Daily Derivative Report By Swastika Investmart Broking Firm

15 January

Market Internals

1. FII were net seller by 260Cr in cash market which is a sign of cautious among them.
2. DII were net seller by 97cr in cash market.
3. Aggressive writing of 413cr was seen in index future by FII.
4. Some short covering was seen in 6200 put option yet shedding of open interest is very less as compare to accumulation on Monday’s trading session which is showing 6200 is a strong base.
5. 6225 is immediate support to watch out below this market will again go in congestion zone of 6130-6230.
6. Dollar Index placed at 80.84 marks while US 10-yr treasury yield placed at 2.87 marks.

Derivative Activity:

• Nifty closed at 6242 mark while nifty January future closed at 6256 mark with premium of 14 points.
• Nifty (Feb) Contract closed at 6290 level with premium of 48 points.
• The cost of carry for January month contract placed at 5.12% vs. 4.11%, whereas total OI is positioned at 20084200, where nifty January future adds 3% in open interest.
• At the money option implied volatility placed at 14.14% vs. 14.04%.

ON CALL OPTION FRONT:

• On call option front highest open interest is positioned at 6300 mark which is immediate resistance.
• Some bit of writing was taken place at 6300-6400 levels which accumulate 9 lacs total amount in OI.

ON PUT OPTION FRONT:

1. On put option front highest open interest has shifted to 6200 level which is now an significant support on immediate basis.
2. Some short covering was seen almost all levels yet 6200 did not shed off as much it accumulated in Monday’s trading session.
3. IndiaVix was down by 1.32% which closed at 15.74 level.
4. PCR OI placed at 0.97 mark while PCR volume stands at 1.07 mark.
5. VIX/PCR ratio stands at 16.22 level which shows comfort among the traders.