Participation is less but liquidity is strong - Angel Broking

Nifty spot closed at 6187.30 this week, against a close of 6107.25 last week. The Put-Call Ratio has increased from 1.22 to 1.26 levels and the annualized Cost of Carry is positive 3.99%. The Open Interest of Nifty Futures increased by 14.47%.

PCR-OI has increased from 1.22 to 1.26 levels. The rise in ratio was due to significant amount of buildup observed in 6000-6200 call option and simultaneously 5900-6000 put option has seen good amount of unwinding on week on week basis. 6400 call option has seen decent amount of buildup in open interest. Highest buildup in open interest as of now for this series is in 6200 call option and 6000 put option.

Total open interest of market has increased from Rs.1,53,713/- cr. to Rs.1,68,904/- cr. Stock futures open interest has increased from Rs.31,049/- cr. to Rs.33,984/- cr. Some of the big names which added open interest are TCS, POWERGRID, HCLTECH, AMBUJACEM and BHARTIARTL. Open interest was shed in large cap names like PNB, HINDALCO and MARUTI.

Implied Volatility (IV) for NIFTY has increased from 14.21% to 15.33%. Historical volatility (HV) is at 20.48% and that for BANKNIFTY is trading at 30.51%. Liquid counters having very high HV are RCOM, HDIL, IVRCLINFRA, IBREALEST and UNITECH. Stocks where HV are on lower side are TATACHEM, TATAPOWER, PETRONET, GRASIM and NTPC.

Nifty futures closed at a premium of 8.80 points against the premium of 11.45 points to its spot. Next month future is trading with premium of 14.10 points. Liquid counters where CoC is high are PTC, GMRINFRA, GAIL NHPC and ADANIPOWER. Stocks with negative CoC are SBIN, ICICIBANK, YESBANK, INFY and TCS.

Source : Equity Bulls

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