FII's have rolled their long position - Angel Broking

Nifty spot closed at 5833.20 this week, against a close of 6012.10 last week. The Put-Call Ratio has decreased from 1.37 to 1.03 levels and the annualized Cost of Carry is positive 10.11%. The Open Interest of Nifty Futures decreased by 13.61%.

PCR-OI has decreased from 1.37 to 1.03 levels. As it is beginning of the expiry we are seeing quite scattered built-up in options segment. In call options significant amount of buildup is seen in the range of 5900-6100 strikes. In put options 5700 & 5800 strikes has added huge buildup, decent buildup was also seen in lower put strikes. Highest buildup is seen in 6000 call & 5700 put options.

Total open interest of market has decreased from Rs. 1,57,476/- cr. to Rs. 1,03,460/- cr. Stock futures open interest has decreased from Rs. 29,753/- cr. to Rs. 24,781/- cr. Some of the large cap which added open interest are ONGC, SUNPHARMA, INFY and BPCL. Open interest was shed in large cap names like SESAGOA, AMBUJACEM, SIEMENS, AXISBANK and SAIL.

Implied Volatility (IV) for NIFTY has increased from 22.56%.to 22.75%. Historical volatility (HV) is at 32.21% and that for BANKNIFTY is trading at 57.18%. Liquid counters having very high HV are FINANTECH, RANBAXY, YESBANK, HDIL and JPPOWER. Stocks where HV are on lower side are OFSS, INFY, CAIRN, DIVISLAB and TCS.

Nifty futures closed at a premium of 54.95 points against the premium of 70.35 points to its spot. Next month future is trading with premium of 93.85 points. Liquid counters where CoC is high are JPPOWER, NHPC, DISHTV, BATAINDIA and GMRINFRA. Stocks with negative CoC are HDIL, IFCI, FINANTECH and BHEL.

Source : Equity Bulls

Keywords