DERIVATIVE DIARY - DECEMBER 2016

DERIVATIVE HIGHLIGHTS FOR 30-12-2016:

• Nifty futures seen addition of 12 lacs in OI and Bank Nifty futures seen addition of 1.1 lacs in OI.
• Nifty OI PCR ratio increased from 1 to 1.05.
• Stocks seen long build-up includes Adanient, JP Associate, IGL, Wockpharma, Arvind, Ceat, Canbank, Tata Chem, Godrejind, HDFC, GAIL, PGC, Infy and PNB. Stocks seen short build-up includes Page Ind, Voltas, Divislab, Adanipower, TVS Motor, Apollo Tyre and Amaraja.
• Option statistics: Nifty highest Call option OI for January series stands at 8200 strike price. In today’s trading session, Nifty 8100 and 8200 call option seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the January series stands at 8000 strike price. In today’s trading session, Nifty 8000, 8100 and 8200 put option seen addition in OI with IV increasing indicates buying of option.
• As mentioned in the yesterday report, Nifty move towards the level of 8200 once 8120 was taken out. Looking into the option data, Nifty likely to move towards the level of 8260 level On the downside immediate support lies around the 8100 level and below that 8040 level.
• Stocks in ban for trade on 2-Jan-2017: NIL

DERIVATIVE HIGHLIGHTS FOR 29-12-2016:

• The market wide position in the derivative segment at the beginning of the January series vis-à-vis December series stands at:

Particulars	January Series	December Series	% Change
OVERALL OI IN NO. OF SHARES (Cr.)	335.85	320.03	4.94%
NIFTY FUT OI IN NO. OF SHARES (Cr.)	1.68	1.59	5.66%
STOCK FUT OI IN NO. OF SHARES (Cr.)	287.48	276.50	3.97%
BANK NIFTY FUT OI (No. in Mn)	1.97	2.12	-7.08%
CALL OPTION OI IN NO. OF SHARES (Cr.)	5.19	5.27	-1.52%
PUT OPTION OI IN NO. OF SHARES (Cr.)	5.19	5.10	1.76%
OI (Rs. in crores)	182011.00	177029.00	2.81%
NIFTY CLOSING	8103.60	7965.50	1.73%

• Overall rollover for the new series stands at 85% vs. 83% in the last series and also higher than 3M Average of 83%. Nifty rollover too is on the higher side at 69% vs. 63% in the previous series and also higher than 3M Average of 66%. Bank Nifty rollover too is on the higher side at 68% vs. 61% in the last series and also higher than the 3M Average of 64%.
• Nifty OI PCR ratio stands at 1.
• Option statistics: Nifty highest Call option OI for January series stands at 8200 strike price. In today’s trading session, Nifty 8000, 8100 and 8200 call option seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the January series stands at 8000 strike price. In today’s trading session, Nifty 8000, 8100 and 8200 put option seen addition in OI with IV increasing indicates buying of option.
• Looking into the option data, immediate resistance lies around 8120 level and a sustain above 8120 will open the upside level of 8250 level. On the downside immediate support lies around the 8000 level and below that 7890 level.
• Stocks in ban for trade on 30-Dec-2016: NIL

DERIVATIVE HIGHLIGHTS FOR 28-12-2016:

• Nifty futures seen unwinding of 14 lacs in OI and Bank Nifty seen unwinding of 0.6 lacs in OI.
• Nifty OI PCR ratio increased from 0.95 to 0.96.
• Stocks seen long build-up includes M&MFin, TV18, Jindal Steel, Federalbank, Mindtree, Engineersind, Ajanta Pharma, Adani Power, Tata Elxsi and Lupin. Stocks seen short build-up includes Southbank, Canbk, Orientbank, CONCOR, IGL, Bharatforge, Apollo Tyre, Hindzinc and STAR.
• Option statistics: Nifty highest Call option OI for December series stands at 8200 strike price. In today’s trading session, Nifty 7950and 8050 call option seen unwinding in OI with IV decreasing indicates profit booking of option. Nifty highest Put Option OI for the December series stands at 8000 strike price. In today’s trading session, Nifty 8000 and 8050 put option seen addition in OI with IV increasing indicates buying of option.
• As mentioned in the yesterday report, Nifty does move towards the level of 8120, making a high 8100, vindicating our view. Looking into the option data, Nifty likely to   trade in the range of 8100-7980 level on the expiry day.
• Stocks in ban for trade on 29-Dec-2016: CEATLTD, IBREALEST, ORIENTBANK and WOCKPHARMA.
• Overall rollover before E-1 days stands at 66% vs. 57% in the last series. Nifty rollover before E-1 day stands at 56% vs. 44% in the last series.

DERIVATIVE HIGHLIGHTS FOR 27-12-2016:

• Nifty futures seen addition of 8 lacs in OI and Bank Nifty seen unwinding of 1.2 lacs in OI.
• Nifty OI PCR ratio increased from 0.83 to 0.95.
• Stocks seen long build-up includes Ceat, Indusindbank, IBReal Estate, Engineersind, Bank Baroda, Adanient, Amubaja Cement, Wirpo, IDFC, Southbank, PNB, OIL, CONCOR, JPAssociate, Dabur, BPCL, Adnipower NCC and GMRInfra. Stocks seen short build-up includes COLPAL, Hexaware, Grasim, Amaraja and Justdial.
• Option statistics: Nifty highest Call option OI for December series stands at 8300 strike price. In today’s trading session, Nifty 7900, 8000 and 8100 call option seen unwinding in OI with IV decreasing indicates profit booking of option. Nifty highest Put Option OI for the December series stands at 7900 strike price. In today’s trading session, Nifty 7900 and 8000 put option seen addition in OI with IV increasing indicates buying of option.
• Looking into the option data, Nifty immediate resistance lies around the 8050 level and a sustain trade above 8050 will open the upside level of 8120. On the downside, the immediate support lies around the 7920-7890 level.  A sustain trade below 7890 will open the downside level of 7800 level.
• Stocks in ban for trade on 28-Dec-2016: BHARATFIN, CEATLTD, IBREALEST and WOCKPHARMA.
• Overall rollover before E-2 days stands at 47% vs. 37% in the last series. Nifty rollover before E-2 days stands at 48% vs. 33% in the last series.

DERIVATIVE HIGHLIGHTS FOR 26-12-2016:

• Nifty futures seen addition of 35 lacs in OI and Bank Nifty seen unwinding of 2.3 lacs in OI.
• Nifty OI PCR ratio declined from 0.92 to 0.83.
• Stocks seen long build-up includes Jublfood, ITC, TCS and Hindunilever. Stocks seen short build-up includes Divislab, HDIL, Bank Baroda, RPower, Asian Paint, Marico, Lupin, Petronet, Relinfra, BEL, SAIL, Southbank, Sintex and Relcapital.
• Option statistics: Nifty highest Call option OI for December series stands at 8000 strike price. In today’s trading session, Nifty 7900, 8000 and 8100 call option seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the December series stands at 7900 strike price. In today’s trading session, Nifty 8000 and 8100 put option seen unwinding in OI with IV increasing indicates short covering by writers of option.
• Looking into the option data, Nifty immediate resistance lies around the 8080 level and above that 8170 level. On the downside, the immediate support lies around the 7920-7890 level.  A sustain trade below 7890 will open the downside level of 7800 level.
• Stocks in ban for trade on 27-Dec-2016: BHARATFIN, WOCKPHARMA and JINDALSTEL.
• Overall rollover before E-3 days stands at 33% vs. 23% in the last series. Nifty rollover before E-3 days stands at 41% vs. 25% in the last series.

DERIVATIVE HIGHLIGHTS FOR 23-12-2016:

• Nifty futures seen addition of 29 lacs in OI and Bank Nifty seen unwinding of 1.4 lacs in OI.
• Nifty OI PCR ratio remains flat at 0.92.
• Stocks seen long build-up includes Cipla, Engineerind, Hindunilvr, Bajajauto, IOC, Bhartiartl, Titan, LT and Bajfinance. Stocks seen short build-up includes Divislab, Tata Power, Bharat Finance, HCLTech, Canbank, Wipro, Axisbank, ITC, Idea, ICICIbank, PTC and Apollo Hospital.
• Option statistics: Nifty highest Call option OI for December series stands at 8300 strike price. In today’s trading session, Nifty 8000 and 8100 call option seen unwinding in OI with IV decreasing indicates profit booking of option. Nifty highest Put Option OI for the December series stands at 8000 strike price. In today’s trading session, Nifty 8000 and 8100 put option seen unwinding in OI with IV decreasing indicates profit booking of option.
• Looking into the option data, Nifty immediate resistance lies around the 8080 level and above that 8170 level. On the downside, the immediate support lies around the 7920-7890 level.  
• Stocks in ban for trade on 26-Dec-2016: BHARATFIN, CEATLTD, IBREALEST, WOCKPHARMA and JINDALSTEL.

DERIVATIVE HIGHLIGHTS FOR 22-12-2016:

• Nifty futures seen addition of 4 lacs in OI and Bank Nifty seen addition of 1.1 lacs in OI.
• Nifty OI PCR ratio declined from 0.98 to 0.92.
• Stocks seen long build-up includes BEML, Voltas, Tata Motor, Infratel and L&TFH. Stocks seen short build-up includes NHPC, JPAssocaite, Hindunilvr, Ceat, Relinfra, UBL, LT, Bharatfinance, Bharat Forge, PFC, Bajfinance and CANBK.
• Option statistics: Nifty highest Call option OI for December series stands at 8300 strike price. In today’s trading session, Nifty 7900, 8000 and 8000 call option seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the December series stands at 8000 strike price. In today’s trading session, Nifty 8000 and 8100 put option seen unwinding in OI with IV decreasing indicates profit booking of option.
• As mentioned and anticipated, Nifty does slide below the 8000 level, making a low of 7965, vindicating our view. Looking into the option data, Nifty immediate resistance lies around the 8085 level and above that 8170 level. On the downside, the immediate support lies around the 7890-7920 level.  
• Stocks in ban for trade on 23-Dec-2016: CEATLTD, IBREALEST, WOCKPHARMA and JINDALSTEL.

DERIVATIVE HIGHLIGHTS FOR 21-12-2016:

• Nifty futures seen addition of 3 lacs in OI and Bank Nifty seen unwinding of 1.1 lacs in OI.
• Nifty OI PCR ratio declined from 0.97 to 0.98.
• Stocks seen long build-up includes Cummins, IOC, PcJeweller, RECLtd, NHPC, ABirla Nuvo, RCom and Indusindbank. Stocks seen short build-up includes Petronet, Unionbank, Tata Motor, Ceatltd, Idea, Sunpharma, Wock Pharma, JUBLFOOD, Infratel, MRF, ITC, PFC, Auropharma and Bank India.
• Option statistics: Nifty highest Call option OI for December series stands at 8300 strike price. In today’s trading session, Nifty 8000, 8100 and 8200 call option seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the December series stands at 8000 strike price. In today’s trading session, Nifty 8000 and 8200 put option seen unwinding in OI with IV decreasing indicates profit booking of option.
• As mentioned and anticipated Nifty does slide towards the level of 8050, making a low of 8053, vindicating our view. Looking into the option data, Nifty immediate resistance lies around the 8125 level and above that 8190 level. On the downside, a move below 8050 will open downside level of 8000-7900 level.
• Stocks in ban for trade on 21-Dec-2016: IBREALEST, ORIENTBANK, WOCKPHARMA and JINDALSTEL.

DERIVATIVE HIGHLIGHTS FOR 20-12-2016:

• Nifty futures seen addition of 2 lacs in OI and Bank Nifty seen addition of 3.4 lacs in OI.
• Nifty OI PCR ratio declined from 1.01 to 0.97.
• Stocks seen long build-up includes Indiacement, Infy, Amujacement, PFC and Tata Motors. Stocks seen short build-up includes Bharatfin, Auropharma, Bajfinance, Albk, M&MFinance, Idea, Canbk, Justdial, Asian Paint, Ashok Leyland, Indusindbank, JP Associate, Hindunilvr, HDIL, L&TFH, SBIN, Yesbank and Ceat.
• Option statistics: Nifty highest Call option OI for December series stands at 8300 strike price. In today’s trading session, Nifty 8000, 8100 and 8200 call option seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the December series stands at 8000 strike price. In today’s trading session, Nifty 8000 and 8200 put option seen unwinding in OI with IV decreasing indicates profit booking of option.
• Looking into the option data, Nifty immediate resistance lies around the 8230. On and on the downside, Nifty does break the support of 8120 and the next support level lies around 8050-8000 level.
• Stocks in ban for trade on 21-Dec-2016: IBREALEST, ORIENTBANK and JINDALSTEL.

DERIVATIVE HIGHLIGHTS FOR 19-12-2016:

• Nifty futures seen unwinding of 1 lakh in OI and Bank Nifty seen addition of 1 lakh in OI.
• Nifty OI PCR ratio declined from 1.04 to 1.01.
• Stocks seen long build-up includes Pageind, OIL, Ashok Leyland, Engineersind, Apollo Tyre, KSCL, PFC and IFCI. Stocks seen short build-up includes Unionbank, BharatFin, Asian Paint, ACC, ALBK, TV18BRDCST, HDIL, Infratel, TVSMotor and Pidilite.
• Option statistics: Nifty highest Call option OI for December series stands at 8300 strike price. In today’s trading session, Nifty 8100, 8200 and 8300 call option seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the December series stands at 8000 strike price. In today’s trading session, Nifty 8000 and 8200 put option seen unwinding in OI with IV decreasing indicates profit booking of option.
• Looking into the option data, Nifty immediate resistance lies around the 8230. On and on the downside, Nifty does break the support of 8120 and the next support level lies around 8050-8000 level.
• Stocks in ban for trade on 20-Dec-2016: IBREALEST, ORIENTBANK and JINDALSTEL.

DERIVATIVE HIGHLIGHTS FOR 16-12-2016:

• Nifty futures seen unwinding of 4 lacs in OI and Bank Nifty seen addition of 0.4 lacs in OI.
• Nifty OI PCR ratio declined from 1.05 to 1.04.
• Stocks seen long build-up includes Biocon, Pcjeweller, Power Grid, UPL, Tata Mtrdvr, IFCI, Tatacomm and GodrejCP. Stocks seen short build-up includes Ceat, Havells, Unionbank, Albk, Canbk, Syndicate Bank, BHEL, Bharatfinance, HDIL, Andhrabank, Castrol and MRF.
• Option statistics: Nifty highest Call option OI for December series stands at 8300 strike price. In today’s trading session, Nifty 8100 and 8200 call option seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the December series stands at 8000 strike price. In today’s trading session, Nifty 8000 and 8200 put option seen unwinding in OI with IV decreasing indicates profit booking of option.
• Looking into the option data, Nifty immediate resistance lies around the 8260-8270 level and on the downside, immediate support lies around the 8120 level and below that 8050-8000 level.
• Stocks in ban for trade on 19-Dec-2016: IBREALEST, ORIENTBANK and JINDALSTEL.

DERIVATIVE HIGHLIGHTS FOR 15-12-2016:

• Nifty futures seen unwinding of 9 lacs in OI and Bank Nifty seen unwinding of 0.3 lacs in OI.
• Nifty OI PCR ratio declined from 1.08 to 1.05.
• Stocks seen long build-up includes IGL, Godrejind, BEML, JSWEnergy, Bharat Finance, HindZinc, Granules, M&MFin, Ceatltd, Apollo Tyre and DHFL. Stocks seen short build-up includes UBL, Jublfood, Unionbank, UPL, Sunpharma, PNB, Ambuja Cement, Yesbank, Dishtv, Ajantapharma and Apollo Hospital.
• Option statistics: Nifty highest Call option OI for December series stands at 8300 strike price. In today’s trading session, Nifty 8100, 8200 and 8300 call option seen addition in OI with IV decreasing indicates buying of option. Nifty highest Put Option OI for the December series stands at 8000 strike price. In today’s trading session, Nifty 8000 and 8100 put option seen unwinding in OI with IV decreasing indicates profit booking of option.
• Looking into the option data, Nifty immediate resistance lies around the 8260-8270 level and on the downside, immediate support lies around the 8120 level and below that 8050-8000 level.
• Stocks in ban for trade on 16-Dec-2016: IBREALEST, ORIENTBANK and JINDALSTEL.

DERIVATIVE HIGHLIGHTS FOR 14-12-2016:

• Nifty futures seen unwinding of 3 lacs in OI and Bank Nifty seen addition of 0.5 lacs in OI.
• Nifty OI PCR ratio declined from 1.09 to 1.08.
• Stocks seen long build-up includes Godrejind, Voltas, JSWEnergy, Suntv, Titan and MRF. Stocks seen short build-up includes ONGC, IBullhsgfin, KSCL, Orientbank, UPL, Arvind, Southbank, Auropharma, Coalindia, Unionbank and PNB.
• Option statistics: Nifty highest Call option OI for December series stands at 8300 strike price. In today’s trading session, Nifty 8200 and 8300 call option seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the December series stands at 8000 strike price. In today’s trading session, Nifty 8000 and 8100 put option seen addition in OI with IV increasing indicates buying of option.
• Looking into the option data, Nifty immediate resistance lies around the 8260-8270 level and on the downside, immediate support lies around the 8150 level and below that 8000 level.
• Stocks in ban for trade on 15-Dec-2016: IBREALEST and JINDALSTEL.

DERIVATIVE HIGHLIGHTS FOR 09-12-2016:

• Nifty futures seen addition of 3 lacs in OI and Bank Nifty seen addition of 2 lacs in OI.
• Nifty OI PCR ratio increased from 1.09 to 1.10.
• Stocks seen long build-up includes NIITECH, Biocon, MRF, PFC, Orientbank, Voltas and IFCI. Stocks seen short build-up includes Infratel, Coal India, Bharat Forge, Jet Airways, SRTRansfin, IBullhsgfin and Siemens.
• Option statistics: Nifty highest Call option OI for December series stands at 8300 strike price. In today’s trading session, Nifty 8300 call option seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the December series stands at 8000 strike price. In today’s trading session, Nifty 8100 and 8200 put option seen addition in OI with IV decreasing indicates writing of option.
• Looking into the option data, Nifty likely to move towards the level of 8315 – 8370 level. On the downside, immediate support lies around the 8150 level and below that 8000 level. 

DERIVATIVE HIGHLIGHTS FOR 08-12-2016:

• Nifty futures seen addition of 12 lacs in OI and Bank Nifty seen addition of 3 lacs in OI.
• Nifty OI PCR ratio increased from 1.05 to 1.09.
• Stocks seen long build-up includes OIL, Tata Steel, Bharat Forge, VEDL, Jindal Steel, Bank India, Maruti, SRF, Motherson, PFC, Godrejind, Biocon, Heromotor, IBReal Estate, Voltas and Apollo Tyre. Stocks seen short build-up includes Crompton, KTKBank, CONCOR and Auro Pharma.
• Option statistics: Nifty highest Call option OI for December series stands at 8300 strike price. In today’s trading session, Nifty 8100 and 8300 call option seen unwinding in OI with IV decreasing indicates profit booking of option. Nifty highest Put Option OI for the December series stands at 8000 strike price. In today’s trading session, Nifty 8000, 8100 and 8200 put option seen addition in OI with IV increasing indicates buying of option.
• As mentioned in the yesterday report, Nifty does move towards the level of 8250 once 8190 level was taken out. Looking into the option data, Nifty likely to move towards the level of 8315 – 8370 level. On the downside, immediate support lies around the 8150 level and below that 8000 level. 

DERIVATIVE HIGHLIGHTS FOR 07-12-2016:

• Nifty futures seen addition of 5 lacs in OI and Bank Nifty seen addition of 2.1 lacs in OI.
• Nifty OI PCR ratio increased from 1.03 to 1.05.
• Stocks seen long build-up includes Engineers India, Eicher Motor, Hero Motor, SAIL, VEDL, ICIL and Voltas. Stocks seen short build-up includes Tata Power, Bank India, Infratel, Sunpharma, Page Ind, ITC, TCS, GodrejCP, Techm and Bajaj Finance.
• Option statistics: Nifty highest Call option OI for December series stands at 8300 strike price. In today’s trading session, Nifty 8100 and 8200 call option seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the December series stands at 8000 strike price. In today’s trading session, Nifty 7900 and 8000 put option seen addition in OI with IV decreasing indicates writing of option.
• Looking into the option data, Nifty has immediate resistance around the 8180-8190 level and above that 8250 level. On the downside, immediate support lies around the 8000 level being the highest put option OI for December series and below that 7900-7890 level.
• Stocks in ban for trade on 8-Dec-2016: NIL.

DERIVATIVE HIGHLIGHTS FOR 06-12-2016:

• Nifty futures OI remain flat at 1.69 crores and Bank Nifty seen unwinding of 0.1 lacs in OI.
• Nifty OI PCR ratio remains flat at 1.03.
• Stocks seen long build-up includes Torntpower, Ceat, NTPC, KSCL, GAIL, Tata Steel, Siemens and Canbank. Stocks seen short build-up includes Crompton, PNB, Infratel, CONCOR, Power Grid, HCLTech and Axisbank
• Option statistics: Nifty highest Call option OI for December series stands at 8300 strike price. In today’s trading session, Nifty 8000 and 8100 call option seen unwinding in OI with IV decreasing indicates profit booking of option. Nifty highest Put Option OI for the December series stands at 8000 strike price. In today’s trading session, Nifty 8100 put option seen addition in OI with IV increasing indicates buying of option.
• Looking into the option data, Nifty has immediate resistance around the 8180 level and above that 8250 level. On the downside, immediate support lies around the 8000 level being the highest put option OI for December series and below that 7900-7890 level.
• Stocks in ban for trade on 7-Dec-2016: NIL.

DERIVATIVE HIGHLIGHTS FOR 05-12-2016:

• Nifty futures OI decline by 1 lakh and Bank Nifty seen addition of 0.2 lacs in OI.
• Nifty OI PCR ratio remains flat at 1.03.
• Stocks seen long build-up includes Suntv, Ceat, GodrejCp, MRF, Adanipower, DLF, Heromotor, Tatasteel, Engineersindia and Hindalco. Stocks seen short build-up includes Crompton, HDFC, M&MFin, NHPC, LT, Torntpower, Concor and PFC.
• Option statistics: Nifty highest Call option OI for December series stands at 8300 strike price. In today’s trading session, Nifty 8100 call option seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the December series stands at 8000 strike price. In today’s trading session, Nifty 7900, 8000 and 8100 put option seen addition in OI with IV decreasing indicates writing of option.
• Looking into the option data, Nifty has immediate resistance around the 8180 level and above that 8250 level. On the downside, immediate support lies around the 8000 level being the highest put option OI for December series and below that 7900-7890 level.
• Stocks in ban for trade on 6-Dec-2016: NIL.

DERIVATIVE HIGHLIGHTS FOR 02-12-2016:

• Nifty futures OI decline by 3 lacs and Bank Nifty seen addition of 0.8 lacs in OI.
• Nifty OI PCR ratio declined from 1.06 to 1.03.
• Stocks seen long build-up includes PcJeweller, Ultracement and Bajaj Auto. Stocks seen short build-up includes Unionbank, Voltas Kotakbank, Asian Paint, Arvind, Indusindbank, IGL, Orientbank, L&TFH, India Cement, LT and Canbank.
• Option statistics: Nifty highest Call option OI for December series stands at 8300 strike price. In today’s trading session, Nifty 8100 call option seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the December series stands at 8000 strike price. In today’s trading session, Nifty 8000 and 8100 put option seen declined in OI with IV decreasing indicates profit booking.
• Looking into the option data, Nifty has immediate resistance around the 8180 level and above that 8250 level. On the downside, immediate support lies around the 8000 level being the highest put option OI for December series and below that 7900-7890 level.
• Stocks in ban for trade on 5-Dec-2016: NIL.

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.

DERIVATIVE DIARY - NOVEMBER 2016

DERIVATIVE HIGHLIGHTS FOR 24-11-2016:

• The market-wide position in the derivative segment at the beginning of the December series vis-à-vis November series stands at:

Particulars	December Series	November Series	% Change
OVERALL OI IN NO. OF SHARES (Cr.)	320.03	355.64	-10.01%
NIFTY FUT OI IN NO. OF SHARES (Cr.)	1.59	1.88	-15.43%
STOCK FUT OI IN NO. OF SHARES (Cr.)	276.50	308.22	-10.29%
BANK NIFTY FUT OI (No. in Mn)	2.12	1.60	32.50%
CALL OPTION OI IN NO. OF SHARES (Cr.)	5.27	4.95	6.46%
PUT OPTION OI IN NO. OF SHARES (Cr.)	5.10	4.78	6.69%
OI (Rs. in crores)	177029.00	198649.00	-10.88%
NIFTY CLOSING	7965.50	8615.25	-7.54%

• Overall rollover for the new series stands at 83% vs. 83% in the last series and slightly lower than the 3M Average of 82%. Nifty rollover for the new series stands at 63% vs. 70% and also lowers than the 3M Average of 73%. Bank Nifty rollover for the new series stands at 61% vs. 67% and also lowers than the 3M Average of 68%.
• Nifty OI PCR ratio stands at 0.97.
• Option statistics: Nifty highest Call option OI for December series stands at 8000 strike price. In today’s trading session, Nifty 7900, 8000 and 8100 call option seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the December series stands at 8000 strike price. In today’s trading session, Nifty 7900, 8000 and 8100 put option seen addition in OI with IV increasing indicates writing of option.
• Looking into the option data, Nifty has support around the 7890-7900 level and a breach of 7890 on closing basis likely to open further downside level of 7640 level in coming weeks. On the upside, a sustain move above 8050 will open the upside level of 8100-8144 level.
• Stocks in ban for trade on 25-Nov-2016: NIL.

DERIVATIVE HIGHLIGHTS FOR 23-11-2016:

• Nifty future OI seen addition of 1 lakh in OI and Bank Nifty future OI seen unwinding of 1.3 lacs in OI.
• Nifty OI PCR ratio increased from 0.71 to 0.73.
• Stocks seen long build-up includes Ultracement, NHPC, Hindalco, South Bank, NTPC, VEDL, LT, Adaniport, Tata Elxsi, IDFC, HDIL and Tata Mtrdvr. Stocks seen long build-up includes Siemens, Bharti Airtel, CESC, Cummins, CONCOR, Power Grid, Bata India and M&M.
• Option statistics: Nifty highest Call option OI for November series stands at 8200 strike price. In today’s trading session, Nifty 8050 and 8100 call option seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the November series stands at 8000 strike price. In today’s trading session, Nifty 8000 and 8050 put option seen addition in OI with IV increasing indicates buying of option.
• Looking into the option data, Nifty has support around the 7890-7900 level and a breach of 7890 on closing basis likely to open further downside level of 7640 level in coming weeks. On the upside, a sustain move above 8050 will open the upside level of 8100-8144 level.
• Overall Rollover before E-1 day stands at 57% vs. 59% in the last series. Nifty rollover too is on the lower side before E-1 day stands at 44% vs. 51% in the last series. Bank Nifty rollover too is on the lower side before E-1 day stands at 33% vs. 47% in the previous series.
• Stocks were rollover before E-1 day is less than 50% includes Arvind, Tata Motors, ALBK, Andhrabank, Canbank, ICICIBank, IFCI, Kotak Bank, PFC, SRTRANSFIN, Yesbank, Adaniport, BHEL, Voltas, Mcleod, ZEEL, Petronet, Auropharma, Biocon, Divislab, Wockpharma, Adanipower, JSWEnergy, NHPC, Relinfra, Tata Power, TechM, Adanient, Apollo Tyre and UBL. One can expect some high volatility in the above stocks on back of lower rollover.
• Stocks in ban for trade on 24-Nov-2016: IBREALEST.

DERIVATIVE HIGHLIGHTS FOR 22-11-2016:

• Nifty future OI seen addition of 4 lacs in OI and Bank Nifty future OI seen addition of 1.6 lacs in OI.
• Nifty OI PCR ratio increased from 0.69 to 0.71.
• Stocks seen long build-up includes VEDL, OIL, GMRINFRA, Engineersind, Ultracement, Godrejind, STAR, IDFC, PcJeweller, India Cement, MRF, IBRealest, Apollo Tyre, Motherson, Bhartiartl, NMDC and Hindalco. Stocks seen long build-up includes CESC, Drreddy, Southbank, Jet Airways, BHEL, NHPC, IRB and GAIL.
• Option statistics: Nifty highest Call option OI for November series stands at 8500 strike price. In today’s trading session, Nifty 8000 and 8100 call option seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the November series stands at 8000 strike price. In today’s trading session, Nifty 7900 and 8000 put option seen addition in OI with IV increasing indicates buying of option.
• Looking into the option data, Nifty has support around the 7890-7900 level and a breach of 7890 on closing basis likely to open further downside level of 7640 level in coming weeks. On the upside, immediate resistance lies around the 8000 level and above that 8080-8140 level.
• Overall Rollover before E-2 days stands at 37% vs. 41% in the last series. Nifty rollover too is on the lower side before E-2 days stands at 33% vs. 40% in the last series. Bank Nifty rollover too is on the lower side before E-2 days at 22% vs. 32% in the previous series. 

DERIVATIVE HIGHLIGHTS FOR 21-11-2016:

• Nifty future OI seen addition of 20 lacs in OI and Bank Nifty future OI seen addition of 1.8 lacs in OI.
• Nifty OI PCR ratio declined from 0.74 to 0.69.
• Stocks seen long build-up includes Titan, TCS and TechM. Stocks seen long build-up includes Apollo Hospital, Amaraja, Infy, Pageind, Andhrabank, Power Grid, NHPC, NMDC, GAIL, BHEL, IBReal Estate, Orientbank, JPAssociate, BOSCH, STAR, Motherson, Crompton and Hexaware.
• Option statistics: Nifty highest Call option OI for November series stands at 8500 strike price. In today’s trading session, Nifty 7900, 8000 and 8100 call option seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the November series stands at 8000 strike price. In today’s trading session, Nifty 8000 put option seen unwinding in OI with IV decreasing indicates profit booking of option.
• As mentioned in the yesterday report, Nifty does slide towards the level of 7927, once 8000 level was broken out, vindicating our view. Looking into the option data, Nifty has support around the 7890-7900 level and a breach of 7890 on closing basis likely to open further downside level of 7640 level in coming weeks. On the upside, immediate resistance lies around the 8000 level and above that 8080-8140 level.
• Stocks in ban for trade on 22-Nov-16: CENTURYTEX.

DERIVATIVE HIGHLIGHTS FOR 18-11-2016:

• Nifty future OI seen unwinding of 8 lacs in OI and Bank Nifty future OI seen addition of 1.7 lacs in OI.
• Nifty OI PCR ratio remains flat at 0.74.
• Stocks seen long build-up include Ultratech Cement, Petronet, Amaraja, Syndicate bank, Canbk, Hindpetro, Cummins and Unionbank. Stocks seen long build-up includes SRF, SBIN, SAIL, Bata India, Pceweller, Federal Bank, Century Tex and Titan.
• Option statistics: Nifty highest Call option OI for November series stands at 8500 strike price. In today’s trading session, Nifty 8100, 8200 and 8300 call option seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the November series stands at 8000 strike price. In today’s trading session, Nifty 8200 put option seen unwinding in OI with IV decreasing indicates profit booking of option.
• Looking into the option data, Nifty likely to trade with some amid volatility in the broader range of 8400-8000 level. On the downside the crucial support lies around the 8000 level. A break below 8000 level will open the downside level of 7927-7890 level. On the upside, immediate resistance lies around the 8250 level and above that 8330 level.
• Stocks in ban for trade on 21-Nov-16: CENTURYTEX.

DERIVATIVE HIGHLIGHTS FOR 17-11-2016:

• Nifty future OI remain flat at 2.11 crores and Bank Nifty future OI seen addition of 0.1 lacs in OI.
• Nifty OI PCR ratio decreased from 0.76 to 0.74.
• Stocks seen long build-up include TVS Motor, PcJeweller, Power Grid, Bank Baroda, Apollo Tyre, Biocon, Canbank, VEDL, Cairn and NHPC. Stocks seen long build-up includes Ambuja Cement, Ultracement, SRF, ACC, Coal India, Page Ind, PNB, India Cement, Petronet and BEML.
• Option statistics: Nifty highest Call option OI for November series stands at 8500 strike price. In today’s trading session, Nifty 8100, 8200 and 8300 call option seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the November series stands at 8000 strike price. In today’s trading session, Nifty 8200 and 8300 put option seen unwinding in OI with IV decreasing indicates profit booking of option.
• Looking into the option data, Nifty likely to trade with some amid volatility in the broader range of 8400-8000 level. On the downside the crucial support lies around the 8000 level. A break below 8000 level will open the downside level of 7927-7890 level. On the upside, immediate resistance lies around the 8250 level and above that 8330 level.
• Stocks in ban for trade on 18-Nov-16: DLF.

DERIVATIVE HIGHLIGHTS FOR 16-11-2016:

• Nifty future OI seen unwinding of 6 lacs in OI and Bank Nifty future OI seen addition of 1.9 lacs in OI.
• Nifty OI PCR ratio increased from 0.73 to 0.76.
• Stocks seen long build-up include SAIL, Cadila, TVSMotor, Century, Pageind, Bajaj Auto and GodrejCP. Stocks seen long build-up includes Ambuja Cement, PcJeweller, Apollo Tyre, Jindal Steel, Infratel, SRF, DLF, ITC, Titan, Kotakbank, India Cement, KTKBank and PNB.
• Option statistics: Nifty highest Call option OI for November series stands at 8700 strike price. In today’s trading session, Nifty 8100 and 8200 call option seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the November series stands at 8000 strike price. In today’s trading session, Nifty 8100 and 8300 put option seen addition in OI with IV increasing indicates buying of option.
• Looking into the option data, Nifty likely to trade with some amid volatility in the broader range of 8600-8000 level. On the downside, a move below 8090 likely to open the downside levels of 8000, the crucial support level. On the upside, immediate resistance lies around the 8320 level and above that 8400 level.
• Stocks in ban for trade on 17-Nov-16: DLF.

DERIVATIVE HIGHLIGHTS FOR 15-11-2016:

• Nifty future OI seen addition of 24 lacs in OI and Bank Nifty future OI seen addition of 3 lacs in OI.
• Nifty OI PCR ratio declined from 0.84 to 0.73.
• Stocks seen long build-up include Bank Baroda, SBIN, HCLTech, Infy and TCS. Stocks seen long build-up includes Indusindbank, Maruti, DCBBank, Hindalco, Asianpaint, Kotakbank, ICICIBank, ITC, LICHsgfin, Axisbank, HDFCBank, HDFC, LT, NHPC, Ultracement, IOC and NTPC.
• Option statistics: Nifty highest Call option OI for November series stands at 8700 strike price. In today’s trading session, Nifty 8100, 8200 and 8300 call option seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the November series stands at 8000 strike price. In today’s trading session, Nifty 8200 and 8300 put option seen unwinding in OI with IV increasing indicates short covering of option.
• Looking into the option data, Nifty likely to trade with some amid volatility in the broader range of 8600-8000 level. On the downside, Nifty does break the support level of 8120 and the next crucial support lies around the 8000 level. On the upside, immediate resistance lies around the 8320 level and above that 8400 level.  

DERIVATIVE HIGHLIGHTS FOR 11-11-2016:

• Nifty future OI seen addition of 6 lacs in OI and Bank Nifty future OI seen addition of 0.2 lacs in OI.
• Stocks seen long build-up include SUNPHARMA. Stocks seen long build-up includes ICICIBANK, Crompton Greaves, TVS Motor, Amaraja, Indusindbank, Asianpaint, SRTRansfinance, Maruti, Havells, Apollo Hospital, Eichermotor, BHEL, DHFL, Hind Petro, Ambuja Cement, Hero Motor and M&M.
• Option statistics: Nifty highest Call option OI for November series stands at 9000 strike price. In today’s trading session, Nifty 8400 and 8500 call option seen unwinding in OI with IV decreasing indicates profit booking of option. Nifty highest Put Option OI for the November series stands at 8200 strike price. In today’s trading session, Nifty 8400, 8500 and 8600 put option seen addition in OI with IV decreasing indicates writing of option.
• Looking into the option data, Nifty likely to trade with some amid volatility in the broader range of 8600-8000 level. On the downside immediate support lies around the 8200-8120 level and below that the crucial support of 8000 level. On the upside immediate resistance lies around the 8460 level and above that 8600 level.
• Stocks in ban for trade on 15-Nov-2016: Dishtv and Jindal Steel.

DERIVATIVE HIGHLIGHTS FOR 10-11-2016:

• Nifty future OI seen addition of 4 lacs in OI and Bank Nifty future OI seen addition of 1.3 lacs in OI.
• Stocks seen long build-up includes Tata Steel, Federalbank, IDFCbank, PNB, HindZinc, IHL, Hindalco, Motherson, BEL, VEDL and NMDC. Stocks seen long build-up includes IBULHSGFIN, Pageind, Hero Motor, Bharat Forge, Asianpaint, Pidilite Ind, Maruti, DHFL, Ashokleyland, M&M and Srtrans Finance.
• Option statistics: Nifty highest Call option OI for November series stands at 9000 strike price. In today’s trading session, Nifty 8400 and 8500 call option seen unwinding in OI with IV decreasing indicates profit booking of option. Nifty highest Put Option OI for the November series stands at 8200 strike price. In today’s trading session, Nifty 8400, 8500 and 8600 put option seen addition in OI with IV decreasing indicates writing of option.
• As mentioned in the yesterday report, Nifty does move towards the level of 8615 above 8550 level, vindicating our view. Looking into the option data, Nifty likely to move towards the level of 8615-8670 level. On the downside, immediate support lies around the 8475 and below that 8400 level. 

DERIVATIVE HIGHLIGHTS FOR 09-11-2016:

• Nifty future OI seen addition of 8 lacs in OI and Bank Nifty future OI seen addition of 2.1 lacs in OI.
• Stocks seen long build-up includes Dabur, Kotakbank, SBIN, PNB, Canbank and Power Grid. Stocks seen long build-up includes Maruti, DHFL, Heromotor, Havells, LICHSGFIN, Ultracement, ITC, TCS, Cipla, Bajaj Auto, Titan, Eicher Motor, BOSCH, Indusindbank, Unionbank, Arvind and HDFC.
• Option statistics: Nifty highest Call option OI for November series stands at 9000 strike price. In today’s trading session, Nifty 8400 and 8500 call option seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the November series stands at 8200 strike price. In today’s trading session, Nifty 8400, 8500 and 8600 put option seen unwinding in OI with IV decreasing indicates profit booking of option.
• Looking into the option data, Nifty immediate resistance lies around the 8510-8550 level and a sustain trade above 8550 level will open the level of 8615-8700 level. On the downside, immediate support lies around the 8320 level.  

DERIVATIVE HIGHLIGHTS FOR 08-11-2016:

• Nifty future OI remain flat at 1.75 crores and Bank Nifty future OI seen unwinding of 1 lakh in OI.
• Stocks seen long build-up includes Ceat, Dabur, Apolloytyre, Mcleod, MRF and TCS. Stocks seen long build-up includes Unionbank, Crompton Greaves, Cadila, HindZinc, Sunpharma, Motherson, Bajfinance, Tata Global and Coalindia.
• Option statistics: Nifty highest Call option OI for November series stands at 9000 strike price. In today’s trading session, Nifty 8500 and 8600 call option seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the November series stands at 8200 strike price. In today’s trading session, Nifty 8400, 8500 and 8600 put option seen addition in OI with IV increasing indicates buying of option.
• Looking into the option data, Nifty immediate resistance lies around the 8550 level and a sustain trade above 8550 level will open the level of 8615-8700 level. On the downside, a move below 8400 level likely to open further downside level of 8300.
• Stocks in ban for trade on 9-Nov-2016: CENTURYTEX, DISHTV, JINDALSTEL and IBREALEST.

DERIVATIVE HIGHLIGHTS FOR 07-11-2016:

• Nifty future OI seen unwinding of 11 lacs in OI and Bank Nifty future OI seen addition of 1.4 lacs in OI.
• Stocks seen long build-up includes Crompton, NMDC, Federalbank, IDFCBank, Amaraj, GAIL, Torntpower, Ceat, PFC and ICICIBank. Stocks seen long build-up includes Dabur, LT, TCS, Petronet, Infratel, Cadila, Godrejind and TVSMotor.
• Option statistics: Nifty highest Call option OI for November series stands at 9000 strike price. In today’s trading session, Nifty 8400, 8500 and 8600 call option seen unwinding in OI with IV increasing indicates short covering by writer of option. Nifty highest Put Option OI for the November series stands at 8200 strike price. In today’s trading session, Nifty 8500 put option seen addition in OI with IV increasing indicates buying of option.
• Looking into the option data, Nifty immediate resistance lies around the 8550 level and a sustain trade above 8550 level will open the level of 8615 level. On the downside, a move below 8400 level likely to open further downside level of 8300.
• Stocks in ban for trade on 8-Nov-2016: CENTURYTEX, DISHTV, JINDALSTEL and IBREALEST.

DERIVATIVE HIGHLIGHTS FOR 04-11-2016:

• Nifty future OI seen addition of 4 lacs in OI and Bank Nifty future OI seen addition of 0.4 lacs in OI.
• Stocks seen long build-up includes Dabur, ITC, Hcltech and Tata Motor. Stocks seen long build-up includes Amaraja, Drreddy, Unionbank, LICHSGFIN, Coal India, Sunpharma, PcJeweller, KSCL and ALBK.
• Option statistics: Nifty highest Call option OI for November series stands at 9000 strike price. In today’s trading session, Nifty 8400, 8500 and 8600 call option seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the November series stands at 8200 strike price. In today’s trading session, Nifty 8400, put option seen addition in OI with IV increasing indicates buying of option.
• As mentioned in the yesterday report, Nifty does achieved the first target of 8400 below the 8480 level, vindicating our view. Looking into the option data, Nifty immediate resistance lies around the 8550 support level. On the downside, a move below 8400 level likely to open further downside level of 8300.
• Stocks in ban for trade on 7-Nov-2016: CENTURYTEX, DISHTV and IBREALEST.

DERIVATIVE HIGHLIGHTS FOR 03-11-2016:

• Nifty future OI seen unwinding of 1 lakh in OI and Bank Nifty future OI seen unwinding of 0.1 lacs in OI.
• Stocks seen long build-up includes UBL, Ambujacement, ALBK, Infratel and Hindalco. Stocks seen long build-up includes Dishtv, CESC, LICHSGFIN, Apollo Hospital, Petroent, UPL, Justdial, Glenmark, Asianpaint, Orientbank, Godrejind, Unionbank and IBREALEST.
• Option statistics: Nifty highest Call option OI for November series stands at 9000 strike price. In today’s trading session, Nifty 8500, 8600 and 8700 call option seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the November series stands at 8400 strike price. In today’s trading session, Nifty 8500, 8600 and 8700 put option seen addition in OI with IV decreasing indicates profit booking of option.
• Looking into the option data, Nifty immediate support lies around the 8480-8500 level and sustain trade below 8480 will open the level of 8400-8300 level. On the upside, immediate resistance lies around the 8585 level.
• Stocks in ban for trade on 4-Nov-2016: CENTURYTEX, DISHTV and IBREALEST.

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.