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For November 13, 2014
A Sharekhan derivative research newsletter
Punter’s Call
Nifty above 8400
Derivatives summary
points versus a premium of 33.20 points in the previous
trading session.
The total open interest in the market was Rs220,476
crore and Rs7,712 crore was added in open interest.
Nifty call options added 10.20 lakh shares in open
interest whereas put options added 31.38 lakh shares
in open interest.
Apollo Hospital Enterprise (14%), Oracle Financial
Services Software (14%), Rural Electrification
Corporation Ltd (13%), MRF (12%), and Adani Ports and
Special Economic Zone (11%) were the top open
interest gainers in the market.
Shriram Transport Finance Company (-13%), Union Bank
of India (-10%), Bank of Baroda (-8%) and Mindtree
(-6%) were the top open interest losers in the market.
The overall volume in futures & options currently stand
at 76.46 lakh contracts with a turnover of Rs1,84,838
crore whereas the volume in Nifty futures was
marginally higher compared with previous trading
session.
Market commentary
Taking mixed cues from the international markets Indian
bourses started the day with positive bias. Later, in the initial
hour of the trade after sustaining above the monthly straddle
breakeven point of 8,414 it continued to climb higher making
new intra-day as well as lifetime high for the market due to
gains in banking, automobiles and fast moving consumer
goods (FMCG) sectors. Further, post lunch and taking negative
cues from the international markets Nifty showed tiredness
at higher levels due to which it slid downwards but managed
to trade in the positive territory and above the 8,400
throughout the day. Stock specific action continued during
the day with large-cap stocks like Axis Bank, DLF, Bajaj Auto,
Tata Motors and Ambuja Cements, which were up anywhere
in the range of 2-3% each were the top gainers, while bluechip stocks like Power Grid Corporation of India, Cipla, Tata
Power Company, Tata Steel and NTPC were amongst the top
losers registering a loss of around 2-3% each in today’s trade.
With all eyes on the industrial output numbers (IIP) data
and consumer price inflation (CPI) numbers, Nifty managed
to close at 8,418.80 with minor gain of around 0.20%.
Current
Previous
Change %
Nifty (Curr. MTH)
8418.8
8395.85
0.27%
Nifty CoC
10.30%
9.06%
13.78%
OI
25700750
25012800
2.75%
Vol
17665700
14642950
20.64%
PCR (OI)
1.04
1
4.00%
PCR (VOL)
1.05
1.1
-4.55%
Avg. Call IV
10.75%
10.72%
0.26%
Avg. Put IV
13.38%
13.12%
1.94%
14.44
14.80
-2.43%
Current
Previous
% Change
61.51
61.55
-0.06%
India VIX
Currency watch
USD vs INR
Looking Trendy
Monthly view on Nifty
Lower Range*
Higher Range*
7986
8414
*On a closing basis
Daily view on Nifty
5-day VWAP*
Lower Range
Higher Range
8390
8350
8450
* Volume-weighted average price (VWAP) is the ratio of the value traded to total
volume traded over a particular time horizon. It is a measure of the average price a
stock traded at over the trading horizon.
A lower range and higher range for the day is normally defined by the support
and resistance level respectively.
Advance / Decline ratio in futures
Advance
65
Daily view
Decline
75
Around 6.88 lakh shares were added in open interest
Unchanged
with an increase in price and the cost-of-carry,
indicating long buildup observed by the market
participants in today’s trade.
On the options front, the implied volatility has
decreased marginally by 200-250 basis points.
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Total
AD Ratio
5
145
0.87
Daring Derivatives — November 13, 2014 — 1
For Private Circulation only
Nifty (November) futures closed at a premium of 35.50
Nifty F&O snapshot
Nifty option strikes OI
275.55
5.05
8700
14.35
190.15
8600
0
2.00%
38.35
117.7
1720700
65375
8700
50
4.00%
8500
4594675
172275
8600
100
83.6
66.6
5584300
1378625
8500
150
8100
4946650
3191875
8400
2459525
6094475
8300
0
1486450
5276100
1000000
8200
2000000
1100050
4448550
6.00%
8400
3000000
200
151.1
36.15
8.00%
8300
4000000
250
232.45
9.61%
10.00%
8100
Open interest
5000000
Px PE
300
12.00%
10.60%
18.75
10.34%
8200
10.99%
Closing Price
11.83%
Px CE
350
14.00%
Implied volatility
6000000
Strike IV
323.35
PE
12.46%
10.5
CE
13.14%
7000000
Nifty option strikes prices
Strike price
Strike pric e
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
8400 C
10.85%
10.79%
4946650
Pre. IV
Curr. OI Chg OI %
3.73%
0.57%
8400 P
11.12%
11.16%
3191875
37.57%
-0.39%
8500 C
10.49%
10.51%
8600 C
10.32%
10.37%
5584300
7.47%
-0.23%
8300 P
12.17%
11.96%
6094475
21.05%
1.72%
4594675
9.69%
0.00%
8200 P
13.12%
12.87%
5276100
3.71%
8700 C
10.60%
1.94%
10.69%
1720700
20.27%
0.00%
8100 P
14.41%
14.03%
4448550
2.93%
8300 C
2.75%
11.49%
11.26%
2459525
-8.31%
2.06%
8000 P
16.06%
15.59%
5681950
-0.97%
3.03%
Average IV
10.75%
10.72%
-
-
0.26%
Average IV
13.38%
13.12%
-
-
1.94%
Most active stock call options
Curr.
Pre.
Curr.
OI
IV (%)
IV (%)
OI Chg %
Strike
IV
Chg %
Strike
-1.60%
Most active stock put options
Curr.
Pre.
Curr.
OI
IV (%)
IV (%)
OI Chg %
IV
Chg %
AUROPHARMA 1000 P 38.90%
37.89%
170250
21.17%
2.66%
33.79%
0.34%
YESBANK 680 P
33.34%
308500 109.86%
-1.59%
311750
-0.24%
-0.56%
RELIANCE 940 P
22.23%
21.76%
436500
2.89%
2.19%
1053625
11.19%
0.81%
SBIN 2750 P
33.25%
32.96%
100125
26.94%
0.88%
59.64%
-5.43%
TATASTEEL 450 P
37.76%
39.29%
640000
54.96%
-3.90%
ADANIPORTS 300 C
38.53%
39.16%
338000 -15.92%
TATASTEEL 490 C
37.88%
37.76%
831500
INFY 4200 C
17.33%
17.42%
SBIN 2800 C
33.87%
33.59%
ASHOKLEY 52.5 C
38.89%
41.13%
4917000
Most active stock futures (Current Month)
Scrips
Chg IV %
32.81%
FIIs’ F&O activity (in cr) Nov 11, 2014
Curr. CoC
Pre. CoC
Curr. OI
Chg. OI %
Buy
Sell
Difference
TATASTEEL
3.38%
4.51%
19615000
1.11%
INDEX FUTURES
893.19
1240.82
-347.62
HDFCBANK
21.88%
19.98%
45272750
3.06%
INDEX OPTIONS
11844.42
12613.65
-769.23
9.08%
13.28%
5784250
3.94%
STOCK FUTURES
2251.66
2370.18
-118.52
RELCAPITAL
12.48%
10.82%
14419000
0.70%
STOCK OPTIONS
RELIANCE
19.11%
17.03%
34177250
1.97%
TOTAL
SBIN
1892.00
1870.03
21.97
16881.28
18094.68
-1213.40
Derivative Calls
Date
Scrips
Buy/Sell
Initiation Range
Stoploss
Target
Remark
12-Nov-14
Bhartiartl CE 390
Buy
8.30
5.20
12.00
Booked Profits @ 9.70
12-Nov-14
NIfty CE 8450
Buy
61.00
46.40
88.00-90.00
Booked Profits @ 71.45
11-Nov-14
SBIN CE 2800
Buy
53.75
42.40
65.00-70.00
Exit @ 55
10-Nov-14
Relcapital CE 480
Buy
13.60
10.40
18.00-20.00
Booked Profits @ 15.50
2 — Daring Derivatives — November 13, 2014
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