Nifty spot closed at 5278.90 this week, against a close of 5146.05 last week. The Put-Call Ratio decreased from 1.52 to 1.24 levels and the annualized Cost of Carry is positive 4.72%. The Open Interest of Nifty Futures decreased by 0.90%.


Put-Call Ratio Analysis

The Nifty PCR OI is at 1.24 levels. In beginning of the July series we have observed significant amount of build-up in put options especially in 4800 and 5000 strike price, while in call option the Build-up is quite scattered ranging from 5300-5500 strike price. The highest build-up in current series is at 5000 put option which will act as the strong support and in call option it's difficult to suggest any strong resistance as the build-up is quite scattered, however 5400 has the maximum open positions as of now.


Open Interest Analysis

Total open interest of market has decreased from Rs 1,35,243 crore to Rs 1,02,265 crore. Stock futures open interest has decreased from Rs 29,462 crore to Rs 27,357 crore. Some of the liquid counters which added open interest are CAIRN, SINTEX, ONGC, ADANIENT and TCS. Open interest was shed in some big names like AMBUJACEM, TATASTEEL, BHEL, ACC and HDIL.


Implied Volatility Analysis

Implied Volatility (IV) for NIFTY has being more or less same in this week, however it has decreased a bit from 17.50% to 17.42%. Historical volatility (HV) is at 23.30% and that for BANKNIFTY is trading at 33.22%. Liquid counters having very high HV are ONMOBOLE, NCC, IGL, ABAN and GVKPIL. Stocks where HV are on lower side are VIDEOIND, HDFC, BAJAJ-AUTO, INFY and WIPRO.


Cost-of-Carry Analysis

Nifty futures closed at a premium of 18.45 point against the premium of 25.60 points to its spot. Next month future is trading with premium of 43.10 points. Liquid counters where CoC is high are COREEDUTEC, ALOKTEXT, JSWISPAT, RUCHISOYA and ONMOBILE. Stocks with negative CoC are ASHOKLEY, INDUSINDBK, TATAMTRDVR, TATASTEEL and PRAJIND.