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Derivative Report: Nifty Vs OI
Derivative Report: Nifty Vs OI
Comments The Nifty futures open interest increased by 4.56% while BankNifty futures open interest is decreased by 3.47% as market closed at 5867.90 levels. The Nifty July future closed at premium of 7.05 point against a premium of 3.15 points. The August series closed at a premium of 30.30 points. The Implied Volatility of at the money options has increased from 17.75% to 17.90%. Nifty PCR-OI has increased from 1.14 to 1.18 levels. The total OI of the market is Rs. 1,25,240/- cr. and the stock futures OI is Rs. 27,727/- cr. Few of the liquid counters where we have seen high cost of carry are JPPOWER, GSPL, GMRINFRA, STER and DABUR.
Nifty Vs OI
OI Gainers
SCRIP ADANIENT ICICIBANK EXIDEIND DABUR JINDALSTEL OI 3918000 6458250 1892000 2020000 11029000 OI CHANGE (%) 14.09 10.63 9.49 9.43 7.89 PRICE 204.05 1051.55 123.75 157.00 223.85 PRICE CHANGE (%) -0.80 -0.90 1.63 -1.06 3.47
View FII's were inactive in cash market segment and in FNO too their participation was less. However they continue to be buyer in index option with rise in open interest. On options front 5800 and 5900 calls have seen some unwinding while 6000 call saw decent built-up suggesting call writers shifting resistance level few 100 points up. Built-up in deep out-of-money puts like 5400 is gathering momentum. This should be closely watched going ahead. Rise in crude prices and strong dollar is winning situation for company like CAIRN. Stock is light in terms of open interest and has decent support around Rs. 280-285 zone. Futures is around 5 rupees discount. Some shorts still standing in it. Go long in a range of Rs. 285-288 with target of Rs. 305 and stop loss of Rs. 276.
OI Losers
SCRIP OI OI CHANGE (%) PRICE PRICE CHANGE (%)
Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE INFY PCRPCR-OI 1.18 1.06 0.53 1.08 0.92 PCRPCR-VOL 1.08 0.87 0.59 0.85 0.92
Historical Volatility
SCRIP IDFC AXISBANK ASIANPAINT IDEA NMDC INFY HV 51.83 41.76 30.72 43.72 42.31 74.73
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Derivative Report
July 08, 2013
Turnover on 05-July-2013
No. of Contracts Turnover (` in cr.) Change (%)
Instrument
1303.56
1179.61
15471.11 14975.08
Lot Size = 50
Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 6000 5900 6100 6000 6100 Price 82.95 42.70 82.95 19.65 42.70 19.65 23.05 76.95 6023.05 63.30 136.70 5963.30 Risk Reward BEP
Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5800 5700 5800 5600 5700 5600 Price 110.20 70.05 110.20 43.20 70.05 43.20 26.85 73.15 5673.15 67.00 133.00 5733.00 Risk Reward BEP
40.25
59.75
5940.25
40.15
59.85
5759.85
Note: Above mentioned Bullish or Bearish Spreads in Nifty (July (July Series) Series) are given as as an information and not as a recommendation. recommendation.
www.angelbroking.com
Derivative Report
July 08, 2013
Symbol TATAMOTORS
Status Open
E-mail: research@angelbroking.com
Website: www.angelbroking.com
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