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Weekly Wrap
Derivatives Note
November 28, 2014
Rollover Analysis – November 2014
Market Vs Nifty Rollover
November series that started with a bang ended on a
firm note. Higher rolls coupled with decent cost of carry
indicates long positions rolled by traders for December
series, which has been one of the best traction months for
the markets in the past. Nifty staged a smart comeback from
the lows of the day and further picked up steam during the
last 30mins of VAP trade to end at 8494 levels (up ~4%
eoe) for November series. Market wide rollover picked up
pace with ~87% (best ever) as compared to ~85.5% seen
in last expiry and 82% average of last 1year . Bank nifty
rolls stood at 63% (1.6mn shares) as against 68% (1.9mn
shares) in October series, as traders were reluctant to carry
over their position ahead of GDP numbers and RBI policy
event stated to be announced in coming days.
90
Market rollover
Nifty Rollover
80
70
60
50
The Nifty index rolled ~2.19cr shares (~76%) into the next
contracts. The Nifty contract-wise rolls were ~23% higher
when compared to the average of last five expiries. FIIs long/
short rolls in index future stood at 87/30%, most bullish in
the last six expiries with short index rolls being the lowest.
The current FIIs index long/short ratio at 10.7x. December
series Nifty 8000 puts options holds the maximum OI of
~3.1mn. However, for the first time in past few expiries we
start the fresh series with maximum concentration in call
strike (8500 call OI at 5.1mn shares) being lower than the
future prices (8547). The current formation in index based
option suggests market may struggle at higher levels.
40
23-Apr 29-May 26-Jun 31-Jul 28-Aug 25-Sep 30-Oct 27-Nov
Source: Company, India Infoline Research
Nifty Options
6.0
Call OI
(mn)
Put OI
5.0
4.0
3.0
Calls based on Rollover Strategy:
2.0
• Buy Mcleodruss Dec Fut below `250 with SL of `240 for
target of `270
8500
Telecom
8600
8400
Textile
8300
8200
8100
8000
7900
0.0
7800
1.0
Source: Company, India Infoline Research
Sector-wise rollovers
100
Nov Expiry
Oct Expiry
Sep Expiry
90
80
70
60
Source: Company, India Infoline Research
Click here for the detailed note.
Others
Power
Pharma
Oil & Gas
Metals
Media
Real estate
Infra
IT
FMCG
Fertilizer
Cement
Capital Goods
PSU Banks
Auto
40
Private Banks
50
India Infoline Weekly Wrap
Market Outlook
The indices continue their record breaking spree as the Nifty hit a
new high of 8,617. Investors seem to be pleasantly surprised as the
markets advanced ~1.3% for the week thanks to a fanatic Friday after
being stuck in a narrow range for most part of the week. The market
capitalisation of all listed companies on BSE, hit a record `100tn mark.
With crude prices continuing to fall precipitously, outlook for India’s
PSU oil companies is improving considerably. At US$70/bbl crude oil
price, gross under recoveries on an annualized basis would be in the
range of `300-400bn as compared to `1,100bn reported last fiscal.
After being sideways, Nifty has given a break on the upside.
Current breakout has been led by BankNifty. Being a leadership
sector, we expect the momentum to continue in the near term.
Short-term traders, use intra-day dips or any consolidation to
initiate longs. But outside the index, traders need to be extremely
stock specific and positioned in right sector. Most of the PSU
banks are building a strong base and getting ready for a big
upmove.
While inflation, both at the retail and wholesale level has been
undershooting RBI’s expectations, the central bank is unlikely to cut
rate in the upcoming monetary policy. Directionally, moderation in
inflation was expected due to a high base effect. Inflation trajectory in
the period of December 2014 to February 2015 was expected to mostly
determine RBI’s decision to change its monetary stance. Earlier, we
believed that first rate cut would only come by March 2015. However,
with recent developments like the FM scheduled to meet RBI governor
and reports suggesting the FM would push for a rate cut, anything is
possible at the policy meet next week. The market will also react to the
GDP data released after market hours on Friday.
F&O View
FIIs/MFs activity
Advance/Decline
800
Net FIIs inflow
(Rs cr)
Net MFs Inflows
Nifty has ended this week with record high closing. Higher rolls
coupled with decent cost of carry indicates long positions rolled
by traders for December series. Market wide rollover ended with
~87% (best ever) and Nifty rolls were 76%. FIIs long/short rolls in
index future stood at 87/30%, most bullish in the last six expiries
with short index rolls being the lowest.Start of December series
with aggressive put writing and call unwinding at 8500 strike
being the highlight for traders.
2,100
600
1,800
400
1,500
200
1,200
0
900
(200)
600
(400)
300
(No of stocks)
Advance
Decline
0
(600)
18-Nov
19-Nov
20-Nov
21-Nov
24-Nov
Global performance
Dow Jones
3.6
2.6
1.6
1.6
Auto
1.5
Power
1.1
BSE-200
0.8
Capital Goods
0.4
Health Care
2.3
Hangseng
Oil & Gas
0.4
Small Cap
Shanghai
7.9 (%)
1.0
24-Nov
2.6
Metals
1.6
0.0
21-Nov
Banks
1.3
Nasdaq
20-Nov
IT
1.3
Nifty
19-Nov
Realty
0.6
Sensex
18-Nov
Sectoral performance
0.1
Nikkei
2
Technical View
2.0
3.0
4.0
5.0
6.0
7.0
8.0
9.0
FMCG
(0.5)
(%)
(1.3)
(2.0)
(1.0)
0.0
1.0
2.0
3.0
4.0
India Infoline Weekly Wrap
Technical Check
Nifty 50 & CNX 500 top 10 Losers
Nifty 50 & CNX 500 top 10 gainers
NSE Nifty
Company
BHEL
284
PNB
NSE Nifty
CNX 500
CMP
(`)
1,072
Hindalco
174
%
Chg Company
CNX 500
CMP
(`)
CMP
(`)
%
Chg
Company
12.5 Jbf Ind.
219
31.1
Bharti Airtel
382
9.7 MOSL
264
19.5
NMDC
140
1,522
18.1
Cairn India
260
8.6 Persistent.
%
Chg Company
CMP
(`)
%
Chg
(4.8) HFCL
20
(8.0)
(4.2) Praj Ind.
67
(7.5)
(3.7) KSB Pumps
556
(7.5)
Asian Paints
745
7.6 Jsw Ener.
94
14.3
ITC
363
(3.5) Orbit Corp
16
(7.4)
DLF
149
6.2 Gujarat Gas
595
14.2
SSLT
231
(2.6) HOEC
45
(7.3)
1,324
6.2 BHEL
284
12.5
Powergrid
(7.2)
93
5.6 STAR
842
12.4
LT
5.2 J Kumar
436
11.9
Jindal Steel
4,360
5.2 Alstom T&D
475
11.9
Tech M
2,640
(1.4) CONCOR
750
5.1 Jm Financial
50
10.9
Bajaj Auto
2,641
(1.2) Deepak Fert.
M&M
Tata Power
SBI
321
Infy
Indusind Bank
Technically strong
Company
143
1,639
141
365
96
(7.2)
(1.6) Ramco Ind
80
(6.7)
1,347
(6.4)
132
(6.4)
Technically weak
CMP
(`)
10 days
Moving
Average (`)
Total
Traded Qty
(lacs)
10 days
Average
Traded Qty
(lacs)
78
76
18.5
8.5
Neyveli Lignite
Central Bank
(2.6) Max India
(1.6) India Cem
Company
CMP
(`)
10 days
Moving
Average (`)
Total
Traded Qty
(lacs)
10 days
Average
Traded Qty
(lacs)
84
86
218.0
1.3
Tata Chemical
437
426
68.9
6.1
ONGC
379
387
71.4
43.6
Cipla
635
618
406.8
24.5
UPL
346
351
9.3
16.6
ALBK
121
118
31.0
27.9
Godrej Ind.
286
290
46.1
4.7
4,360
4,238
54.5
11.6
Bajaj Hold.
1,430
1,438
47.7
0.6
Infy
Bulk deals
Book closure and record date
Company
Date
Purpose
ICICI Bank
04 Dec 2014
FV split from `10/- to `2/- per share
536
IDFC
11 Dec 2014
Interest payment
2.8
429
India Cements
15 Dec 2014
Annual General Meeting
B
65.7
394
S
79.0
24
Colgate Palmo
15 Dec 2014
Second interim dividend
Essar Oil
16 Dec 2014
Annual General Meeting
B/S
Qty
(lacs)
Price
(`)
JK Tyre
B
2.08
Goldman Sachs
Atul Auto
B
25-Nov
Abu Dhabi Inv
Zee Ent
25-Nov
Standard Chartered Man Infra
Date
Institution
Scrip name
24-Nov
Merrill Lynch
25-Nov
Nifty Future VWAP
Bank Nifty Future VWAP
Nifty Futs Close
8700
Nifty Vwap
Bank Nifty Futs Close
8650
18700
8600
18500
8550
18300
8500
18100
8450
Bank Nifty Vwap
18900
17900
24-Nov
25-Nov
26-Nov
27-Nov
28-Nov
24-Nov
25-Nov
26-Nov
27-Nov
28-Nov
3
India Infoline Weekly Wrap
Commodity Corner
Base metals
Precious metals
LME base metals scaled lower, as the euphoria regarding the
surprise interest rate cut by the Chinese regime dissipated.
Markets are realizing the fact that lower interest rates will only
benefit large state-owned Chinese companies and will not be of
much help to smaller enterprises. Small and medium enterprises
have been already frozen out of the banking system because of
the high debt levels. Such enterprises totally rely on the on the
shadow banking sector for funding. Meanwhile, there are wide
expectations that the Chinese regime will cut reserve requirement
ratios, a move that would flood the banking system with extra
cash. However, the beneficiary will be only the large state-owned
companies. On fundamental front, International Copper Study
Group reported that global copper markets witnessed a deficit of
544,000 tons during the first 8 months of this year, a complete
contrasting when compared with a 42,000 tons surplus during
the same period a year ago.
At the onset of the week, Gold prices floated around US$1,200/
oz, supported by surprise rate cut by China, which has joined the
ranks of ECB and Bank of Japan as far as accommodative monetary
policy is concerned. In Europe, ECB announced that it will utilize the
bank’s resources to attain the inflation target of 2%. However at
the current juncture, gold prices have lost ground as liquidation in
the energy counter is taking a toll on the entire commodity pack.
On macroeconomic front, US GDP economy grew at an annualised
rate of 3.9% during Q3, higher than the initial estimate of the 3.5%.
Growth for the second quarter was also upwardly revised to 4.6%.
US economy seems to be the only bright spot and the recent flow
of numbers is in complete contrast with the economic conditions in
Japan, China and Europe.
Non-ferrous markets seem to be not encouraged by the
improvement in US economic landscape. Markets are more
focused on the deterioration in Chinese macroeconomic
numbers and the precarious state of health in Chinese realty
sector. Broader concerns regarding slowing Chinese economy
remain intact, which has raised doubts over the demand
prospects of the metals.
There is a complete contrast in the monetary policy adopted by
Fed and other central banks like ECB, BOJ and PBC. On one hand,
Fed will be persuaded to hike interest rates next year considering
the improving US economic landscape. While on the other side of
the Atlantic, various central banks will be compelled to adopt an
accommodative stance. On outlook, we are not optimistic on the
yellow metal, inspite of the easing stance by China, Japan and
Europe. We believe that the market focus will be rather inclined
towards hawkish US Fed, as the looming probability of an interest
rate hike in the near future will bolster US dollar further and in
the process keep a check on the upside in the precious pack.
Note: This market commentary is written at 12:00 PM IST
Weekly inventory update
LME prices
Base Metals (US$/ton)
High
Low
LTP*
Chg(%)
Tons
Abs Chg.
Chg (%)
2.2
Copper
6,773
6,538
6,558
(2.5)
Copper (LME)
164,300
3,475
Nickel
16,770
16,245
16,355
(1.6)
Nickel (LME)
404,496
9,726
2.5
2,318
2,252
2,256
(1.8)
Zinc (LME)
673,000
(3,225)
(0.5)
Aluminium (LME)
4,324,175
(44,650)
(1.0)
217,775
750
0.3
11,850
270
2.3
Zinc
Aluminium
2,075
2,030
2,044
(0.5)
Lead
2,075
2,029
2,061
-
Lead (LME)
Tin (LME)
High
Low
LTP*
Chg(%)
88,278
(7,105)
(7.4)
1,208
1,182
1,182
(1.6)
Shanghai Zinc
110,349
2,128
2.0
(2.4)
Shanghai Aluminium
225,415
264
0.1
Precious Metals (US$/ounce)
Gold
Silver
* Last Traded Price
16.7
16.0
16.0
LME Copper
10500
Shanghai Copper
COMEX Gold
US$/ ton
2050
Copper (LME)
US$/ ounce
Gold
1900
9500
1750
8500
1600
1450
7500
1300
6500
4
Nov-14
Aug-14
May-14
Feb-14
Nov-13
Aug-13
May-13
Feb-13
Nov-12
Aug-12
Feb-12
May-12
Nov-11
Aug-11
Feb-11
May-11
Nov-10
1000
Aug-10
Nov-14
Aug-14
May-14
Feb-14
Nov-13
Aug-13
Feb-13
May-13
Nov-12
Aug-12
Feb-12
May-12
Nov-11
Aug-11
May-11
Feb-11
Nov-10
Aug-10
5500
1150
6
0
5
110
100
30
(%)
Six core Ind.
(INR/EURO)
(INR/USD)
(INR/GBP)
(INR/JPY)
IIP and Six core Industries
IIP
130
12
8
4
0
80
(4)
70
60
Currency Movements
90
80
60
50
70
Nymex Crude
Nov-14
Aug-14
May-14
Feb-14
Nov-13
10yr Gsec yield
3mth CP rate
Aug-13
May-13
Feb-13
Nov-12
4
Aug-12
9
May-12
6
Feb-12
10
Nov-11
8
(%)
Aug-11
10
Feb-11
12
13
May-11
14
Nov-10
MFG Products
Aug-10
Oct-14
Jul-14
Apr-14
Jan-14
Monthly Inflation
Oct-13
Jul-13
Apr-13
Jan-13
Oct-12
Jul-12
(%)
Apr-12
Jan-12
Oct-11
Jul-11
14
Mar-11
May-11
Jul-11
Sep-11
Nov-11
Jan-12
Mar-12
May-12
Jul-12
Sep-12
Nov-12
Jan-13
Mar-13
May-13
Jul-13
Sep-13
Nov-13
Jan-14
Mar-14
May-14
Jul-14
Sep-14
Nov-14
2
Apr-11
Inflation
Mar-11
May-11
Jul-11
Sep-11
Nov-11
Jan-12
Mar-12
May-12
Jul-12
Sep-12
Nov-12
Jan-13
Mar-13
May-13
Jul-13
Sep-13
Nov-13
Jan-14
Mar-14
May-14
Jul-14
Sep-14
Nov-14
(8)
Mar-11
May-11
Jul-11
Sep-11
Nov-11
Jan-12
Mar-12
May-12
Jul-12
Sep-12
Nov-12
Jan-13
Mar-13
May-13
Jul-13
Sep-13
Nov-13
Jan-14
Mar-14
May-14
Jul-14
Sep-14
16
Jul-11
Sep-11
Nov-11
Jan-12
Mar-12
May-12
Jul-12
Sep-12
Nov-12
Jan-13
Mar-13
May-13
Jul-13
Sep-13
Nov-13
Jan-14
Mar-14
May-14
Jul-14
Sep-14
Nov-14
India Infoline Weekly Wrap
Chartbook
Interest Rate
5yr AAA bond yield
12
11
8
7
Crude (Brent/ Nymex)
120
Brent Crude
110
100
90
Dollar Index
95
Dollar Index
90
70
85
80
40
75
Source: Bloomberg
5
6
15
1,250
10
1,200
10,000
Source: Bloomberg
Sensex PE Band
60,000
29x
24x
18x
13x
7x
0
26.0
24.0
22.0
20.0
18.0
16.0
14.0
12.0
10.0
8.0
6.0
PE (x)
Cur. Yr
PE Comparision
1-Yr Fwd
27-Nov
23-Nov
19-Nov
15-Nov
11-Nov
(Rs)
7-Nov
VIX
3-Nov
30-Oct
26-Oct
22-Oct
35
18-Oct
1,500
14-Oct
Volatility Index
10-Oct
Nov-14
Aug-14
May-14
Feb-14
Nov-13
Aug-13
May-13
40
Feb-13
Nov-12
Aug-12
250
Nasdaq
1,300
May-12
40
Mexico Bolsa
20
Feb-12
300
Sensex
1,350
Nov-11
Oct-14
Jul-14
Apr-14
Jan-14
Oct-13
Jul-13
Apr-13
Jan-13
Oct-12
Jul-12
Apr-12
Jan-12
Oct-11
Jul-11
Apr-11
Jan-11
Oct-10
50
S&P 500
25
Aug-11
60
Dow Jones
20,000
US
Taiwan
30,000
Germany
China
Straits
40,000
Euro Zone
FTSE
50,000
India
DAX
1,400
May-11
(%)
Hang Seng
30
Feb-11
PMI
Shanghai
Apr-99
Apr-00
May-01
May-02
Jun-03
Jun-04
Jul-05
Jul-06
Aug-07
Aug-08
Aug-09
Sep-10
Sep-11
Oct-12
Oct-13
Nov-14
45
Jan-13
Feb-13
Mar-13
Apr-13
May-13
Jun-13
Jul-13
Aug-13
Sep-13
Oct-13
Nov-13
Dec-13
Jan-14
Feb-14
Mar-14
Apr-14
May-14
Jun-14
Jul-14
Aug-14
Sep-14
Oct-14
65
Nov-10
India Infoline Weekly Wrap
Chartbook...
US Initial Jobless Claims
550
500
Initial Jobless Claims ('000)
55
450
400
350
Sensex Earning Estimates
FY15
1,450
India Infoline Weekly Wrap
News Recap
The Reserve Bank of India is considering more measures for
non-banking financial companies, including more oversight and
bringing state-owned firms under central bank supervision. (ET)
Oil and Natural Gas Corp has finalized a price between $10.10
and $11.20 per unit for gas produced from its marginal fields, oil
minister Dharmendra Pradhan has said. (BS)
A panel headed by oil regulator DGH will by December 24 submit
its report on the reasons for delay in developing gas discoveries
in ONGC's Krishna Godavari basin KG-D5 block, Oil Minister
Dharmendra Pradhan said. (ET)
Reliance Communications, Tata Teleservices and Aircel are among
the top net losers of subscribers under mobile number portability
services, Telecom Minister Ravi Shankar Prasad said today. (ET)
Indirect tax collection may fall short of the annual target by an
estimated `900bn in the current fiscal, mainly because of subdued
industrial activities, a senior finance ministry official has said. (BL)
The Telecom Regulatory Authority of India (Trai) recommended
a 15% rise in reserve price of 800-MHz spectrum for auction at
`31.04bn. (BS)
Nippon Life Insurance will invest US$108mn in Reliance Capital's
fund management business for an additional 9% stake. (BS)
DLF deposited `1bn in the Supreme Court registry, on the eve
of the hearing of its appeal on Friday against the order of the
Competition Commission of India directing it to pay `6.8bn as
penalty for abuse of dominant position. (BS)
Hardy Oil, a partner of Reliance Industries in the D3 block in
the Krishna-Godavari (KG) basin, said that it would review its
investment in India in the light of unattractive pricing and
uncertainty surrounding long-term price outlook for natural gas
sales. (BS)
Tata Motors’ bitter dispute with workers in its UK facility could
result in the company shifting Jaguar Land Rover (JLR) factories
outside that country. (BS)
JSW Steel which has been looking to grow via the inorganic route,
is likely to have lost the bid for acquisition of Italy’s second-largest
steelmaker, Lucchini. (BS)
Maruti Suzuki India Ltd is targeting to increase its sales from 1.2mn
to 2mn vehicles a year in the next five to six years. (BL)
The Central Electricity Regulatory Commission has approved the
tariff petition of Tata Power for its 1,050-MW Maithon Power
project in Jharkhand. (BL)
Rating agency Moody's has downgraded Indian Overseas Bank's
financial strength rating from "D-" to "E+". The rating action reflects
weakening asset quality and capital profile. (BS)
Adani Group and Gujarat State Petroleum Corporation Limited's
5mtpa liquefied natural gas terminal at Mundra, Gujarat, will take
a tad longer to build. (BS)
Union Minister of State for Petroleum and Natural Gas Dharmendra
Pradhan said the government had no immediate plan to remove
the subsidy on Liquefied Petroleum Gas. (BS)
The Heavy Industry Ministry has sought key changes in the Draft
Road Transport & Safety Bill to make things easier for automobile
companies. The draft Bill, floated by the Road Ministry, aims to
replace the existing Motor Vehicles Act. (BL)
Tata Motors, grappling with falling car sales for a third year in
a row, is planning to put a thrust on rural market among other
revival measures. The rural market accounts for 16% of its volume.
(BS)
Bharti Airtel has sold its 4,800 mobile towers in Nigeria to USbased American Tower Corp for about US$1.05bn in a move to
pare debt. (BS)
SpiceJet which has been exploring various means to raise funds for
quite some time, said it is in talks with a few investors to mop up
fresh capital. (ET)
Event Calendar
Period: 01st Dec – 5th Dec
US
• Markit Manufacturing PMI Final (1 Dec)
India
• HSBC Manufacturing PMI (1 Dec)
•
ISM Manufacturing PMI (1 Dec)
•
RBI monetary policy meet (2 Dec)
•
Initial jobless claims (4 Dec)
•
HSBC India services PMI (3 Dec)
China
• HSBC Manufacturing PMI Final (1 Dec)
India
• PPI MoM (2 Dec)
•
•
Non Manufacturing PMI (3 Dec)
Retail sales YoY (3 Dec)
IIFL, IIFL Centre, Kamala City, Senapati Bapat Marg, Lower Parel (W), Mumbai 400 013
The information in this newsletter is generally provided from the press reports, electronic media, research, websites and other media. The information also includes information from interviews
conducted, analysis, views expressed by our research team. Investors should not rely solely on the information contained in this publication and must make their own investment decisions based on their
specific investment objectives and financial position and using such independent advisors as they believe necessary. The materials and information provided by this newsletter are not, and should not be
construed as an advice to buy or sell any of the securities named in this newsletter. India Infoline may or may not hold positions in any of the securities named in this newsletter as a part of its business.
Past performance is not necessarily an indication of future performance. India Infoline does not assure for accuracy or correctness of information or reports in the newsletter.
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