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For October 16, 2014
A Sharekhan derivative research newsletter
Punter’s Call
Stock specific action continues
Derivatives summary
Nifty (October) futures closed at a premium of 31.25
points versus a premium of 27.15 points in the previous
trading session.
The total open interest in the market was Rs200,005 crore
and Rs1,712 crore was added in open interest.
Nifty call options added 10.84 lakh shares in open interest
whereas put options reduced 0.41 lakh shares in open
interest.
DLF (34%), Housing Development and Infrastructure (26%),
Just Dial (15%), Sun TV Network (15%) and Housing
Development Finance Corporation (7%) were the top open
interest gainers in the market.
Oriental Bank of Commerce (-8%), Voltas (-5%), Bharat
Forge (-5%) and SAIL (-5%) were the top open interest
losers in the market.
The overall volume in futures & options currently stand
at 48.03 lakh contracts with a turnover of Rs2,27,362
crore whereas volume in the Nifty futures was marginally
higher compared with the previous trading session.
Market commentary
Despite negative cues from the international markets Nifty
started the day with positive bias due to strong macroeconomic
numbers of consumer price index (CPI) inflation which was
released post closing of Monday’s trading session. However,
very soon it gave away all of its gains due to losses in sectors
like automobile, information technology, fast moving consumer
goods (FMCG) and reality stocks. Further, post lunch and despite
negative cues from the European markets, Nifty showed
resilience at lower levels backed by strong wholesale price index
(WPI) number and bounced back sharply from the day’s low
with the help of banking sector, which outperformed the
benchmark indices Nifty in today’s trade. However, the bounce
was short-lived as again fresh round of selling triggered due to
selling in the large-cap stocks like DLF, BPCL, Cairn India, HCL
Technology and Tata Motors, which were the top losers in today’s
trade (DLF being the worst performer down by close to 30%).
The markets oscillated between positive and negative territory
and remained highly volatile throughout the day. Nifty finally
wrapped the volatile session at 7895.25 registering minor loss
of around 0.20%.
Daily view
Around 0.52 lakh shares were reduced in open interest
with decrease in price, indicating long unwinding observed
by market participants in today’s trade.
On the options front, the implied volatility has increased
marginally by 100-200 basis points.
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Current
Previous
Change %
7895.25
7911.4
-0.20%
9.07%
7.39%
22.61%
OI
15925000
15976650
-0.32%
Vol
12963950
11006750
17.78%
PCR(OI)
0.87
0.88
-1.14%
PCR ( VOL)
0.89
0.88
1.14%
Avg. Call IV
13.82%
13.70%
0.86%
Avg. Put IV
15.73%
15.54%
1.26%
14.59
14.50
0.62%
Current
Previous
% Change
61.45
61.08
0.61%
Nifty (Curr. MTH)
Nifty CoC
India VIX
Currency watch
USD vs INR
Looking Trendy
Weekly view
5-Day VWAP
Lower Range
Higher Range
7758
7950
7900
Monthly view
Lower Range
Higher Range
7758
8240
*On closing basis
Advance / Decline ratio in futures
Advance
61
Decline
81
Unchanged
Total
AD Ratio
3
145
0.75
Daring Derivatives — October 16, 2014 — 1
For Private Circulation only
Nifty F&O snapshot
Nifty option strikes OI
CE
17.00%
Strike price
307.3
8200
10.05
224.6
23.35
8100
0
1.00%
48.7
150.75
50
3.00%
8000
5862400
810550
8200
100
5.00%
90.5
95.75
5351600
1071200
8100
150
7900
5124600
2593500
8000
1307150
6630600
7800
2733600
4057050
765150
5017850
7700
7900
356800
4811100
0
7600
7.00%
149.3
57.5
3000000
200
7800
9.00%
223.95
4000000
250
7700
Open interest
11.00%
32.7
13.00%
5000000
1000000
300
15.00%
11.92%
311.2
14.11% 13.59%
13.30%
18.4
14.64%
7600
15.23%
6000000
2000000
Px PE
350
Closing Price
7000000
Px CE
Strike IV
Implied volatility
16.19%
Nifty option strikes prices
PE
Strike price
Derivative Activity
Most active index call options
Most active index put options
Strike
Curr. IV
Pre. IV
Curr. OI Chg OI %
Chg IV %
Strike
Curr. IV
8000 C
13.82%
13.72%
5124600
Pre. IV
Curr. OI Chg OI % Chg IV % 8x
3.28%
0.70%
7800 P
14.93%
14.68%
6630600
-0.99%
1.70%
8100 C
13.70%
13.63%
7900 C
14.08%
13.89%
5351600
1.05%
0.53%
7900 P
14.15%
13.95%
4057050
-9.88%
1.46%
2733600
1.79%
0.00%
7700 P
15.65%
15.46%
5017850
-8.24%
8200 C
13.70%
1.25%
13.60%
5862400
-1.78%
0.00%
7600 P
16.54%
16.29%
4811100
11.36%
1.55%
8300 C
13.79%
13.65%
5318500
3.73%
0.98%
7500 P
17.40%
17.32%
4015100
-0.69%
0.46%
Average IV
13.82%
13.70%
-
-
0.86%
Average IV
15.73%
15.54%
-
-
1.26%
Most active stock call options
Curr.
Pre.
Curr.
OI
IV (%)
IV (%)
OI Chg %
Strike
Most active stock put options
Curr.
Pre.
Curr.
OI
IV (%)
IV (%)
OI Chg %
IV
Chg %
Strike
94.17%
4.88%
DLF 80 P
267125 -20.29%
2.52%
RELIANCE 960 P
136.96%
0.00%
21.50%
25.09%
1218000
0.00%
0.00%
HDIL 80 C
58.10%
55.40%
SBIN 2500 C
26.63%
25.98%
RELIANCE 1000 C
24.59%
27.37%
SSLT 230 P
49.99%
41.45%
572000 439.62%
DLF 130 C
90.54% 136.61%
183800045850.00% -33.72%
SBIN 2400 P
28.87%
27.19%
241250
18.92%
6.16%
RCOM 105 C
45.35%
2390000
INFY 3800 P
22.55%
23.31%
323500
-8.49%
-3.28%
45.48%
3200000
IV
Chg %
2132750
4.64% -10.15%
4.28%
-0.28%
Most active stock futures (Current Month)
Strike CoC
538000 -21.37% -14.34%
20.60%
FIIs’ F&O activity (in cr) Oct 13, 2014
Curr. CoC
Pre CoC
Curr. OI
Chg. OI %
Buy
Sell
Difference
DLF
11.96%
8.04%
26266000
27.10%
INDEX FUTURES
1037.50
1859.28
-821.77
SBIN
8.63%
8.34%
4625625
-2.11%
INDEX OPTIONS
12788.73
12140.67
648.06
RELIANCE
7.12%
7.73%
32168750
-0.78%
STOCK FUTURES
1912.97
1934.42
-21.45
SSLT
5.48%
12.03%
18784000
-2.80%
STOCK OPTIONS
ICICIBANK
2.39%
2.18%
8292500
0.81%
TOTAL
2495.61
2505.99
-10.38
18234.82
18440.37
-205.55
Derivative Calls
Date
Scrips
Buy/Sell
Initiation Range
Stoploss
Target
Remark
14-Oct-14
Banknifty CE 16000
Buy
171.50
124.40
220.00
Open @ 168.50
13-Oct-14
ITC CE 360
Buy
3.90
2.40
6.00-8.00
Exit @ 4.05
13-Oct-14
Nifty CE 7900
Buy
66.25
54.40
85.00-90.00
Booked Profit @ 79.40
2 — Daring Derivatives — October 16, 2014
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Daring Derivatives — October 16, 2014 — 3
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