Derivative market report for Monday: Angel Broking

The Nifty futures open interest increased by 6.24% while BankNifty futures open interest is decreased by 1.32% as market closed at 5553.25 levels. The Nifty Apr. future closed at premium of 18.18 point against a premium of 18.45 points. The May series closed at a premium of 41.25 points. The Implied Volatility of at the money options has increased from 14.73% to 14.90%. Nifty PCR-OI has decreased from 0.88 to 0.81 levels. The total OI of the market is Rs. 1,20,914/- cr. and the stock futures OI is Rs.24,564/- cr. Few of the liquid counters where we have seen high cost of carry are GMRINFRA, HINDZINC, ABIRLANUVO and

JPPOWER.

FII’s have being net sellers in cash market segment since last few trading sessions; in Friday’s trade also they were net seller’s worth of '203/- cr. On derivatives front good amount of short buildup was observed by them in index futures, while in index options and stock futures some long buildup was seen by them in Friday’s trading session. On options front significant amount of buildup was seen in 5500-5800 call option and IV’s of it has also increased, which according to us could be long buildup formed by the stronger hands to hedge against their short positions in index future. While in

put option 5400 strike price has seen maximum buildup in open interest, followed by decent unwinding in 5600-5700 put option which was much of short covering in Friday’s trade.

The recent bounce in CAIRN was mainly due to short covering. In Friday’s trade the counter has seen some signs of short buildup and also 300 call option has the highest buildup in open interest, with call IV going down majority of this buildup could be on the shorter side. Hence we recommend to go short at around '290-292 levels with the stop loss of '303
and a target of '270.