Macro factors outweighing liquidity parameters - Angel Broking

Nifty spot closed at 5783.10 this week, against a close of 5528.55 last week. The Put-Call Ratio has increased from 0.89 to 1.15 levels and the annualized Cost of Carry is negative 0.09%. The Open Interest of Nifty Futures decreased by 2.82%.

Put-Call Open Interest (PCR-OI) has increased from 0.89 to 1.15 levels. The sharp rise in ratio was mainly due to significant amount of buildup observed in 5500-5800 put option and simultaneously 5500-5700 call option has seen considerable amount of buildup in open interest. 5800-5900 call option has also seen good amount of buildup in open interest on week on week basis. Highest buildup in open interest for this series is in 5600 put option and 5800 call option.

Total open interest of market has increased from Rs. 1,41,418/- cr. to Rs. 1,55,845/- cr. Stock futures open interest has increased from Rs. 27,428/- cr. to Rs. 30,182/- cr. Some of the big names which added open interest are HCLTECH, AMBUJACEM, KOTAKBANK, WIPRO and BAJAJ-AUTO. Open interest was shed in large cap names like INFY, HDFC, RELINFRA, JPASSOCIAT and NTPC.

Implied Volatility (IV) for NIFTY has decreased from 15.60% to 12.40%. Historical volatility (HV) is at 17.38% and that for BANKNIFTY is trading at 25.12%. Liquid counters having very high HV are INFY, HDIL, RCOM, IVRCLINFRA and PUNJLLOYD. Stocks where HV are on lower side are GRASIM, NTPC, TCS, COALINDIA and ASIANPAINT.

Nifty futures closed at a discount of 0.10 points against the premium of 6.65 points to its spot. Next month future is trading with premium of 18.30 points. Liquid counters where CoC is high are JPPOWER, HDIL, IVRCLINFRA, WELCORP and IOB. Stocks with negative CoC are HAVELLS, RCOM, HEROMOTOCO, SBIN, GAIL and IDEA.

Source : Equity Bulls

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