17.45
Buy
7800
26.05
16.50
83.50
7816.50
22.70
77.30
7777.30
Sell
Sell
7900
0.95
7700
3.35
Buy
Buy
7800
17.45
7800
26.05
17.25
182.75
7817.25
25.35
174.65
7774.65
Sell
8000
0.20
Sell
7600
0.70
Buy
7900
0.95
Buy
7700
3.35
0.75
99.25
7900.75
2.65
97.35
7697.35
Sell
8000
0.20
Sell
7600
0.70
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 31, 2014
Strategy Date
Symbol
Strategy
Status
30-06-2014
Reliance
Ratio Bull Call Spread
Open
07-07-2014
ITC
Long Put Ladder
Open
14-07-2014
DLF
Short Strangle
Profit booked on 25-07-2014.
21-07-2014
NIFTY
Ratio Bull Call Spread
Open
28-07-2014
BANKNIFTY
Long Strangle
Open
Research Team Tel: 022 - 39357800
E-mail: [email protected]
Website: www.angelbroking.com
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