Daily Derivative Report For Stock Market 29 November


  • The Nifty futures open interest decreased by 21.38% while Bank Nifty futures open interest is decreased by 38.13% as market closed at 6091.85 levels.
  • The Nifty December future closed at premium of 56.95 point against a premium of 59.15 points. The January series closed at a premium of 107.30 points.
  • The Implied Volatility of at the money options has increased from 18.71% to 20.05%.
  • Nifty PCR-OI has increased from 0.89 to 0.96 levels.
  • The total OI of the market is Rs. 1, 61,992/- cr. and the stock futures OI is Rs. 37,155/- cr.
  • Few of the liquid counters where we have seen high cost of carry are GMRINFRA, JPPOWER, NHPC, ADANIPOWER and INDIACEM.

Nifty Vs OI



  • FII’s were marginal buyer in cash market segment. On derivatives front they were net buyer in index futures & index options with significant fall in open interest due to expiry.
  • In options front decent buildup was seen in 6500 & 6600 call option. In put options the overall buildup was quite scattered, some buildup was seen in the range of 5500 to 6100 strikes in yesterday’s trading session.
  • Rollover in Nifty & Bank nifty is on the lower side at 72.75% and 59.25% respectively, while Market wide rollover is 78.75%.

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Source :  Trifid Research


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