Derivatives Report

EQLine Research and Services Pvt Ltd
Mar 13, 2015
Derivative Report
Nifty Vs OI
Comments
The Nifty futures open interest increased by 0.46%
BankNifty futures open interest has decreased by 2.28%
as market closed at 8776.00 levels.
The Nifty March future closed at premium of 37.05
points against a premium of 52.10 points. The April
series closed at a premium of 103.70 points.
The Implied Volatility of at the money options has
decreased from 15.93% to 14.56%.
Nifty PCR-OI has increased from 0.95 to 0.98 levels.
The total OI of the market is Rs. 2,34,950/- cr. and the
stock futures OI is Rs. 75,164/- cr.
Few of the liquid counters where we have seen high cost
of carry are HDFCBANK, JSWENERGY, IDFC, INDIACEM
and RCOM.
View
OI Gainers
SCRIP
OI
CHANGE
(%)
PRICE
PRICE
CHANGE
(%)
4953000
20.86
289.25
7.13
46104000
16.61
149.85
0.27
201285000
9.78
20.95
4.75
OI
VOLTAS
NTPC
UNITECH
UBL
741500
9.12
1025.30
-0.12
MINDTREE
229000
8.79
1406.45
0.36
OI Losers
OI
CHANGE
(%)
OI
CAIRN
13583000
-4.96
234.95
4.45
IDEA
18418000
-4.46
174.60
6.56
ICICIBANK
70686250
-4.04
339.60
1.22
9790000
-4.04
108.10
1.74
35204000
-3.78
135.60
3.43
ALBK
HINDALCO
PRICE
PRICE
CHANGE
(%)
SCRIP
Put-Call Ratio
Yesterday market showed strength but FIIs
participation was more or less invisible in derivatives
segment. FIIs were net buyers in cash market
segment of worth Rs. 733 crores. In Index Futures
they activity was subdued.
In Index Options they bought of Rs. 224 crores with
rise in open interest indicating some long formation.
We saw 9200 call options adding some open interest
followed by good amount of profit booking by buyers
of 9000 & 9100 strike price. On the other hand in
put options 8700 & 8800 strike added decent
buildup. Some unwinding was also visible in 8500
put options. Maximum buildup in current series is
seen in 9000 call & 8500 put option.
Yesterday we hardly saw any relevant activity; FIIs
data still haven’t showed any negative signal in fact
we are seeing buying figure in Index Futures from last
two trading sessions. Still their long positions are in
system and they have also bought call options of
8800-9000 strikes in this week which they are still
holding. We believe market is heading towards the
resistance zone of 8900-8950.
Historical Volatility
SCRIP
PCR-OI
PCR-
PCR-VOL
PCR-
NIFTY
0.98
0.89
RELCAPITAL
66.31
BANKNIFTY
0.70
0.61
IDEA
55.18
SBIN
0.33
0.31
VOLTAS
58.55
RELIANCE
0.46
0.41
EXIDEIND
43.73
ITC
0.42
0.31
SIEMENS
51.75
MRF
49.81
SCRIP
HV
212/4B, Ramani Srinivasan IInd street, Venkateswara Nagar, New Perungalathur, Chennai 600063. Ph: +919444119602
1
EQLine Research and Services Pvt Ltd
Derivative Report
Mar 13, 2015
Turnover on 12-Mar-2015
FII Statistics for 12-Mar-2015
Open Interest
Detail
Buy
Sell
Instrument
Net
Value
Change
(Rs in cr.)
(%)
Contracts
INDEX
FUTURES
INDEX
OPTIONS
1284.29
1158.77
10983.11 10758.73
No. of
Contracts
Turnover
(Rs in cr.)
Change
(%)
125.52
912417
21478.14
(0.52)
INDEX
FUTURES
4,17,858
11572.8
-31.90
224.38
2017770
56666.20
1.61
INDEX
OPTIONS
48,96,713
115314.68
-23.47
STOCK
FUTURES
2248.45
2347.32
(98.87)
1995223
60897.13
1.19
STOCK
FUTURES
7,51,755
23511.52
-9.31
STOCK
OPTIONS
1704.50
1671.43
33.07
103355
3215.34
4.11
STOCK
OPTIONS
3,67,784
11457.69
-10.81
284.10
5028765
142256.82
1.10
TOTAL
64,34,110
161856.69
-21.60
TOTAL
16220.34 15936.25
Nifty Spot =8776.00
Lot Size = 25
Bull-Call Spreads
Action
Strike
Buy
8800
Bear-Put Spreads
Price
106.90
Sell
8900
60.50
Buy
8800
106.90
Sell
9000
31.05
Buy
8900
60.50
Sell
9000
31.05
Risk
46.40
75.85
29.45
Reward
53.60
124.15
70.55
BEP
Action
Price
Buy
8800
94.80
Sell
8700
58.45
Buy
8800
94.80
Sell
8600
34.75
Buy
8700
58.45
Sell
8600
34.75
8846.40
8875.85
Strike
8929.45
Risk
Reward
BEP
36.35
63.65
8763.65
60.05
139.95
8739.95
23.70
76.30
8676.30
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Mar Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
212/4B, Ramani Srinivasan IInd street, Venkateswara Nagar, New Perungalathur, Chennai 600063. Ph: +919444119602
2
EQLine Research and Services Pvt Ltd
Mar 13, 2015
Derivative Report
Strategy Date
02-03-2015
02-0309-03-2015
09-03-
Symbol
NIFTY
HEROMOTOCO
Research Team Con No: 9444119602
Strategy
Long Put
Long Call Ladder
E-mail: [email protected]
Status
Profit booked on 10-03-15
Open
Website: www.eqinfotech.com
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EQLINE RESEARCH
212/4B, Ramani Srinivasan IInd street, Venkateswara Nagar, New Perungalathur, Chennai 600063. Ph: +919444119602
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