Daily Derivatives Report 06th Aug 2025 by Axis Securities Ltd
The Day That Was:
Nifty Futures: 24,707.8 (-0.3%), Bank Nifty Futures: 55,539.2 (-0.6%).
Nifty Futures declined by 85.3 points, signaling a short build-up as open interest expanded by 1,27,500 shares, a 0.7% increase, bringing the total to 1,76,37,525 shares. Concurrently, Bank Nifty Futures dropped 320.8 points, also indicating a short build-up, with open interest surging by 4,36,730 shares, an 18.2% jump, to 28,38,675. The broader Indian market fell, with key equity benchmarks pressured by renewed global jitters following U.S. President Donald Trump's threat of tariffs on Indian goods and mixed Q1 earnings. Investor caution ahead of the Reserve Bank of India's monetary policy decision led to a sell-off in the banking and oil & gas sectors. Sectoral performance was bifurcated, with oil & gas, pharma, and FMCG shares declining, while auto and metal shares advanced. Market volatility, as measured by India VIX, decreased by 2.13% to 11.71. Futures premiums tightened, with the Nifty premium dropping from 70 to 58 points and the Bank Nifty premium decreasing from 241 to 179 points.
Global Movers:
US stocks fell yesterday on concerns about economic growth. The S&P 500 fell 0.5% and Nasdaq 100 declined 0.7%. Data showed that services sector growth for July came in below all expectations. Second quarter earnings have largely beaten estimates, and yet, high valuations are making investors think how long the stock rally can continue, even though bets on Fed cuts resuming have spiked after Friday's jobs data. Coming to the markets, the VIX rose 1.9%, the dollar index fell for a third day while the US 10-year treasury yield was flat near 4.2%. In commodities, gold rose for a fourth session and finished at $3380 as tariff-led fears hogged headlines while brent oil dropped in a similar streak as Trump said he is readying for more tariffs on buyers of Russian crude.
Stock Futures:
UNO Minda, Siemens, BSE, and PayTM have all seen a significant uptick in trading activity, with elevated volumes and notable price swings. This points to a major strategic repositioning by investors, likely prompted by the latest earnings season's results and expectations.
UNO Minda Ltd. surged amid positive sector sentiment, fueled by rising vehicle sales and government policies supporting the auto ancillary sector and the burgeoning EV market. The stock's 3.9% price gain, coupled with a significant 27.4% increase in open interest, signals a "Long Addition," with futures open interest swelling by 1,078 to 5,068 contracts. In the options, a robust call-option open interest of 1,831 contracts, bolstered by a fresh addition of 944 contracts, dwarves the put-option open interest of 1,178 contracts, which saw an addition of 425 contracts. The put-call ratio (PCR) declined from 0.85 to 0.64, indicating a decisive bullish bias, as option writers were more aggressive in the put side while option buyers were more aggressive on the call side, reflecting a clear conviction in the stock's upward trajectory.
Siemens Ltd. (SIEMENS) staged a significant rally, driven by a halo effect from its subsidiary, Siemens Energy India, which reported a monumental 80% year-on-year surge in Q3 FY26 net profit and a 94% jump in new orders. The stock’s 2.7% price gain coincided with a 0.4% decrease in open interest, a classic "Short Covering" scenario, as futures open interest shed 77 contracts to settle at 17,427. In the options segment, call open interest stands at 6,112 contracts, an increase of 580, while put open interest is at 3,470, a decrease of 77. This disparity reflects a positive shift in market sentiment, with traders unwinding bearish bets, as option writers were more aggressive in the put side while option buyers were more aggressive on the call side, indicating a shift towards a more positive outlook on the stock.
BSE Ltd. (BSE) experienced a precipitous decline, battered by a report that SEBI may restrict weekly derivatives to curb speculation, a move that triggered a sell-off across capital market stocks. With a 5.3% price decrease and a 6.1% increase in open interest, the stock saw a "Short Addition," as futures open interest rose by 1,791 to 31,183 contracts. Options data reveals a bearish positioning: call open interest stands at 19,063 contracts (an addition of 7,021) while put open interest is at 13,231 contracts (an addition of 3,313). This imbalance suggests that option writers were more aggressive on the call side while option buyers were more aggressive on the put side, signaling a bearish stance and a belief in the stock’s continued downward momentum.
One 97 Communications Ltd. suffered a downturn, precipitated by a massive block deal where Antfin (Netherlands) Holding B.V. offloaded its entire 5.84% stake for approximately ?3,800 Cr at a floor price of ?1,020 per share. This led to a "Short Addition," with the stock's price dropping 2.3% and a significant 27.4% increase in open interest, adding 8,503 new contracts to reach 39,566. In the options market, call open interest stands at 12,790 contracts (an addition of 4,651) while put open interest is at 8,617 (an addition of 3,131). This data indicates a bearish conviction, as option writers were more aggressive on the call side while option buyers were more aggressive on the put side, reflecting a pessimistic sentiment and positioning for further weakness.
Put-Call Ratio Snapshot:
The Nifty put-call ratio (PCR) fell to 0.83 from 0.94 points, while the Bank Nifty PCR fell from 0.9 to 0.82 points.
Implied Volatility:
Blue Star Ltd and PGEL have recently experienced notable price volatility, driven largely by their elevated implied volatility (IV) scores of 100 and 87, respectively. Currently, Blue Star Ltd has an IV of 40%, while PGEL's IV stands at 47%. These high levels of implied volatility indicate significant market uncertainty, which tends to increase options premiums—raising both the cost and associated risk for traders. In contrast, LT and Lodha Ltd exhibit the lowest implied volatility among the group, at 16% and 31%, respectively. This points to a more stable trading environment with lower market uncertainty. Such conditions typically result in cheaper options premiums and less dramatic price swings. For traders, this creates a favorable scenario for executing simpler strategies like buying calls or puts. Additionally, the lower volatility environment may be attractive to experienced traders looking to write options, as the reduced likelihood of large, unexpected price moves helps manage potential downside risk.
Options volume and Open Interest highlights:
ABFRL and Mazagon Dock are exhibiting strong momentum, highlighted by impressive call-to-put volume ratios of 10:1 and 4:1, respectively. These ratios reflect a bullish sentiment and the potential for swift gains. However, such elevated levels may also suggest that options are overvalued, calling for caution before entering new long positions. On the other hand, BSE and Auropharma are showing signs of bearishness, as indicated by high put-to-call volume ratios. While the surge in put activity could imply oversold conditions—possibly offering contrarian buying opportunities—it also underscores the prevailing negative market sentiment. In terms of options positioning, PNB Housing and Kaynes Technology are notable for significant fluctuations in both call and put volumes, signaling expectations of substantial price movements. Suzlon Energy shows a tilt toward call options, whereas Piramal Pharma Ltd is seeing increased interest in puts, suggesting the potential for elevated volatility. (This data covers only stock options with at least 500 contracts traded on the day for both calls and puts).
Participant-wise Open Interest Net Activity:
In index futures, retail investors and high-net-worth individuals, classified as Clients, demonstrably maintained a bullish bias by adding 5,670 contracts. This constructive stance, however, was in direct contrast to the significant deleveraging by Foreign Institutional Investors (FIIs), who decisively decreased their positions by 11,824 contracts, signaling a pronounced bearish outlook. Concurrently, Proprietary traders, utilizing their own capital, adopted a cautiously optimistic perspective, incrementally adding 4,430 contracts. This indicates a selective, rather than a broad, bullish engagement. A more pronounced bearish sentiment was evident in stock futures. Here, despite a substantive addition of 35,449 contracts by Clients, both FIIs and Proprietary traders exhibited a risk-averse posture. FIIs reduced their contracts by a substantial 41,878, while Proprietary traders similarly scaled back their positions by 13,712 contracts.
Nifty
Bank Nifty
Stocks with High IVR:
Stocks with Low IVR:
Stocks With High IVP:
Stocks With Low IVP:
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