Derivative Summary

Weekly Summary During the week gone by Nifty gained 0.8% and closed at 2211.9. Following the derivative expiry, open interest decreased by Rs. 7263 cr. or 30% at Rs. 16596 cr. week on week. OI in futures, calls & puts changed by -19%, -62% & -68% respectively. Nifty has OI worth Rs. 5790 cr. outstanding as on Friday. Among stock TISCO leads the pack with Rs. 923 cr. followed by Reliance and SBI with Rs. 919 cr. & Rs. 584 cr. respectively. Market wide put-call ratio based on OI has decreased from 0.39 to 0.27 week on week. For Nifty the ratio has decreased from 1.53 to 1.40. Daily Summary Nifty lost 8.7 points or 0.4% and closed at 2211.9. Nifty future closed at 2206.85. Open interest increased by Rs. 1617 cr. or 11% at Rs. 16596 cr (including Rs. 2623 cr. of newly included 65 scrips). Open interest in no of shares went up by 9.6% from 49.7 cr to 54.5 cr. shares. Open interest in futures, calls and puts changed by 8%, 38% and 34% respectively in value terms and 7%, 44% and 68% respectively in no. of shares. IV of Nifty July 2200 Call & Put was 15.3% & 22% respectively. Previous day IV's were 10.1% & 27% respectively for near strike call & put. OI in Nifty futures calls & puts changed by 5.5%, 25% and 29% respectively. Nifty 2250 call added 1461 contracts in OI. Among puts 2150 put added 2852 contracts in OI.