Weekly Options Report for the week ended Aug 12, 2015
RETAIL RESEARCH
Weekly Perspective This report examines the options data on a weekly basis. It analyzes the changes in PCR, IV, Open Interest in Nifty
and Stock options trying to identify pockets of strengths and weaknesses in the process.
Options Open Interest Activity Overall
As on 120815 (No. of shares (000s)
Type of
Option
Nifty
Option
Stock
Option
Total
Option
% Change w-o-w
Call
Put
Total
Option
Option
Call Option
Put Option
Total
Call Option
Put Option
Total
71,598
61,491
1,33,089
60,020
57,463
1,17,483
19.29
7.01
13.28
5,55,219
2,47,817
8,03,036
3,66,913
1,93,207
5,60,120
51.32
28.27
43.37
6,26,817
6,26,817
12,53,634
4,26,933
2,50,670
6,77,603
46.82
150.06
85.01
Call OI
% chg Call OI
Strikes
Put OI
% chg Put OI
8,400
1,13,749
94.62
8,300
2,00,089
24.42
8,500
1,52,931
39.46
7,800
62,861
15.41
8,600
1,95,640
19.46
8,100
73,319
14.08
Call OI
% chg Call OI
Strikes
Put OI
% chg Put OI
8,800
1,73,111
-11.88
8,500
78,376
-25.68
8,900
1,00,432
-7.55
8,600
45,715
-24.84
9,000
1,48,076
-3.76
8,400
1,33,929
-12.09
The week ended Aug 12, 2015 saw the Nifty moving lower after breaking the supports of 8550. Total option OI rose by a healthy 85.01% Wo-W. Examining the top most tables above, we notice that the build up of positions was more in the Stock option segment. While the stock
option OI increased by 43.37% W-o-W, the Nifty option OI rose by 13.28% over the same period.
In the call segment, the highest OI build up was seen in the 8,400-8,500 call strikes (see the second table above). Maximum call OI is
currently being seen in the 8,600 and 8,700 call strikes (See the blue bar in the chart below) indicating strong resistance at these levels.
Unwinding was seen in the 8800-9000 call strikes as the markets fell during the week.
In the put segment, maximum build up was seen in the 8,300 and 7,800 strikes. Maximum put OI is currently being seen in the 8200 and
8300 put strikes (See the purple bar in the chart below) indicating strong support at these levels.
RETAIL RESEARCH
RETAIL RESEARCH
Volatility expectations rose as the Nifty IV climbed to 17% from 14% last week. The HV dipped to 16% from 17% indicating that options
have become more expensive. Reflecting the greater build up of Call OI in the market, the Nifty OI PCR dipped to 0.87 from 0.96 levels last
week.
RETAIL RESEARCH