A Sharekhan derivative research newsletter

For September 09, 2015

Punters Call

Some relief for bulls

Derivatives summary
Nifty F&O snapshot

Nifty (September) futures closed at a premium of 31.15

points versus a premium of 15.70 points in the previous
trading session.
The total open interest in the market was Rs214,746
crore and Rs7,283 crore was added in open interest.
Nifty call options added 6.25 lakh shares in open
interest whereas put options added 2.76 lakh shares in
open interest.
Indiabulls Housing Finance (29%), JSW Energy (21%),
SKS Microfinance (21%), DHFL (15%) and Amara Raja
Batteries (14%) were the top open interest gainers in
the market.
Apollo Tyres (-8%), Mindtree (-7%), Amtek Auto (-6%),
Engineers India (-6%) and NMDC (-5%) were the top
open interest losers in the market.
The overall volume in futures & options currently
stands at 99.15 lakh contracts with a turnover of
Rs219,091 crore whereas the volume in Nifty futures
was significantly higher as compared with the previous
trading session.

Current

Previous

Change %

7719.4

7574.5

1.91%

9.24%

4.46%

107.26%

OI

25409025

25041250

1.47%

Vol

18548625

14438675

28.46%

PCR (OI)

0.95

0.95

0.00%

PCR (VOL)

0.87

0.93

-6.45%

Avg. Call IV

22.63%

24.11%

-6.15%

Avg. Put IV

28.29%

28.83%

-1.87%

24.57

26.35

-6.76%

Current

Previous

Change %

66.56

66.83

-0.40%

Nifty (Curr. MTH)

Nifty CoC

India VIX

Currency watch

USD vs INR

Looking Trendy
Monthly view on Nifty

Market commentary

Daily view
Around 3.68 lakh shares were added in open interest
with an increase in price, indicating long build-up was
observed by the market participants in todays trade.
On the options front, the volatility index has increased
significantly in todays trade by around 7%.

1 | Daring Derivatives | September 09, 2015

Higher Range*

7500

8363

*On a closing basis

Daily view on Nifty

5-day VWAP*

Lower Range

Higher Range

7700

7700

7800

* 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

137

Decline

24

Unchanged
Total
AD Ratio

3
164
5.71

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Tracking mixed cues from global markets, the broader

index Nifty commenced the day 30 points higher during
the opening bell. Later, unlike the last few trading
sessions Nifty continued to capitalise on the positive
movement and inched higher slowly and steadily till
the early afternoon. Post-lunch, markets picked up
momentum and extended the gains led by positive bias
in the banking stocks which was the star performer in
todays trade followed by gains in other sectors like
automobiles, infrastructure, information technology,
metal, oil & gas and pharmaceutical stocks. Broad-based
buying (which was much of short covering) across the
market and sectorial indices supported the 50-share
index, Nifty, to continue its upward journey and create a
fresh intra-day high above mark of 7700. Markets finally
settled the session above 7700 with decent gains of more
than 2% at 7719.40.

Lower Range*

Nifty option strikes OI

400

25.00%

350

327.45
45.85

252.9
73.7

8000

7400

Strike price

7900

8000

7900

7800

7700

7600

7500

7400

112.25
196.25

50

0.00%

7800

100

5.00%

162.7
148.6

150

7700

3662200
3919400

2388675
2108900

3137625
3944100

2188800
2143975

500000

1222550
3397650

1000000

10.00%

1082025
4663300

1500000

200

224.4
112

2000000

250

7600

15.00%

2500000

Px PE

300

294.2

20.00%

3000000

83.55

24.14% 23.27%
22.36% 22.19%

3500000

334400
3666650

Open interest

4000000

Px CE
30.00%

7500

25.20%

372.65

26.18%

61.85

27.26%

4500000

Nifty option strikes prices

Strike IV

Closing Price

5000000

PE

Implied volatility

CE

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

Pre. IV

Curr. OI

Chg OI %

Chg IV %

7800 C

23.01%

24.36%

3137625

8000 C

22.08%

23.71%

3662200

24.14%

-5.55%

7500 P

26.97%

27.61%

4663300

-3.03%

-2.33%

-1.41%

-6.86%

7400 P

28.16%

28.80%

3666650

0.41%

7900 C

22.48%

23.90%

-2.23%

2388675

-5.94%

0.00%

7300 P

29.55%

30.05%

3056225

5.13%

7700 C

23.73%

-1.64%

24.92%

2188800

13.47%

0.00%

7600 P

25.77%

26.49%

3397650

-0.80%

-2.70%

8100 C

21.83%

23.67%

2805825

-12.95%

-7.74%

7200 P

30.99%

31.19%

4083500

4.75%

0.00%

Average IV

22.63%

24.11%

-6.15%

Average IV

28.29%

28.83%

-1.87%

Most active stock call options

Strike

Most active stock put options

Curr.
IV (%)

Pre. IV Curr. OI
(%)

OI Chg IV Chg %
%

Strike

Curr.
IV (%)

Pre. IV
(%)

Curr.
OI

SBIN 260 C

54.06%

57.30% 3068000

-1.19%

-5.66%

BANKBARODA 180 C

62.04%

67.78%

686000 -16.95%

-8.46%

ICICIBANK 260 C

48.43%

52.20%

830000

-8.99%

TCS 2600 C

30.35%

30.84%

157750

YESBANK 700 C

52.07%

56.41%

402000

RELIANCE 800 P

36.57%

37.95%

256750

20.68%

-3.62%

YESBANK 660 P

57.80%

59.77%

235750

73.03%

-3.29%

-7.22%

TATASTEEL 220 P

57.47%

60.83%

986000

42.49%

-5.53%

4.21%

-1.58%

ICICIBANK 240 P

54.40%

54.95%

584000

3.55%

-1.01%

-5.91%

-7.69%

DLF 115 P

79.48%

81.10%

788000

23.13%

-1.99%

Most active stock futures (Current Month)

Scrips

Curr. CoC

Pre. CoC

OI Chg IV Chg %
%

FIIs F&O activity (in cr) Sep 07, 2015

Curr. OI

Chg. OI %

Buy

Sell

Difference

YESBANK

3.44%

3.13%

14503500

-4.23%

INDEX FUTURES

1201.67

2289.00

-1087.33

AXISBANK

8.91%

10.74%

28323000

1.51%

INDEX OPTIONS

15396.89

16006.70

-609.81

SBIN

10.49%

6.31%

67237000

-1.82%

STOCK FUTURES

1887.52

1680.53

206.99

ICICIBANK

11.81%

9.91%

58000000

2.82%

STOCK OPTIONS

1567.29

1533.28

34.01

3.57%

2.49%

7073500

-0.97%

20053.38

21509.51

-1456.14

LT

TOTAL

Derivative Calls
Date

Scrips

7-Sep-2015

INDUSINDBK CE 860

2 | Daring Derivatives | September 09, 2015

Buy/Sell
Buy

Initiation Range
22.00

Stoploss
16.80

Target
35.00-40.00

Remark
Stopped Out

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