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For October 22, 2014
A Sharekhan derivative research newsletter
Punter’s Call
Bulls gaining momentum
Derivatives summary
Nifty (October) futures closed at a premium of 18.65
points versus a premium of 17.85 points in the previous
trading session.
The total open interest in the market was Rs221,341 crore
and Rs5,995 crore was added in open interest.
Nifty call options shed 7.28 lakh shares in open interest
whereas put options added 17.36 lakh shares in open
interest.
Indraprastha Gas (21%), Mahindra and Mahindra (19%),
Shriram Transport Finance Company (16%), GAIL (16%)
and CESC (14%) were the top open interest gainers in the
market.
Nifty F&O snapshot
Current
Previous
Change %
7946.4
7897.25
0.62%
9.54%
8.27%
15.38%
OI
18983000
18060150
5.11%
Vol
31271150
28744850
8.79%
PCR(OI)
0.85
0.84
1.19%
PCR ( VOL)
0.94
0.83
13.25%
Avg. Call IV
11.20%
12.97%
-13.66%
Avg. Put IV
13.17%
13.84%
-4.87%
13.33
14.19
-6.06%
Current
Previous
% Change
61.31
61.36
-0.08%
Nifty (Curr. MTH)
Nifty CoC
India VIX
Rural Electrification Corporation (-10%), SKS Microfinance
(-10%), Oriental Bank of Commerce (-9%) and Hexaware
Technologies (-9%) were the top open interest losers in
the market.
The overall volume in futures & options currently stand
at 74.72 lakh contracts with a turnover of Rs2,96,532
crore whereas the volume in Nifty futures was marginally
higher compared with the previous trading session.
Currency watch
USD vs INR
Looking Trendy
Market commentary
Weekly view
Daily view
5-Day VWAP
Lower Range
Higher Range
7870
8000
7870
Monthly view
Lower Range
Higher Range
7758
8240
*On closing basis
Advance / Decline ratio in futures
Advance
107
Decline
35
Around 9.23 lakh shares were added in open interest with
an increase in the price and cost of carry, indicating long
buildup observed by the market participants for the third
consecutive day.
On the options front, the implied volatility has decreased
significantly by 6-7%.
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Unchanged
Total
AD Ratio
3
145
3.06
Daring Derivatives — October 22, 2014 — 1
For Private Circulation only
Taking mixed cues from the international markets Nifty started
the day with flat to positive bias. Later, it continued to move
northward making new intra-day high due to gains in banking,
infrastructure, metal, reality and automobile sectors. However,
after the initial hours of the trade Nifty lost some momentum
and slid downwards especially after the dismal numbers of Punjab
National Bank, Nifty made new low and went into the negative
territory. Further, taking positive cues from the European market
Nifty regained the strength and climbed higher making a new
intra-day high. The short covering was seen in many of the blue
chip counters like Jindal Steel and Power, DLF, GAIL, Sesa Sterlite
and Bharat Heavy Electricals, which gained anywhere in the range
of 5-7% were amongst the top gainers, while large-cap stocks
like ONGC, Mahindra and Mahindra, Punjab National Bank,
UltraTech Cement and Coal India, which lost 2-4% were amongst
the top losers in today’s trade. With all the volatility Nifty finally
ended the session nearby day’s high at 7,946.40 registering decent
gain of around 0.60%.
Nifty option strikes OI
Px CE
Strike IV
251.6
2.9
8200
9.35
159.4
0
2.00%
8100
50
4.00%
32.1
84.2
5714950
545650
8200
100
6.00%
8000
6304600
802350
8100
150
80.55
36.65
5914100
2493250
8000
200
7600
3643100
5711400
1599500
6347200
7800
7900
401300
5472500
0
7700
1000000
250100
4722900
2000000
7600
8.00%
7900
10.00%
3000000
250
156.7
15.5
12.00%
7800
10.28%
Px PE
300
248.8
4000000
11.91%
6.9
11.19% 10.80%
350
14.00%
7700
5000000
16.00%
345.4
12.05%
400
3.25
13.07%
18.00%
Closing Price
6000000
Open interest
PE
16.27%
Implied volatility
CE
7000000
Nifty option strikes prices
Strike price
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
10.97%
12.76%
5914100
Pre. IV
Curr. OI Chg OI %
-7.91%
-14.03%
7900 P
11.46%
12.48%
5711400
19.63%
-8.16%
7900 C
10.92%
12.63%
8100 C
11.00%
12.93%
3643100
-16.17%
-13.50%
7800 P
12.90%
13.64%
6347200
17.01%
-5.41%
6304600
-1.96%
0.00%
7700 P
14.57%
14.88%
5472500
-2.61%
8200 C
11.91%
-2.11%
13.75%
5714950
2.75%
0.00%
8000 P
10.64%
11.88%
2493250
8.90%
-10.44%
7800 C
11.19%
12.79%
1599500
-20.62%
-12.51%
7600 P
16.27%
16.33%
4722900
-3.30%
-0.38%
Average IV
11.20%
12.97%
-
-
-13.66%
Average IV
13.17%
13.84%
-
-
-4.87%
Most active stock call options
Curr.
Pre.
Curr.
OI
IV (%)
IV (%)
OI Chg %
Strike
IV
Chg %
Strike
Most active stock put options
Curr.
Pre.
Curr.
OI
IV (%)
IV (%)
OI Chg %
ICICIBANK 1550 C
23.75%
25.04%
213500 -22.01%
-5.13%
BHEL 230 P
39.12%
37.63%
PFC 280 C
37.02%
38.73%
290000
-4.40%
SBIN 2550 P
25.91%
26.68%
HDFCBANK 900 C
21.59%
24.73%
815500
PNB 940 P
30.95%
40.74%
91500
PNB 960 C
31.44%
38.90%
233500 151.08% -19.18%
TCS 2300 P
29.16%
32.82%
280125
INFY 3900 C
18.47%
18.70%
372125 -21.92%
DLF 110 P
83.13%
86.11%
2982000
3.57%
-7.43% -12.70%
-1.24%
Most active stock futures (Current Month)
Scrips
Chg IV %
1000000 549.35%
159000
61.22%
IV
Chg %
3.94%
-2.88%
-4.19% -24.04%
4.48% -11.15%
18.15%
-3.45%
FIIs’ F&O activity (in cr) Oct 20, 2014
Curr. CoC
Pre. CoC
Curr. OI
Chg. OI %
Buy
Sell
Difference
PNB
-13.48%
-1.72%
4594000
2.96%
INDEX FUTURES
3341.55
1886.54
1455.01
SBIN
16.48%
0.28%
4516250
4.35%
INDEX OPTIONS
16162.76
16354.92
-192.17
HDFCBANK
21.28%
22.87%
33163000
-2.58%
STOCK FUTURES
3231.93
2604.22
627.72
ICICIBANK
-11.15%
-8.79%
8643250
-1.01%
STOCK OPTIONS
RELIANCE
17.02%
13.66%
33674500
-0.53%
TOTAL
2881.39
2926.23
-44.84
25617.63
23771.91
1845.72
Derivative Calls
Date
Scrips
Buy/Sell
Initiation Range
Stoploss
Target
Remark
21-Oct-14
Tatasteel CE 460
Buy
7.40
6.90
12.00
Booked Profit @ 8.50
21-Oct-14
Bankbaroda CE 900
Buy
11.90
9.40
18.00-22.00
Exit @ 12.00
2 — Daring Derivatives — October 22, 2014
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Daring Derivatives — October 22, 2014 — 3
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