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Comments The Nifty futures open interest decreased by 6.22% while BankNifty futures open interest is increased by 3.69% as market closed at 5850.60 levels. The Nifty September future closed at premium of 25.30 point against a premium of 9.75 points. The October series closed at a premium of 68.90 points. The Implied Volatility of at the money options has decreased from 29.20% to 27.04%. Nifty PCR-OI has increased from 1.32 to 1.33 levels. The total OI of the market is Rs. 1,49,492/- cr. and the stock futures OI is Rs. 30,265/- cr. Few of the liquid counters where we have seen high cost of carry are ASHOKLEY, VIJAYABANK, JISLJALEQS, CHAMBLFERT, ADANIPOWER.
Nifty Vs OI
OI Gainers
SCRIP GODREJIND DIVISLAB ORIENTBANK INDIACEM COLPAL OI 518000 459750 2335000 5444000 174750 OI CHANGE (%) 20.19 17.21 17.04 15.24 15.16 PRICE 291.45 1002.60 172.65 49.70 1209.05 PRICE CHANGE (%) 2.37 1.00 6.06 1.72 -0.64
View FII's activity in cash market segment was subdued. On derivatives front they were marginal buyer in index future with significant fall in open interest. In index options long buildup was seen in Fridays trading session. In options front we have hardly seen any buildup in call options, highest buildup was seen in 6300 strike. In put option 5600 strike added good amount of buildup in Fridays trading session.
OI Losers
SCRIP OI OI CHANGE (%) PRICE PRICE CHANGE (%)
Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN RELIANCE AXISBANK PCRPCR-OI 1.33 1.20 0.84 0.77 1.32 PCRPCR-VOL 1.09 0.88 0.60 0.75 0.73
Historical Volatility
SCRIP NHPC VOLTAS WIPRO TATACHEM ADANIPORTS INFY HV 54.39 62.10 36.44 36.99 67.39 74.73
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Derivative Report
Sept 16, 2013
Turnover on 13-Sept-2013
No. of Contracts Turnover (` in cr.) Change (%)
Instrument
2266.15
2259.64
23542.21 23038.39
Lot Size = 50
Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 6000 5900 6100 6000 6100 Price 106.25 62.40 106.25 32.35 62.40 32.35 30.05 69.95 6030.05 73.90 126.10 5973.90 Risk Reward BEP
Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5800 5700 5800 5600 5700 5600 Price 88.65 59.65 88.65 39.40 59.65 39.40 20.25 79.75 5679.75 49.25 150.75 5750.75 Risk Reward BEP
43.85
56.15
5943.85
29.00
71.00
5771.00
Note: Above Above mentioned Bullish or Bearish Spreads in Nifty (Sept (Sept Series) are given as as an information and not as a recommendation. recommendation.
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Derivative Report
Sept 16, 2013
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