Stock Nifty Derivative Report 26 November

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  • The Nifty futures open interest increased by 3.63% while Bank Nifty futures open interest is decreased by 3.62% as market closed at 6115.35 levels.
  • The Nifty November future closed at premium of 18.55 point against a premium of 9.95 points. The December series closed at a premium of 67.60 points.
  • The Implied Volatility of at the money options has increased from 17.56% to 18.90%.
  • Nifty PCR-OI has increased from 0.85 to 0.96 levels.
  • The total OI of the market is Rs. 1, 56,400/- cr. and the stock futures OI is Rs. 36,446/- cr.
  • Few of the liquid counters where we have seen high cost of carry are ASHOKLEY, UNITECH, JPPOWER, FEDERALBNK and UPL.

Nifty Vs OI

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FII’s also participated in the upward move yesterday; they were net buyer worth of Rs. 837/- cr in the cash market segment. On derivatives front decent amount of long buildup was seen in index future, while in index options they were net buyer with fall in open interest in yesterday’s trading session.

In options front significant amount of unwinding was seen in 6000 & 6100 call options, some unwinding was also seen in 6300 strike. In put options huge amount of buildup was seen in 6000 & 6100 strikes, followed by decent unwinding in 5700 strike in yesterday’s trading session. Historical Volatility.

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