FII's forming long positions in index futures - Angel Broking

Nifty spot closed at 5871.45 this week, against a close of 5783.10 last week. The Put-Call Ratio has decreased from 1.15 to 1.05 levels and the annualized Cost of Carry is positive 2.98%. The Open Interest of Nifty Futures decreased by 23.32%.

PCR-OI has decreased from 1.15 to 1.05 levels. In new series we have observed good amount of buildup in 5800-6300 call option and in put option 5400-5900 strike price has seen considerable amount of buildup in open interest on week on week basis. The activity in the options is quite scattered due to the event in next week, however highest buildup in open interest as of now for the new series is in 5900 call option and 5800 put option.

Total open interest of market has decreased from Rs. 1,55,845/- cr. to Rs. 1,06,311/- cr. Stock futures open interest has decreased from Rs. 30,182/- cr. to Rs. 24,846/- cr. Some of the big names which added open interest are TCS, WIPRO, JINDALSTEL and MARUTI. Open interest was shed in large cap names like GRASIM, AMBUJACEM, ASIANPAINT, COALINDIA and ITC.

Implied Volatility (IV) for NIFTY has increased from 12.40% to 13.10%. Historical volatility (HV) is at 18.97% and that for BANKNIFTY is trading at 29.11%. Liquid counters having very high HV are HDIL, RCOM, INFY, IVRCLINFRA, PUNJLLOYD and UNITECH. Stocks where HV are on lower side are TATACHEM, ASIANPAINT, COLPAL, ASHOKLEY and ITC.

Nifty futures closed at a premium of 16.30 points against the premium of 18.30 points to its spot. Next month future is trading with premium of 26.05 points. Liquid counters where CoC is high are ASHOKLEY, JPASSOCIAT, DENABANK, IGL and IFCI. Stocks with negative CoC are IBREALEST, ALBK, SBIN, ICICIBANK and HEXAWARE.

Source : Equity Bulls

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