- 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%.
Source : Trifid Research