Tuesday 5 March 2019

DERIVATIVE DIARY - MARCH 2019

DERIVATIVE HIGHLIGHTS FOR 28-03-2019

·        The market-wide position in the derivative segment at the beginning of the April Series vis-à-vis March Series stands at:
Particulars
April Series
March Series
% Change
OVERALL OI IN NO. OF SHARES (Cr.)
501.00
465.59
7.61%
NIFTY FUT OI IN NO. OF SHARES (Cr.)
1.81
1.49
21.48%
STOCK FUT OI IN NO. OF SHARES (Cr.)
435.95
401.79
8.50%
BANK NIFTY FUT OI (No. in Mn)
2.28
1.19
91.60%
CALL OPTION OI IN NO. OF SHARES (Cr.)
2.93
2.79
5.02%
PUT OPTION OI IN NO. OF SHARES (Cr.)
4.62
4.78
-3.35%
OI (Rs. in crores)
261588.00
231958.00
12.77%
NIFTY CLOSING
11570.00
10792.50
7.20%

·        Overall rollover for the new series stands at 88% vs. 85% in the previous series and also higher than the 3 month average of 86%. Nifty rollover for the April series stands at 67% vs. 60% in the previous series and also higher than the 3 month average stands of 65%. Bank Nifty rollover for the April series stands at 71% vs. 76% in the last series and also lowers than the 3 month average stands of 72%.
·        Nifty OI PCR Ratio stands at 1.58.
·        Option statistics: Nifty highest Call option OI for April series stands at 12000 strike price. In today’s trading session, Nifty 11400, 11500 and 11600 call options seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the April series stand at 11000 strike price. In today’s trading session, Nifty 11400 and 11500 put options seen addition in OI with IV decreasing indicates writing of option.

·        Looking into the option data, Nifty immediate resistance stands in the vicinity of 11570-11600 level and a sustain trade above 11600 will open the upside of 11760 level. On the downside, immediate support stands around the 11450 level. 


DERIVATIVE HIGHLIGHTS FOR 27-03-2019

·        Nifty futures seen addition of 8 lacs in OI and Bank Nifty futures seen addition of 2.3 lacs in OI.
·        Nifty OI PCR Ratio increased from 1.46 to 1.64.
·        Nifty OI Stocks seen long build-up includes Jet Airways, Canbank, DLF, BHEL, GMRInfra, Chola Finance, NHPC, IGL, Pidilite, Repcohome, ICICIBank, IDFC, TV18, Balkrishna, SBIN, GAIL and Asian Paint. Stocks seen short build-up includes ICICIPrulife, RECLtd, LT, TechM, NIITTech, Tata Power and PFC.
·        Option statistics: Nifty highest Call option OI for March series stands at 11500 strike price. In today’s trading session, Nifty 11300, 11400 and 11500 call options seen unwinding in OI with IV increasing indicates covering by writers of option. Nifty highest Put Option OI for the March series stand at 11000 strike price. In today’s trading session, Nifty 11400 and 11500 put options seen addition in OI with IV increasing indicates buying of option.
·        Overall rollover before E-1 day stands at 70% vs. 65% in the last series. Nifty rollover before E-1 day stands at 59% vs. 48% in the last series.

·        Looking into the option data, Nifty immediate support stands around the 11400 level and on the upside, immediate resistance holds in the vicinity of 11570-11600 level. 

DERIVATIVE HIGHLIGHTS FOR 26-03-2019

·        Nifty futures seen addition of 8 lacs in OI and Bank Nifty futures seen addition of 2.3 lacs in OI.
·        Nifty OI PCR Ratio increased from 1.46 to 1.64.
·        Nifty OI Stocks seen long build-up includes Jet Airways, Canbank, DLF, BHEL, GMRInfra, Chola Finance, NHPC, IGL, Pidilite, Repcohome, ICICIBank, IDFC, TV18, Balkrishna, SBIN, GAIL and Asian Paint. Stocks seen short build-up includes ICICIPrulife, RECLtd, LT, TechM, NIITTech, Tata Power and PFC.
·        Option statistics: Nifty highest Call option OI for March series stands at 11500 strike price. In today’s trading session, Nifty 11300, 11400 and 11500 call options seen unwinding in OI with IV increasing indicates covering by writers of option. Nifty highest Put Option OI for the March series stand at 11000 strike price. In today’s trading session, Nifty 11400 and 11500 put options seen addition in OI with IV increasing indicates buying of option.
·        Overall rollover before E-2 days stands at 52% vs. 47% in the last series. Nifty rollover before E-2 days stands at 48% vs. 37% in the last series.

·        Looking into the option data, Nifty does cross the immediate resistance of 11465 and the next resistance to watch out will be 11570-11600 level. On the downside, immediate support holds in the vicinity of 11350-11300 level. 


DERIVATIVE HIGHLIGHTS FOR 25-03-2019

·        Nifty futures seen unwinding of 8 lacs in OI and Bank Nifty futures seen unwinding of 1.1 lacs in OI.
·        Nifty OI PCR Ratio decreased from 1.60 to 1.46.
·        Nifty OI Stocks seen long build-up includes REC, Powergird, BPCL, Jublfood and Jet Airways. Stocks seen short build-up includes NHPC, Voltas, VEDL, SAIL, VGuard, PcJeweller, IDFC, CONCOR, JISLJAL, GMRInfra and DLF.
·        Option statistics: Nifty highest Call option OI for March series stands at 11600 strike price. In today’s trading session, Nifty 11300, 11400 and 11500 call options seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the March series stand at 11000 strike price. In today’s trading session, Nifty 11300 put options seen addition in OI with IV increasing indicates buying of option.
·        Overall rollover before E-3 days stands at 34% vs. 32% in the last series. Nifty rollover before E-3 days stands at 36% vs. 24% in the last series.

·        As mentioned, Nifty does slide towards the level of 11300, making a low of 11311, vindicating our view. Looking into the option data, Nifty breaking the 11300 level will open further downside level of 11220. On the upside, Nifty likely to face resistance around the level of 11465 and above that 11600 level.


DERIVATIVE HIGHLIGHTS FOR 22-03-2019

·        Nifty futures OI remains flat at 2.50 crores and Bank Nifty futures seen unwinding of 2.1 lacs in OI.
·        Nifty OI PCR Ratio decreased from 1.71 to 1.60.
·        Nifty OI Stocks seen long build-up includes NTPC, ONGC, SRF, Indigo, Ramco Cement, GMRInfra and Eichermotor. Stocks seen short build-up includes Motherson, Coal India, IOC, ICICIPrulife, OIL, RelCapital, NHPC, KSCL, Chennai Petro, Amaraja and PFC.
·        Option statistics: Nifty highest Call option OI for March series stands at 11600 strike price. In today’s trading session, Nifty 11400, 11500 and 11600 call options seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the March series stand at 11000 strike price. In today’s trading session, Nifty 11400 and 11500 put options seen unwinding in OI with IV increasing indicates covering by writers of option.

·        Looking into the option data, Nifty immediate support stands around the 11430 level and a sustain trade below 11430 will open the downside level of 11350-11300. On the upside, Nifty likely to face resistance around the level of 11600 and above that 11760 level.


DERIVATIVE HIGHLIGHTS FOR 20-03-2019

·        Nifty futures seen unwinding of 2 lacs in OI and Bank Nifty futures seen unwinding of 1.7 lacs in OI.
·        Nifty OI PCR Ratio decreased from 1.78 to 1.71.
·        Nifty OI Stocks seen long build-up includes BHEL, DLF, Idea, Orientbank, Syndicate bank and DHFL. Stocks seen short build-up includes Coalindia, IOC, NTPC, ONGC, Enginersind, NHPC, NBCC, Maruti, Adanipower, OIL, SAIL, Chennpetro and Castrol.
·        Option statistics: Nifty highest Call option OI for March series stands at 11500 strike price. In today’s trading session, Nifty 11500 and 11600 call options seen addtion in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the March series stand at 11000 strike price. In today’s trading session, Nifty 11400, 11500 and 11600 put options seen addition in OI with IV decreasing indicates writing of option.

·        Looking into the option data, Nifty immediate support stands around the 11440 level and below that 11350 level. On the upside, Nifty likely to move towards the level of 11600-11760.


DERIVATIVE HIGHLIGHTS FOR 19-03-2019

·        Nifty futures seen addition of 10 lacs in OI and Bank Nifty futures seen addition of 0.7 lacs in OI.
·        Nifty OI PCR Ratio increased from 1.67 to 1.78.
·        Nifty OI Stocks seen long build-up includes Ramco Cement, Torntpower, MGL, ALBK, Shree Cement, Bank Baroda, Syndicate bank, Escorts, PFC, Infratel, PNB and Torntpharma. Stocks seen short build-up includes Mindtree, Castrol, TVSMotor, DLF, Heromotor, Srtransfin and Idea.
·        Option statistics: Nifty highest Call option OI for March series stands at 11500 strike price. In today’s trading session, Nifty 11400 and 11600 call options seen unwinding in OI with IV decreasing indicates profit booking of option. Nifty highest Put Option OI for the March series stand at 11000 strike price. In today’s trading session, Nifty 11400, 11500 and 11600 put options seen addition in OI with IV decreasing indicates writing of option.

·        Looking into the option data, Nifty immediate support stands around the 11400 level and below that 11200 level. On the upside, Nifty likely to move towards the level of 11600-11760.


DERIVATIVE HIGHLIGHTS FOR 18-03-2019

·        Nifty futures seen addition of 3 lacs in OI and Bank Nifty futures seen addition of 0.5 lacs in OI.
·        Nifty OI PCR Ratio decreased from 1.77 to 1.67.
·        Nifty OI Stocks seen long build-up includes Rpower, Justdial, NTPC, BEML, Godfrey, Manappuram, Orientbank, Jublfood, PVR, Ramco Cement, Petronet and ICICI Prulife. Stocks seen short build-up includes DCBbank, VGuard, NIITTech, Heromotor, Castrol, TVSMotor, Lupin and ONGC.
·        Option statistics: Nifty highest Call option OI for March series stands at 11500 strike price. In today’s trading session, Nifty 11500 call options seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the March series stand at 11000 strike price. In today’s trading session, Nifty 11400 and 11500 put options seen addition in OI with IV increasing indicates buying of option.

·        Looking into the option data, Nifty immediate support stands around the 11370 level and below that 11200 level. On the upside, Nifty sustaining above the 11500 level will open the upside level of 11600-11760.


DERIVATIVE HIGHLIGHTS FOR 15-03-2019
·        Nifty futures seen addition of 31 lacs in OI and Bank Nifty futures seen addition of 1.8 lacs in OI.
·        Nifty OI PCR Ratio increased from 1.68 to 1.77.
·        Nifty OI Stocks seen long build-up includes RBLBank, Coal India, NTPC, Kotakbank, GAIL, IOC, ICICIBank, LT, SRF, ZEEL and TCS. Stocks seen short build-up includes SAIL, Hidnunilvr, Castrol, Kajaria, Nestle, Heromotor, ACC and Havells.
·        Option statistics: Nifty highest Call option OI for March series stands at 11500 strike price. In today’s trading session, Nifty 11300, 11400 and 1150 call options seen unwinding in OI with IV increasing indicates covering by writers of option. Nifty highest Put Option OI for the March series stand at 11000 strike price. In today’s trading session, Nifty 11300, 11400 and 11500 put options seen addition in OI with IV increasing indicates buying of option.

·        As mentioned, Nifty does move towards the level of 11500, making a high of 11487, vindicating our view. Looking into the option data, Nifty immediate support stands around the 11300 level and below that 11180 level. On the upside, Nifty sustaining above the 11500 level will open the upside level of 11600-11760.

DERIVATIVE HIGHLIGHTS FOR 14-03-2019

·        Nifty futures seen addition of 4 lacs in OI and Bank Nifty futures seen unwinding of 0.3 lacs in OI.
·        Nifty OI PCR Ratio decreased from 1.81 to 1.68.
·        Nifty OI Stocks seen long build-up includes Jublfood, PcJeweller, Tata global, STAR, Infibeam, Torntpharma, Godrejind, Bajaj Auto, NBCC and Justdial. Stocks seen short build-up includes RelCapital, CONCOR, JISLJAL, Adanient, Repcohome, ACC, Manappuram and M&M Finance.
·        Option statistics: Nifty highest Call option OI for March series stands at 11500 strike price. In today’s trading session, Nifty 11400 call options seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the March series stand at 11000 strike price. In today’s trading session, Nifty 11200, 11300 and 11400 put options seen addition in OI with IV decreasing indicates writing of option.

·        Looking into the option data, Nifty immediate support stands around the 11200 level and below that 10050 level. On the upside, Nifty sustaining above the 11385 level, is likely to move towards the level of 11450-11500.

DERIVATIVE HIGHLIGHTS FOR 13-03-2019

·        Nifty futures seen addition of 16 lacs in OI and Bank Nifty futures seen addition of 2.7 lacs in OI.
·        Nifty OI PCR Ratio remains flat at 1.81.
·        Nifty OI Stocks seen long build-up includes Justdial, BEML, KTKBank, Amaraja, Syndibank, RECLTD, SRF, PFC and HindZinc. Stocks seen short build-up includes ONGC, Apollo Hospital, OIL, Tata Global, ACC, IGL, Nationalum and IOC.
·        Option statistics: Nifty highest Call option OI for March series stands at 11500 strike price. In today’s trading session, Nifty 11200 and 11300 call options seen unwinding in OI with IV decreasing indicates profit booking of option. Nifty highest Put Option OI for the March series stand at 11000 strike price. In today’s trading session, Nifty 11200, 11300 and 11400 put options seen addition in OI with IV increasing indicates buying of option.

·        Looking into the option data, Nifty immediate support stands around the 11170 level and below that 10050 level. On the upside, Nifty likely to move towards the level of 11450-11500.

DERIVATIVE HIGHLIGHTS FOR 12-03-2019

·        Nifty futures seen addition of 18 lacs in OI and Bank Nifty futures seen addition of 3.9 lacs in OI.
·        Nifty OI PCR Ratio increased from 1.73 to 1.81.
·        Nifty OI Stocks seen long build-up includes Arvind, BPCL, HDFCBank, NBCC, Amaraja, Dishtv, Indusindbank, IOC, CONCOR, Tata Comm, GAIL, DLF, Ceatltd, IndianB, ICICIBank and PVR. Stocks seen short build-up includes MRF, Mindtree, Apollo Hospital, Indigo, PFC, ONGC, Federalbank and ICICIPrulife.
·        Option statistics: Nifty highest Call option OI for March series stands at 11400 strike price. In today’s trading session, Nifty 11100 and 11200 call options seen unwinding in OI with IV increasing indicates covering by writers of option. Nifty highest Put Option OI for the March series stand at 11000 strike price. In today’s trading session, Nifty 11100, 11200 and 11300 put options seen addition in OI with IV increasing indicates buying of option.

·        As mentioned, Nifty does move towards the level of 11300, vindicating our view. Looking into the option data, Nifty immediate support stands around the 11110 level and below that 10050 level. On the upside, a sustain trade above 11320 level will open the upside of 11450-11500 level.


DERIVATIVE HIGHLIGHTS FOR 11-03-2019

·        Nifty futures seen addition of 14 lacs in OI and Bank Nifty futures seen addition of 1.2 lacs in OI.
·        Nifty OI PCR Ratio increased from 1.60 to 1.73.
·        Nifty OI Stocks seen long build-up includes DCBBank, Bergerpaint, Cummins, Ramco Cement, Godfreyphilip, Mindtree, BHEL, Bajaj Auto, Indianbank, Ujjivan, Siemens, CESC, BPCL, Wock Pharma, Torntpharma, Suntv and Amaraja. Stocks seen short build-up includes Hexaware, Indusindbank, DHFL and NTPC.
·        Option statistics: Nifty highest Call option OI for March series stands at 11400 strike price. In today’s trading session, Nifty 11000 and 11100 call options seen unwinding in OI with IV increasing indicates covering by writers of option. Nifty highest Put Option OI for the March series stand at 11000 strike price. In today’s trading session, Nifty 11000, 11100 and 11200 put options seen addition in OI with IV decreasing indicates writing of option.

·        Looking into the option data, Nifty sustaining above the 11180 likely to move towards the level of 11300. On the downside, Nifty immediate support stands around the 11050 level and below that 10920 level. 


DERIVATIVE HIGHLIGHTS FOR 08-03-2019

·        Nifty futures OI remains flat at 1.56 crores and Bank Nifty futures seen addition of 0.1 lacs in OI.
·        Nifty OI PCR Ratio decreased from 1.63 to 1.60.
·        Nifty OI Stocks seen long build-up includes Jet Airways, Godfreyphilip, Ramco Cement, Just Dial, RBLBank, NTPC, BEML, RelCapital, Bajaj Auto and Hind Petro. Stocks seen short build-up includes Wipro, OIL, ONGC, Arvind, Glenmark, Tata Power, NBCC, PFC, Nationalum, Apollo Tyre, BEL, Nestleind, Escorts and Relinfra.
·        Option statistics: Nifty highest Call option OI for March series stands at 11500 strike price. In today’s trading session, Nifty 11000 and 11100 call options seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the March series stand at 11000 strike price. In today’s trading session, Nifty 10900 and 11100 put options seen addition in OI with IV decreasing indicates writing of option.

·        Looking into the option data, Nifty likely to face resistance around the level of 11120. On the downside, Nifty immediate support stands around the 10980 level and below that 10850 level. 


DERIVATIVE HIGHLIGHTS FOR 07-03-2019

·        Nifty futures OI remains flat at 1.56 crores and Bank Nifty futures seen addition of 2.4 lacs in OI.
·        Nifty OI PCR Ratio decreased from 1.80 to 1.63.
·        Nifty OI Stocks seen long build-up includes ALBK, Arvind, Tata Elxsi, NHPC, Tata Chem, Idea, HDFCBank, Bank Baroda, Syndicate Bank, NIITTech and Orientbank. Stocks seen short build-up includes Apollo Tyre, Coal India, BHEL, RBLBank, Ajanta Pharma, ONGC, RelCapital and OFSS.
·        Option statistics: Nifty highest Call option OI for March series stands at 11500 strike price. In today’s trading session, Nifty 10900 and 11000 call options seen unwinding in OI with IV decreasing indicates profit booking of option. Nifty highest Put Option OI for the March series stand at 11000 strike price. In today’s trading session, Nifty 10900, 11000 and 11100 put options seen addition in OI with IV decreasing indicates writing of option.

·        Looking into the option data, Nifty likely to move towards the level of 11120 level. On the downside, Nifty immediate support stands around the 10940 level and below that 10840 level. 

DERIVATIVE HIGHLIGHTS FOR 06-03-2019

·        Nifty futures seen addition of 3 lacs in OI and Bank Nifty futures seen addition of 0.7 lacs in OI.
·        Nifty OI PCR Ratio increased from 1.76 to 1.80.
·        Nifty OI Stocks seen long build-up includes BSoft, Amaraja, Cholafinance, Infratel, ICICIPrulife, Jublfood, Ujjivan, MCX, RBLBank, Idea, Torntpharma and SRF. Stocks seen short build-up includes Ambuja, Nestle, HDFCbank, Hindunilvr, IDBI, Canfinhomes and Torntpower.
·        Option statistics: Nifty highest Call option OI for March series stands at 11500 strike price. In today’s trading session, Nifty 10900 and 11000 call options seen unwinding in OI with IV decreasing indicates profit booking of option. Nifty highest Put Option OI for the March series stand at 11000 strike price. In today’s trading session, Nifty 10900, 11000 and 11100 put options seen addition in OI with IV increasing indicates buying of option.

·        As mentioned, Nifty does move towards the level of 11020 and looking into the option data, Nifty likely to move towards the level of 11120 level. On the downside, Nifty immediate support stands around the 10890 level and below that 10700 level. 

DERIVATIVE HIGHLIGHTS FOR 05-03-2019

·        Nifty futures seen addition of 3 lacs in OI and Bank Nifty futures seen addition of 3.5 lacs in OI.
·        Nifty OI PCR Ratio increased from 1.69 to 1.76.
·        Nifty OI Stocks seen long build-up includes Repcohome, OIL, KSCL, Tata Chem, PcJeweller, Torntpower, Infibeam, BEML, DHFL, Tata Comm, IDBI, Ujjivan, Jet Airways, Equitas, OFSS, RelCapital, Rpower, Manappuram and HDFCBank. Stocks seen short build-up includes Torntpharma, Mindtree, Biocon, Idea and Jublfood.
·        Option statistics: Nifty highest Call option OI for March series stands at 11500 strike price. In today’s trading session, Nifty 10800, 10900 and 11000 call options seen unwinding in OI with IV decreasing indicates profit booking of option. Nifty highest Put Option OI for the March series stand at 10600 strike price. In today’s trading session, Nifty 10800, 10900 and 11000 put options seen addition in OI with IV increasing indicates buying of option.
·        Looking into the option data, Nifty does break the immediate resistance of 10940 and the next resistance level to watch out will be 11020 and above that 11120 level. On the downside, Nifty immediate support stands around the 10850 level and below that 10700 level. 


DERIVATIVE HIGHLIGHTS FOR 01-03-2019

Nifty futures seen addition of 1 lakh in OI and Bank Nifty futures seen addition of 2.7 lacs in OI.
Nifty OI PCR Ratio decreased from 1.71 to 1.69.
Nifty OI Stocks seen long build-up includes RPower, RelInfra, Justdial, Orientbank, Arvind, CGPower, DHFL, ALBK, BPCL and CONCOR. Stocks seen short build-up includes Godfrey, Kotakbank, VEDL, Repcohome, Hindpetro, TVSMotor, Adaniport and BajajAuto, Nestle, Marico, BajajFinserv and Havells.
Option statistics: Nifty highest Call option OI for March series stands at 11000 strike price. In today’s trading session, Nifty 10900 call options seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the March series stand at 10700 strike price. In today’s trading session, Nifty 10700, 10800 and 10900 put options seen addition in OI with IV decreasing indicates writing of option.
In today’s trading session, FII were net buyers to the tune of Rs. 170 crores in Index Futures; FIIs unwounded 653 longs and unwounded 3193 shorts in Index futures. FII net long exposure in Index futures stands at 51.4% vs. 50.7% at the beginning of the March series. In Index options, FII were net buyers to the tune of Rs. 1832 crores; FIIs added 14818 in Index call long, added 21403 in Index put long, added 2756 in Index call shorts and added 6436 in Index put shorts.
Looking into the option data, Nifty likely to face resistance around the level of 10940. On the downside, Nifty immediate support stands around the 10700 level.
Disclaimer: Due care has been taken in preparing the above document. However, this document is not, and should not be construed, as an offer to sell or solicitation to buy any securities. Any act of buying, selling or otherwise dealing in any securities referred to in this document shall be at investors sole risk and responsibility.