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Comments The Nifty futures open interest decreased by 5.86% while BankNifty futures open interest is increased by 6.33% as market closed at 5955.25 levels. The Nifty July future closed at premium of 14.45 point against a premium of 1.80 points. The August series closed at a premium of 38.80 points. The Implied Volatility of at the money options has increased from 16.93% to 16.96%. Nifty PCR-OI has decreased from 1.33 to 1.28 levels. The total OI of the market is Rs. 1,44,218/- cr. and the stock futures OI is Rs. 30,008/- cr. Few of the liquid counters where we have seen high cost of carry are BHARATFORG, ASHOKLEY, NHPC, SINTEX and NTPC.
Nifty Vs OI
OI Gainers
SCRIP EXIDEIND ORIENTBANK YESBANK ASHOKLEY DLF OI 3080000 2970000 8328000 20538000 23587000 OI CHANGE (%) 55.56 26.01 17.06 16.79 16.05 PRICE 123.65 183.05 450.95 15.75 164.70 PRICE CHANGE (%) 1.14 -8.94 -9.51 -9.43 -7.98
View FII's have been selling in cash market but if we compare the nature of fall and their quantum of selling then it is miniscule. In FNO segment some amount of long unwinding was observed. In index options they were significant buyers with rise in open interest. In option front 5900 and 6000 call added decent open interest. Interestingly 5900 call being in-themoney seeing such addition and FIIs buying index options suggest dont expect big selling pressure in markets. However some of the 5900 and 6000 strike put sellers have resorted to cover their positions. TATAMTRDVR has significantly underperformed TATAMOTORS from 31-May-2013. Also it has added huge amount of short positions. DVR is short heavy, near its support zone of Rs. 130-135, yesterday it has seen addition of positions with bounce from lower levels, with good cash base volume and rising cost of carry. All factors compel us to generate buy on this with target price of Rs. 151 and stop loss Rs. 134. Buy in the range of Rs. 139-141. Pair trade can also be quite attractive.
OI Losers
SCRIP OI OI CHANGE (%) PRICE PRICE CHANGE (%)
Put-Call Ratio
SCRIP NIFTY BANKNIFTY INFY SBIN RELIANCE PCRPCR-OI 1.28 0.83 1.21 0.40 0.93 PCRPCR-VOL 1.21 0.76 0.90 0.51 0.51
Historical Volatility
SCRIP YESBANK ASHOKLEY INDUSINDBK ICICIBANK CANBK INFY HV 60.63 63.98 57.66 38.99 65.05 74.73
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Derivative Report
July 17, 2013
Turnover on 16-July-2013
No. of Contracts Turnover (` in cr.) Change (%)
Instrument
2055.72
2320.55
21767.23 20956.77
Lot Size = 50
Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6000 6100 6000 6200 6100 6200 Price 47.35 15.55 47.35 4.50 15.55 4.50 11.05 88.95 6111.05 42.85 157.15 6042.85 Risk Reward BEP
Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 6000 5900 6000 5800 5900 5800 Price 40.20 19.90 40.20 9.75 19.90 9.75 10.15 89.85 5889.85 30.45 169.55 5969.55 Risk Reward BEP
31.80
68.20
6031.80
20.30
79.70
5979.70
Note: Above mentioned Bullish or Bearish Spreads in Nifty (July (July Series) are given as as an information and not as a recommendation. recommendation.
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Derivative Report
July 17, 2013
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