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Implied Volatility may surge in coming weeks
Nifty spot closed at 5485 this week, against a close of 5517 last week. The Put-Call Ratio is 1.23 against 1.31 last week and the
annualized Cost of Carry is negative 0.55%. The Open Interest of Nifty Futures decreased by 3.46%.
Put-Call Ratio Analysis
The PCR-OI decreased from 1.31 to 1.23 points last week.
Over the week, the 5400 put option added highest open interest
while most of the other put options witnessed some unwinding.
Significant build up was observed from 5500 to 5800 call
options. The 5400 put has highest open interest and continues
to add open interest over a week. The level may act as an
immediate support for the market for the time being.
Historical Volatility Analysis
The Historical Volatility of Nifty futures has decreased from
20.18% to 17.91%. Implied volatility of at-the-money options
is at the same level of 16.00%. Over the week, few liquid
counters where HV has increased significantly are INDIAINFO,
ADANIPOWER, HCC, ESSAROIL and PANTALOONR. Stocks
where HV has decreased significantly are TATAMOTORS,
POWERGRID, NHPC, PIRHEALTH and BEML.
Cost-of-Carry Analysis
Nifty June Futures closed at a discount of 1.65 points against a
premium of 6.75 points last week. The July future closed at a
premium of 12.25 points. Few liquid stocks where CoC turned
from negative to positive are PIRHEALTH, COREPROTEC, DLF,
DENABANK and ZEEL. Stocks where CoC turned from positive
to negative are SUNTV, GRASIM, FEDERALBNK, ULTRACEMCO
and RELCAPITAL.
Open Interest Analysis
Total open interest of market increased from `120,301cr to
`127,063cr. Stock futures open interest has increased from
`32,254cr to `33,140cr. Few liquid stocks where open interest
has increased significantly are BHUSANSTL, BATAINDIA, TITAN,
HINDALCO and IDFC. Most of the metal counters added short
positions over a week. Stocks where open interest has decreased
significantly are IRB, ITC, INFOSYSTCH, IVRCLINFRA and
UCOBANK.
India Equity Research Reports, IPO and Stock News
Visit http://indiaer.blogspot.com/ for complete details �� ��
Implied Volatility may surge in coming weeks
Nifty spot closed at 5485 this week, against a close of 5517 last week. The Put-Call Ratio is 1.23 against 1.31 last week and the
annualized Cost of Carry is negative 0.55%. The Open Interest of Nifty Futures decreased by 3.46%.
Put-Call Ratio Analysis
The PCR-OI decreased from 1.31 to 1.23 points last week.
Over the week, the 5400 put option added highest open interest
while most of the other put options witnessed some unwinding.
Significant build up was observed from 5500 to 5800 call
options. The 5400 put has highest open interest and continues
to add open interest over a week. The level may act as an
immediate support for the market for the time being.
Historical Volatility Analysis
The Historical Volatility of Nifty futures has decreased from
20.18% to 17.91%. Implied volatility of at-the-money options
is at the same level of 16.00%. Over the week, few liquid
counters where HV has increased significantly are INDIAINFO,
ADANIPOWER, HCC, ESSAROIL and PANTALOONR. Stocks
where HV has decreased significantly are TATAMOTORS,
POWERGRID, NHPC, PIRHEALTH and BEML.
Cost-of-Carry Analysis
Nifty June Futures closed at a discount of 1.65 points against a
premium of 6.75 points last week. The July future closed at a
premium of 12.25 points. Few liquid stocks where CoC turned
from negative to positive are PIRHEALTH, COREPROTEC, DLF,
DENABANK and ZEEL. Stocks where CoC turned from positive
to negative are SUNTV, GRASIM, FEDERALBNK, ULTRACEMCO
and RELCAPITAL.
Open Interest Analysis
Total open interest of market increased from `120,301cr to
`127,063cr. Stock futures open interest has increased from
`32,254cr to `33,140cr. Few liquid stocks where open interest
has increased significantly are BHUSANSTL, BATAINDIA, TITAN,
HINDALCO and IDFC. Most of the metal counters added short
positions over a week. Stocks where open interest has decreased
significantly are IRB, ITC, INFOSYSTCH, IVRCLINFRA and
UCOBANK.
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