Derivative Report

Derivative Report
Feb 02, 2015
Nifty Vs OI
Comments
The Nifty futures open interest increased by 3.24% levels
BankNifty futures open interest has increased by 5.27%
as market closed at 8808.90 levels.
The Nifty February future closed at premium of 63.75
points against a premium of 33.95 points. The March
series closed at a premium of 83.70 points.
The Implied Volatility of at the money options has
increased from 17.81% to 18.55%.
Nifty PCR-OI has decreased from 0.96 to 0.90 levels.
The total OI of the market is Rs. 1,88,343/- cr. and the
stock futures OI is Rs. 67,792/- cr.
Few of the liquid counters where we have seen high cost
of carry are GMRINFRA, HDFCBANK, ANDHRABANK,
JISLJALEQS and IFCI.
View
OI Gainers
SCRIP
OI
OI
CHANGE
(%)
PRICE
PRICE
CHANGE
(%)
COALINDIA
22492000
92.73
360.85
-3.79
ANDHRABANK
20940000
29.61
91.10
2.00
BANKBARODA
22570000
24.47
193.15
-10.27
IBREALEST
38308000
20.62
83.45
7.13
1933500
19.70
2868.50
-0.44
PRICE
PRICE
CHANGE
(%)
TECHM
OI Losers
SCRIP
OI
OI
CHANGE
(%)
BPCL
2606500
-8.93
748.85
2.26
PFC
5558000
-5.23
298.45
-0.66
HINDPETRO
6621000
-4.56
657.95
3.70
ACC
1302250
-3.61
1560.45
-0.93
652500
-3.32
1742.35
-1.58
DIVISLAB
Put-Call Ratio
FIIs after long time were net sellers in cash market
segment; they were net sellers of worth Rs. 771
crores. In Index Futures they bought marginally with
rise in open interest which suggests blend of long &
short formation.
In Index Options they bought of worth Rs. 1317
crores with rise in open interest indicating fresh long
formation. PCR-OI plunged mainly to due to
meaningful open interest addition in call options,
while implied volatility increased in last trading
session. We witness significant open interest addition
in 9000 put options, which are FII’s long positions.
9100-9600 put options also added decent buildup.
On the other hand we hardly saw any relevant
buildup; some open interest addition was seen in
8000 & 8100 strike price. Decent unwinding was
also visible in 9000 put options.
All thought we saw good amount of correction on
Friday still FIIs bought higher call options
aggressively. Seeing FII’s stats we believe correction
may not last for long.
Historical Volatility
SCRIP
PCRPCR-OI
PCRPCR-VOL
NIFTY
0.90
0.99
BANKBARODA
63.43
BANKNIFTY
0.76
0.82
GMRINFRA
69.65
BANKBARODA
0.45
0.38
HCLTECH
50.50
RELIANCE
0.48
0.66
SBIN
42.53
HDFCBANK
0.54
0.70
RELINFRA
50.88
JPASSOCIAT
76.60
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SCRIP
HV
1
Derivative Report
Feb 02, 2015
Turnover on 30- Jan -2015
FII Statistics for 30-Jan-2015
Open Interest
Detail
Buy
Sell
Instrument
Net
Value
(` in cr.)
Contracts
INDEX
FUTURES
INDEX
OPTIONS
Change
(%)
72.09
953960
22760.66
2.58
INDEX
FUTURES
14,19,503
37432.17
-11.53
16203.52 14885.59
1317.93
1735318
48247.55
8.43
INDEX
OPTIONS
1,84,85,764
449039.00
4.25
2.41
STOCK
FUTURES
24,11,139
75087.98
-5.21
372.69
STOCK
OPTIONS
5,82,188
19289.70
8.61
2,28,98,599
580849.52
1.90
3226.68
4835.14
(1608.46)
1872402
57404.14
STOCK
OPTIONS
2388.56
2249.57
138.98
48266
1482.10
23909.97 23989.43
(79.46)
4609946
129894.46
Nifty Spot =8808.90
Action
Strike
Price
Buy
8800
215.90
Sell
8900
163.75
Buy
8800
215.90
Sell
9000
120.55
Buy
8900
163.75
9000
120.55
5.52
TOTAL
Lot Size = 50
Bull-Call Spreads
Sell
Turnover
(` in cr.)
2019.13
2091.21
STOCK
FUTURES
TOTAL
Change
(%)
No. of
Contracts
Bear-Put Spreads
Risk
52.15
95.35
43.20
Reward
47.85
104.65
56.80
BEP
8852.15
8895.35
8943.20
Action
Strike
Price
Buy
8800
145.70
Sell
8700
110.20
Buy
8800
145.70
Sell
8600
83.30
Buy
8700
110.20
Sell
8600
83.30
Risk
Reward
BEP
35.50
64.50
8764.50
62.40
137.60
8737.60
26.90
73.10
8673.10
Note: Above mentioned Bullish or Bearish
Bearish Spreads in Nifty (Feb
(Feb Series) are given as
as an information and not as a recommendation.
recommendation.
Nifty Put-Call Analysis
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Derivative Report
Feb 02, 2015
Strategy Date
Symbol
Research Team Tel: 022 - 39357800
Strategy
E-mail: [email protected]king.com
Status
Website: www.angelbroking.com
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