Monthly Market Risk Update: March 2024 [SlideShare]
Daily derivative technical report 18 december
1. DERIVATIVE REPORT
18th December 2013
SWASTIKA INTELLIGENCE GROUP
NIFTY VS OPEN INTEREST
Market Internals
FII were net buyer by 250cr in cash market
after one day sell off figure.
DII were net seller in cash market by amount of
-97cr.
Aggressive writing is seen at both call and put
option front which is showing market is likely
remain range bound after key event.
India VIX is not rising as nifty is sliding which
shows there is not too much downside or risk
of sharp correction.
Indian Government 10-yr bond yield placed at
8.92 mark which has already factored in 25
basis rate hike.
US 10-year treasury yield is hovering around
2.84 while dollar index is placed at 80.06 mark
ahead of Fed policy next week.
Derivative Activity:
Nifty closed at 6139 mark while nifty December future closed at 6161 mark with premium of 22
points.
Nifty (Jan) Contract closed at 6215 level with premium of 76 points.
The cost of carry for December month contract placed at 14.53% vs. 14.83%, whereas total OI is
positioned at 26761250, where nifty December future sheds 2.7% in open interest.
At the money option implied volatility placed at 17.84% vs. 18.23% mark.
OPEN INTEREST GAINERS
Scrips
Price
% Price Change
Open Interest (Change)
% OI Change
BIOCON
RELCAPITAL
394.75
351.95
0.83%
-2.76%
255000
697000
13%
11%
GSKCONS
4392.3
-2.20%
875
9%
PETRONET
118.1
-2.40%
182000
9%
ZEEL
286.75
1.41%
242000
8%
Scrips
Price
OPEN INTEREST LOOSERS
% Price Change
Open Interest (Change)
% OI Change
BAJAJ-AUTO
1873.2
-1.96%
-154250
-13%
RECLTD
208.3
0.97%
-258000
-11%
DISHTV
61.95
-0.16%
-1312000
-10%
SRTRANSFIN
COALINDIA
621.5
279.3
0.47%
-2.72%
-67000
-711000
-9%
-9%
Swastika Intelligence Group,
1st Floor , Bandukwala Building, British Hotel Lane, Fort Mumbai
2. DERIVATIVE REPORT
18th December 2013
SWASTIKA INTELLIGENCE GROUP
OPTION DATA ANALYSIS:
OI CONCENTRATION CHART
CHANGE IN OI
ON CALL OPTION FRONT:
On call option front highest open interest has been shifted to 6300 mark which is now important
hurdle.
Writing is seen at 6200-6400 levels which accumulate 12lacs total amount in open interest.
ON PUT OPTION FRONT:
On put option front highest open interest positioned at 6000 level which is base for this series.
Writing is also witnessed at put option front also where 5900 and 6100 levels accumulate 5lacs and
3lacs amount in open interest respectively.
IndiaVix down by 0.16% which closed at 18.33 level.
PCR OI stands at 0.95 mark while PCR volume stands at 0.82mark.
VIX/PCR ratio stands at 19.30 level which shows indecisive stage among the traders.
Swastika Intelligence Group,
1st Floor , Bandukwala Building, British Hotel Lane, Fort Mumbai
3. DERIVATIVE REPORT
18th December 2013
SWASTIKA INTELLIGENCE GROUP
TOATL VOLUME SUMMARY
FII STATISTICS Dec 17’13 (IN RS. Cr.)
Open Interest
Product
Net
Product
No of Contracts
Traded Value (Crs)
INDEX
FUTURES
298494
8951.94
571012
17228.3
594003
18206.89
-0.63
-913.69
1760703
53823.67
0.98
STOCK
FUTURES
-23.10
1167506
31962.30
0.51
INDEX
OPTIONS
2389154
74158.1
1.79
54884
1460.74
6.53
STOCK
OPTIONS
284637
8750.3
-955.05
TOTAL
Values
-20.06
INDEX
FUTURES
INDEX
OPTIONS
STOCK
FUTURES
STOCK
OPTIONS
Contracts
Change
(In %)
3577096.00
105453.60
7.38
F&O TOTAL
3543297
109089
DERIVATIVE FOLIO
MOST ACTIVE NIFTY CALL OPTION
Symbol
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
Strike Price
6300
6200
6400
6500
6100
Traded Qty.
15943400
15168400
9790500
6254650
2940850
Open Interest
7070200
4223550
5315150
5232550
1901050
MOST ACTIVE STOCK CALL OPTION
Symbol
SBIN
RANBAXY
SBIN
TCS
MCDOWELL-N
Strike
Price
1800
440
1750
2100
2600
Traded
Qty.
1040500
2364000
588375
524875
513625
Open
Interest
469375
639500
194250
391250
205750
MOST ACTIVE NIFTY PUT OPTION
Symbol
NIFTY
NIFTY
NIFTY
NIFTY
NIFTY
Strike Price
6100
6200
6000
5900
6300
Traded Qty.
12315100
12071700
8566300
4823450
2212400
Open Interest
5066500
3477550
5682450
3633550
2530900
MOST ACTIVE STOCK PUT OPTION
Symbol
SBIN
SBIN
SBIN
MCDOWELL-N
AXISBANK
Strike
Price
1700
1750
1650
2500
1250
Traded
Qty.
868125
421375
328000
259500
444500
Open
Interest
256250
111875
231375
191125
235250
Swastika Intelligence Group,
1st Floor , Bandukwala Building, British Hotel Lane, Fort Mumbai
4. DERIVATIVE REPORT
18th December 2013
SWASTIKA INTELLIGENCE GROUP
Report Prepared by
Santosh Meena
RESEARCH TEAM
Santosh Sahu
Amit Khare
Vishnu shreekar
Sonakshi Bahety
Saloni Gupta
Designation
Derivative & Technical Analyst
E-mail ID
santosh.meena@swastika.co.in
SWASTIKA INTELLIGENCE GROUP
Research Head
Commodity Analyst
Commodity Analyst
Research Associate
Research Associate
research@swastika.co.in
Santosh.sahu@swastika.co.in
amit.khare@swastika.co.in
vishnu.shreekar@swastika.co.in
Sonakshi.bahety@swastika.co.in
Salony.gupta@swastika.co.in
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Swastika Intelligence Group,
1st Floor , Bandukwala Building, British Hotel Lane, Fort Mumbai