Derivative Nifty Report 20 November


  • The Nifty futures open interest increased by 3.76% while BankNifty futures open interest is increased by 2.57% as market closed at 6203.35 levels.
  • The Nifty November future closed at premium of 27.15 point against a premium of 28.05 points. The December series closed at a premium of 78.90 points.
  • The Implied Volatility of at the money options has decreased from 16.25% to 15.91%.
  • Nifty PCR-OI has increased from 1.01 to 1.03 levels.
  • The total OI of the market is Rs. 1,45,530/- cr. and the stock futures OI is Rs. 33,788/- cr.
  • Few of the liquid counters where we have seen high costof carry are NHPC, JPPOWER, ASHOKLEY, SYNDIBANK and UNITECH.

Nifty Vs OI


FII’s continue significant buying in cash market segment, they were net buyer worth of Rs. 1014/- cr.On derivatives front they were marginal buyer in index future with decent rise in open interest, while in index options decent amount of short buildup was seen in yesterday’s trading session.

In options front decent amount of buildup was seen in 6500 call options. In put options significant amount of buildup was seen in 6200 strike in yesterday’s trading session.


Courtesy: angel broking


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