Daring Derivatives

For February 06, 2015
A Sharekhan derivative research newsletter
Punter’s Call
Market upside down
Derivatives summary
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Nifty (February) futures closed at a premium of 39.60
points versus a premium of 52.65 points in the previous
trading session.
The total open interest in the market was Rs211,913
crore and Rs549 crore were added in open interest.
Nifty call options added 1.36 lakh shares in open interest
whereas put options added 16.74 lakh shares in open
interest.
Jubilant FoodWorks (14%), Aurobindo Pharma (10%), Tata
Power (8%), Divis Laboratories (6%) and UCO Bank (6%)
were the top open interest gainers in the market.
Wockhardt (-23%), Coal India (-14%), Shriram Transport
Finance Company (-12%), UPL (-10%) and Glenmark
Pharmaceuticals (-10%) were the top open interest
gainers in the market.
The overall volume in futures & options currently stand
at 82.24 lakh contracts with a turnover of Rs208,617
crore whereas the volume in Nifty futures was
significantly higher compared with the previous trading
session.
Market commentary
Tracing Singapore, the Nifty and other global indices, back
home in the Indian markets, witnessed a flat to positive
opening. After a flat opening further Nifty continued to
march upwards and made a new high for the market. During
mid afternoon the market showed sharp upside due to gains
in large-cap stocks like BPCL, HCL Technologies, Wipro,
Infosys and TCS along with other index components. During
the last hour of trade, the market took a sudden u-turn
from the day’s high and nosedived due to a sudden broadbased selling across the market and sectorial indices.
Further, negative opening of the European markets pushed
Nifty towards a fresh intra-day low. With all possible pain,
the Nifty shut shop lower at 8751.30 with a loss of
around 0.40%.
Nifty F&O snapshot
Current
Previous
Change %
8751.3
8776.35
-0.29%
7.54%
9.58%
-21.26%
OI
25624600
26019950
-1.52%
Vol
14744175
10177075
44.88%
PCR (OI)
0.89
0.86
3.49%
PCR (VOL)
0.97
0.92
5.43%
Avg. Call IV
17.20%
16.99%
1.23%
Avg. Put IV
18.47%
18.37%
0.57%
20.62
20.05
2.84%
Current
Previous
% Change
61.76
61.67
0.15%
Nifty (Curr. MTH)
Nifty CoC
India VIX
Currency watch
USD vs INR
Looking Trendy
Monthly view on Nifty
Lower Range*
Higher Range*
8655
9346
*On a closing basis
Daily view on Nifty
5-day VWAP*
Lower Range
Higher Range
8830
8655
8900
* 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
29
Around 3.95 lakh shares were shed in open interest with
a decrease in price, indicating long unwinding was
observed by the market participants in today’s trade.
Decline
119
On the options front, the volatility index has increased
marginally by 200-300 basis points.
Total
Daily view
z
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Unchanged
AD Ratio
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3
151
0.24
Daring Derivatives — February 06, 2015 — 1
For Private Circulation only
Advance / Decline ratio in futures
Nifty option strikes OI
Nifty option strikes prices
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
9000 C
16.95%
16.81%
5082500
Pre. IV
Curr. OI Chg OI %
-5.44%
0.83%
8600 P
18.52%
18.49%
2698900
8900 C
17.26%
16.87%
9100 C
17.02%
16.78%
3288275
2.78%
2.30%
8700 P
17.90%
17.86%
2722825
7.02%
0.21%
3057550
1.29%
0.00%
8500 P
19.13%
18.93%
2977375
-0.31%
1.10%
8800 C
17.53%
17.49%
9200 C
17.24%
17.01%
2773975
9.65%
0.00%
8800 P
17.16%
17.09%
2412650
2.86%
0.42%
3301700
-1.76%
1.39%
8400 P
19.63%
19.45%
2181650
16.51%
0.93%
Average IV
17.20%
16.99%
-
-
1.23%
Average IV
18.47%
18.37%
-
-
0.57%
Most active stock call options
Curr.
Pre.
Curr.
OI
IV (%)
IV (%)
OI Chg %
Strike
IV
Chg %
Strike
Chg IV %
6.12%
0.15%
Most active stock put options
Curr.
Pre.
Curr.
OI
IV (%)
IV (%)
OI Chg %
IV
Chg %
INFY 2300 C
23.53%
25.29%
169500
-3.28%
-6.96%
INFY 2100 P
24.08%
24.65%
129000
20.28%
-2.31%
ICICIBANK 380 C
40.45%
37.77%
2047500
7.06%
7.11%
ALBK 105 P
50.71%
54.70%
270000 159.62%
-7.29%
ALBK 120 C
49.59%
54.20%
804000
65.43%
-8.51%
TATAMOTORS 580 P
39.84%
40.14%
475500
69.22%
-0.76%
UNITECH 20 C
84.75%
72.26% 15606000
12.89%
17.29%
AXISBANK 570 P
38.45%
39.99%
201000
29.26%
-3.85%
RELIANCE 960 C
27.20%
27.15%
6.75%
0.18%
RCOM 70 P
54.37%
52.39%
706000 105.23%
3.78%
688250
Most active stock futures (Current Month)
Scrips
FIIs’ F&O activity (in cr) Feb 06, 2015
Curr. CoC
Pre. CoC
Curr. OI
Chg. OI %
Buy
Sell
Difference
AXISBANK
-3.52%
7.24%
27044000
-5.11%
INDEX FUTURES
1430.16
1209.63
220.53
HDFCBANK
8.71%
8.84%
43932000
-0.52%
INDEX OPTIONS
9982.27
9696.90
285.37
SBIN
8.84%
12.18%
73437500
-2.87%
STOCK FUTURES
3224.88
4101.83
-876.95
TATAMOTORS
11.97%
12.08%
21840000
3.53%
STOCK OPTIONS
ICICIBANK
11.12%
10.13%
72397500
2.32%
TOTAL
1866.78
1862.82
3.97
16504.09
16871.17
-367.08
Derivative Calls
Date
Scrips
Buy/Sell
Initiation Range
Stoploss
Target
Remark
5-Feb-15
NIfty 8900 CE
Buy
95.50
68.40
140.00
Booked Profit @ 105.05
4-Feb-15
Tatamotors 640 CE
Buy
9.30
0.01®
14.00-16.00
Exit @ 6.10
2 — Daring Derivatives — February 06, 2015
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