Out of money call buildup suggest further upside - Angel Broking

Nifty spot closed at 5944.00 this week, against a close of 5871.45 last week. The Put-Call Ratio has increased from 1.05 to 1.12 levels and the annualized Cost of Carry is positive 0.97%. The Open Interest of Nifty Futures increased by 17.71%.

PCR-OI has increased from 1.05 to 1.12 levels. The rise in ratio was due to significant amount of buildup observed in 5500-6000 put option and simultaneously 5700-5800 call option has seen decent amount of unwinding. 6000-6300 call option has also seen considerable amount of buildup in open interest on week on week basis. Highest buildup in open interest in both call and put is quite scattered, however 6000 call option and 5700 put option has the maximum open positions as of now for this series.

Total open interest of market has increased from Rs. 1,06,331/- cr. to Rs. 1,31,026/- cr. Stock futures open interest has increased from Rs. 24,846/- cr. to Rs. 27,525/- cr. Some of the big names which added open interest are ITC, BHARTIARTL, HINDUNILVR, IDFC and TATAPOWER. Open interest was shed in large cap names like HCLTECH, INFY, WIPRO, HEROMOTOCO and GAIL.

Implied Volatility (IV) for NIFTY has increased from 13.10% to 14.08%. Historical volatility (HV) is at 18.53% and that for BANKNIFTY is trading at 29.63%. Liquid counters having very high HV are RCOM, HDIL, INFY, HINDUNILVR and IVRCLINFRA. Stocks where HV are on lower side are TATACHEM, ASIANPAINT, ASHOKLEY, TATAPOWER and PETRONET.

Nifty futures closed at a premium of 4.25 points against the premium of 16.30 points to its spot. Next month future is trading with premium of 11.75 points. Liquid counters where CoC is high are PNB, GRASIM, APOLLOTYRE, JPPOWER and OFSS. Stocks with negative CoC are IBREALEST, ALBK, ICICIBANK, INFY and SBIN.

Source : Equity Bulls

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