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Risk reward ratio not in favour of forming fresh shorts
Nifty spot has closed at 5655 this week, against a close of 5905 last week. The Put-Call Ratio has decreased from 1.03 to 0.90 levels
and the annualized Cost of Carry (CoC) is negative 0.27%. The Open Interest of Nifty Futures increased by 13.43%.
Put-Call Ratio Analysis
The PCR OI has decreased from 1.03 to 0.90 levels.
Week-on-week, huge build up has been witnessed in the 5700
and 5800 call options, and 5600 and 5700 put options.
Increased Implied volatility and buying figures from Institutions
are suggesting buildup in options is mainly due to buying.
Among Nifty put options, unwinding was also observed in the
5800 and above strikes. In stock options, RELIANCE 1000 put
and TCS 1100 put have highest open interest.
Futures Annual Volatility Analysis
Historical volatility of Nifty has increased from 21.22% to
25.63%. IV of at-the-money options increased from 18.60% to
22.25%. IV for call is 21.50% and for put options it is 23%. Few
liquid counters where HV has increased significantly are ZEEL,
GAIL, BHEL, CESC and INFOSYSTCH. Stocks where HV has
decreased significantly are HCC, KSOILS, STERLINBIO,
COREPROTEC and RUCHISOYA.
Open Interest Analysis
Total open interest of the market is `1,52,402cr against
`1,34,331cr last week and the stock futures open interest
decreased from `37,017cr to `36,093cr. Despite significant
correction in the market, FIIs are not shorting in the futures
segment. Few liquid stocks where open interest has increased
significantly are TATAPOWER, HCLTECH, SINTEX, LT and GAIL.
Stocks where open interest decreased significantly are EXIDEIND,
CENTRALBK, TATACHEM, PETRONET and PRAJIND.
Cost-of-Carry Analysis
The Nifty January futures closed at a discount of 0.55 points
against a premium of 9.55 points last week and the February
futures closed at a premium of 24.25 points. Few liquid stocks
where Cost-of-Carry turned from negative to positive are
GESHIP, TATAGLOBAL, COREPROTEC, HINDZINC and
UNIONBANK. Stocks where Cost-of-Carry turned from positive
to negative are DCHL, PNB, PFC, TATAMOTORS and TATASTEEL.
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