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DERIVATIVE REPORT
SWASTIKA INTELLIGENCE GROUP 08th January 2014
Swastika Intelligence Group,
1st Floor , Bandukwala Building, British Hotel Lane, Fort Mumbai
FII were net seller for three days in a row with
amount of 567cr. DIIs were net buyer in cash market by 59cr. Aggressive writing was seen in index future by
FII of 1329cr. Writing was seen at 6200 call option while
some buying was emerged at 6000 mark. Nifty close below 6190 mark which is first sign
a deeper correction for 5920 which is 200-day SMA.
There was broad based selling was seen in metal, IT and Oil and Gas sector.
Dollar Index is racing for 81 mark while US 10-yr treasury yield has come down from 3 mark and closed at 2.95 mark ahead of US nonfarm pay roll numbers.
OPEN INTEREST GAINERS
Scrips Price % Price Change Open Interest (Change) % OI Change
M&MFIN 306.8 -3.61% 135000 29%
GSKCONS 4332 -2.09% 2500 23% - -
BANKINDIA 232.8 -0.62% 718000 13%
DABUR 173.25 1.32% 376000 12% - - -
SAIL 68.55 -3.79% 2456000 12% - - -
OPEN INTEREST LOOSERS
Scrips Price % Price Change Open Interest (Change) % OI Change
ITC 318 0.19% -1740000 -8%
AXISBANK 1239.7 -1.45% -274250 -7%
ASIANPAINT 491.8 -0.26% -281500 -7%
SUNPHARMA 596.85 0.84% -493000 -6%
COALINDIA 277.3 -0.47% -402000 -6%
Derivative Activity: Nifty closed at 6162 mark while nifty January future closed at 6196 mark with premium of 34 points.
Nifty (Feb) Contract closed at 6234 level with premium of 72 points.
The cost of carry for January month contract placed at 8.76% vs. 9.33%, whereas total OI is positioned at 19296400, where nifty January future sheds 0.27% in open interest.
At the money option implied volatility placed at 15.03% vs. 15.34%.
NIFTY VS OPEN INTEREST Market Internals
DERIVATIVE REPORT
SWASTIKA INTELLIGENCE GROUP 08th January 2014
Swastika Intelligence Group,
1st Floor , Bandukwala Building, British Hotel Lane, Fort Mumbai
OPTION DATA ANALYSIS:
ON CALL OPTION FRONT: On call option front highest open interest shifted to 6300 mark which is strong resistance on
immediate basis.
Aggressive Writing was seen at 6200-6300 mark which accumulate 11lacs total amount in open interest with fall in premium.
ON PUT OPTION FRONT: On put option front highest open interest has been shifted to 6000 level which is important support
in downside.
Fresh long builds up at 6000 mark which accumulates 8lacs amount in open interest.
CHANGE IN OI OI CONCENTRATION CHART
IndiaVix down by 1.09% which closed at 16.32 level. PCR OI placed at 0.89 mark while PCR volume stands at 0.98 mark.
VIX/PCR ratio stands at 18.34 level which shows comfort among the traders.
DERIVATIVE REPORT
SWASTIKA INTELLIGENCE GROUP 08th January 2014
Swastika Intelligence Group,
1st Floor , Bandukwala Building, British Hotel Lane, Fort Mumbai
FII STATISTICS Jan 07’14 (IN RS. Cr.)
Product Net
Open Interest
Contracts Values Change (In %)
INDEX FUTURES
-1329.44 446811 13713.54 5.93
INDEX OPTIONS
33.87 1113649 34195.37 -0.51
STOCK FUTURES
134.41 1002952 31629.34 0.24
STOCK OPTIONS
46.64 60063 1973.56 19.07
TOTAL -1114.52 2623475.00 81511.80 24.72
TOATL VOLUME SUMMARY
Product No of Contracts Traded Value (Crs)
INDEX FUTURES
414402 12382.2
STOCK FUTURES
547266 18709
INDEX OPTIONS
2583880 80453.4
STOCK OPTIONS
251551 8768.98
F&O TOTAL 3797099 120314
DERIVATIVE FOLIO
MOST ACTIVE NIFTY CALL OPTION
MOST ACTIVE NIFTY PUT OPTION
Symbol Strike Price Traded Qty. Open Interest Symbol Strike Price Traded Qty. Open Interest
NIFTY 6300 14873100 5265800 NIFTY 6200 15214250 4087850
NIFTY 6200 11309100 2894250 NIFTY 6100 13231600 4140700
NIFTY 6400 10303350 3919800 NIFTY 6000 9650550 4830650
NIFTY 6500 7708000 4911500 NIFTY 5900 4615400 2309350
NIFTY 6600 4066600 2881900 NIFTY 5800 3730050 2901000
MOST ACTIVE STOCK CALL OPTION
MOST ACTIVE STOCK PUT OPTION
Symbol Strike Price
Traded Qty.
Open Interest
Symbol Strike Price
Traded Qty.
Open Interest
SBIN 1700 866125 375125 SBIN 1650 560250 174750
SBIN 1800 788250 873625 INFY 3300 366875 353250
SBIN 1750 681125 385000 SBIN 1600 351000 218750
RELIANCE 860 938500 612250 SBIN 1700 316375 354125
RELIANCE 880 796000 555500 INFY 3100 263625 271500
DERIVATIVE REPORT
SWASTIKA INTELLIGENCE GROUP 08th January 2014
Swastika Intelligence Group,
1st Floor , Bandukwala Building, British Hotel Lane, Fort Mumbai
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Report Prepared by Designation E-mail ID Santosh Meena Derivative & Technical Analyst [email protected]
RESEARCH TEAM SWASTIKA INTELLIGENCE GROUP [email protected]
Santosh Sahu Research Head [email protected]
Amit Khare Commodity Analyst [email protected]
Vishnu shreekar Commodity Analyst [email protected]
Sonakshi Bahety Research Associate [email protected]
Saloni Gupta Research Associate [email protected]
