DERIVATIVE DIARY - OCTOBER 2016

DERIVATIVE HIGHLIGHTS FOR 28-10-2016:

• 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 BEL, DCBBank, Cairn, NMDC, TechM, CEAT, PcJeweller, Pidiliteind, VEDL, HDIL, Cadila, Drreddy, Sintex, Ultracement, IDFCBank and Bajaj Auto. Stocks seen long build-up includes Orientbank, Torntpharma, Asianpaint, Bajfinance, LICHSGFIN, UPL, Jindal Steel, Infratel and HCLTech.
• Option statistics: Nifty highest Call option OI for November series stands at 9000 strike price. In today’s trading session, Nifty 8600, 8700 and 8800 call option seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the November series stands at 8500 strike price. In today’s trading session, Nifty 8600, 8700 and 8800 put option seen addition in OI with IV increasing indicates buying of option.
• Looking into the option data, Nifty immediate support lies around the 8550 and below the 8480 level. On the upside, immediate resistance lies around the 8650 level and above that 8740 level.  
• Stocks in ban for trade on 28-Oct-2016: NIL.

DERIVATIVE HIGHLIGHTS FOR 27-10-2016:

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

Particulars	November Series	October Series	% Change
OVERALL OI IN NO. OF SHARES (Cr.)	355.64	342.88	3.72%
NIFTY FUT OI IN NO. OF SHARES (Cr.)	1.88	2.46	-23.58%
STOCK FUT OI IN NO. OF SHARES (Cr.)	308.22	292.54	5.36%
BANK NIFTY FUT OI (No. in Mn)	1.60	1.92	-16.67%
CALL OPTION OI IN NO. OF SHARES (Cr.)	4.95	5.31	-6.78%
PUT OPTION OI IN NO. OF SHARES (Cr.)	4.78	5.01	-4.59%
OI (Rs. in crores)	198649.00	203902.00	-2.58%
NIFTY CLOSING	8615.25	8591.25	0.28%

·         Overall rollover for the new series stands at 83% vs. 82% in the last series and also higher than 3M Average of 81%.

·         Nifty rollover for the new series too is higher at 70% vs. 66% in the last series and slightly lower than the 3M Average of 71%.

·         Bank Nifty rollover for the November series too is higher at 67% vs. 65% in the last series and lower than the 3M Average of 69%.

• Option statistics: Nifty highest Call option OI for November series stands at 9000 strike price. In today’s trading session, Nifty 8600, 8700 and 8800 call option seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the November series stands at 8500 strike price. In today’s trading session, Nifty 8600, 8700 and 8800 put option seen addition in OI with IV decreasing indicates writing of option.
• As mentioned in the yesterday report, Nifty does achieved the downside level of 8555, making a low of 8550, vindicating our view. Looking into the option data, Nifty immediate support lies around the 8550 and below the 8480 level. On the upside, immediate resistance lies around the 8650 level and above that 8740 level.  
• Stocks in ban for trade on 27-Oct-2016: NIL.

DERIVATIVE HIGHLIGHTS FOR 26-10-2016:

• Nifty future seen addition of 19 lacs in OI and Bank Nifty seen unwinding of 2.4 lacs in OI.
• Stocks seen long position includes Dabur, Cummins, M&MFinance, Justdial, Maruti, Apollo Hospital, PcJeweller, Idea and Adanipower. Stocks seen short build-up includes JP Associate, Axisbank, Cadila, Infratel, Jublfood, Biocon, Colpal, Tata Motor and JSW Energy.
• Option statistics: Nifty highest Call option OI for October series stands at 9000 strike price. In today’s trading session, Nifty 8600 and 8700 call option seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the October series stands at 8500 strike price. In today’s trading session, Nifty 8600, 8700 and 8800 put option seen unwinding in OI with IV decreasing indicates profit booking of option.
• Overall Rollover before E-1 day stands at 59% vs. 59% in the previous series. Nifty rollover before E-1 days stands at 51% vs. 52% in the previous series. Bank Nifty rollover before E-1 days stands at 47% vs. 48% in the last series.
• As mentioned in the yesterday report, Nifty does break the range on the downside and is likely to move towards the level of 8555 level. On the upside, immediate resistance lies around the 8700 level.
• Stocks in ban for trade on 26-Oct-2016: Ceatltd, Jindal Steel and TV18BRDCST.

DERIVATIVE HIGHLIGHTS FOR 25-10-2016:

• Nifty future seen addition of 10 lacs in OI and Bank Nifty seen addition of 2.1 lacs in OI.
• Stocks seen long position includes Arvind, SAIL, Federalbank, Adaniport, Maruti, Cadila, Infratel, Heromotor, NCC, VEDL, Asinapaint, PTC and TVSMotor. Stocks seen short build-up includes CEAT, Adanipower, Southbank, Amaraja, Biocon, Motherson, SRF, Adanient, HCLTech and Eichermotor.
• Option statistics: Nifty highest Call option OI for October series stands at 9000 strike price. In today’s trading session, Nifty 8600 and 8700 call option seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the October series stands at 8600 strike price. In today’s trading session, Nifty 8600, 8700 and 8800 put option seen unwinding in OI with IV decreasing indicates profit booking of option.
• Overall Rollover before E-2 days stands at 41% vs. 39% in the previous series. Nifty rollover before E-2 days stands at 40% vs. 41% in the previous series. Bank Nifty rollover before E-2 days stands at 32% vs. 32% in the last series.
• Looking into the option data, Nifty likely to trade in the range of 8650-8750 level and a break out of the range on either side will give direction to the market. A break below 8650 likely to open the level of 8555 level and on the upside a break out above 8750 will open the upside level of 8800-8880 level.  
• Stocks in ban for trade on 26-Oct-2016: Bank India, Ceatltd, HDIL, IBReal Estate, Jindal Steel, Orientbank and TV18BRDCST.

DERIVATIVE HIGHLIGHTS FOR 24-10-2016:

• Nifty future seen addition of 3 lacs in OI and Bank Nifty seen addition of 1.3 lacs in OI.
• Stocks seen long position includes Unionbank, OIL, Orientbank, ONGC, TV18, Maruti, GMRInfra, JP Associate, Tata Mtrdvr, Engineersind, IDFC and IRB. Stocks seen short build-up includes KTKBank, JSWSteel, Ceat, Asian Paint, Drreddy, NMDC, Apollo Hospital, Heromotor, Mindtree, UBL, Apollotyre and Biocon.
• Option statistics: Nifty highest Call option OI for October series stands at 9000 strike price. In today’s trading session, Nifty 8600 and 8700 call option seen unwinding in OI with IV increasing. Nifty highest Put Option OI for the October series stands at 8600 strike price. In today’s trading session, Nifty 8600 and 8700 put option seen addition in OI with IV increasing indicates buying of option.
• Overall Rollover before E-3 days stands at 26% vs. 25% in the previous series. Nifty rollover before E-3 days stands at 27% vs. 27% in the previous series. Bank Nifty rollover before E-3 days stands at 21% vs. 23% in the last series.
• Looking into the option data, Nifty likely to move towards the upside level of 8740-8800 level. On the downside, immediate support lies around the 8640 and below that 8555 level. 
• Stocks in ban for trade on 25-Oct-2016: Bank India, HDIL, IBReal Estate, Jindal Steel, Orientbank and TV18BRDCST.

DERIVATIVE HIGHLIGHTS FOR 21-10-2016:

• Nifty future seen addition of 1 lakh in OI and Bank Nifty seen unwinding of 0.1 lacs in OI.
• Stocks seen long position includes NCC, Biocon, Tata Comm, MRF, JPAssociate, SAIL and Torntpower. Stocks seen short build-up includes Reliance, ACC, Titan, Amaraja, NMDC, Axisbank, BEML, India Cement and IDFCBank.
• Option statistics: Nifty highest Call option OI for October series stands at 9000 strike price. In today’s trading session, Nifty 8600 and 8700 call option seen unwinding in OI with IV decreasing indicates profit booking. Nifty highest Put Option OI for the October series stands at 8600 strike price. In today’s trading session, Nifty 8700 put option seen addition in OI with IV decreasing indicates writing of option.
• Looking into the option data, Nifty likely to move towards the upside level of 8740-8800 level. On the downside, immediate support lies around the 8640 and below that 8555 level. 
• Stocks in ban for trade on 24-Oct-2016: Bank India, HDIL, IBReal Estate and Jindal Steel.

DERIVATIVE HIGHLIGHTS FOR 20-10-2016:

• Nifty future seen addition of 14 lacs in OI and Bank Nifty seen addition of 0.9 lacs in OI.
• Stocks seen long position includes Syndicatebank, SRF, JISLJAL, VEDL, Tata Power, Adaniport, KTKBank, Engineersind, ICICIbank, Cairn and Torntpower. Stocks seen short build-up includes Tata Motor, Amaraja, MRF, Granules, Biocon, JSWSteel and Siemens.
• Option statistics: Nifty highest Call option OI for October series stands at 9000 strike price. In today’s trading session, Nifty 8500 and 8600 call option seen unwinding in OI with IV decreasing indicates profit booking. Nifty highest Put Option OI for the October series stands at 8600 strike price. In today’s trading session, Nifty 8500, 8600 and 8700 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 8740, making a high of 8727. Looking into the option data, Nifty likely to move towards the upside level of 8740-8800 level. On the downside, immediate support lies around the 8620 and below that 8555 level. 
• Stocks in ban for trade on 21-Oct-2016: Bank India, Ceat, HDIL, IBReal Estate and Jindal Steel.

DERIVATIVE HIGHLIGHTS FOR 19-10-2016:

·         Nifty future seen unwinding of 3 lacs in OI and Bank Nifty seen unwinding of 0.5 lacs in OI.

·         Stocks seen long position includes IDFCBank, Hindzinc, IDBI, Marico, Biocon, IGL, VEDL, Tata Global, REC, UPL and Cairn. Stocks seen short build-up includes Petronet, Relcapital, Torntpower, Cummins, Havells, Hindalco, Heromotor, Federalbank, Century, Asianpaint and BEL.

·         Option statistics: Nifty highest Call option OI for October series stands at 9000 strike price. In today’s trading session, Nifty 8500 and 8600 call option seen unwinding in OI with IV increasing. Nifty highest Put Option OI for the October series stands at 8500 strike price. In today’s trading session, Nifty 8600 and 8700 put option seen addition in OI with IV decreasing indicates writing of option.

·         Looking into the option data, Nifty likely to move towards the upside level of 8740-8800 level. On the downside, immediate support lies around the 8600 and below that 8555 level.  

DERIVATIVE HIGHLIGHTS FOR 18-10-2016:

·         Nifty future seen addition of 1 lakh in OI and Bank Nifty seen unwinding of 1.5 lacs in OI.

·         Stocks seen long position includes Hindzinc, Havells, Arvind, MRF, L&TFH, LICHSGFIN, Hindalco, Bankindia, Suntv, Ceat, Tata Steel, Adaniport, Ambujacement, Pageind, TVSMotor and Apollotyre. Stocks seen short build-up includes Mindtree, Petronet, Asianpaint, OIL and Infratel.

·         Option statistics: Nifty highest Call option OI for October series stands at 9000 strike price. In today’s trading session, Nifty 8500, 8600 and 8700 call option seen unwinding in OI with IV decreasing indicates profit booking of option. Nifty highest Put Option OI for the October series stands at 8500 strike price. In today’s trading session, Nifty 8500, 8600 and 8700 put option seen addition in OI with IV decreasing indicates writing of option.

·         As mentioned in the yesterday report, Nifty does hold the 8500 level and cross the immediate resistance of 8620 level and is likely to move towards the level of 8750-8800 level. On the downside immediate support lies around the 8555 level.  

·         Stocks in ban for trade on 19-Oct-2016: BANKINDIA, CEAT, HDIL, IBREALEST and JINDALSTEL.

DERIVATIVE HIGHLIGHTS FOR 17-10-2016:

·         Nifty future seen unwinding of 3 lacs in OI and Bank Nifty seen unwinding of 1.7 lacs in OI.

·         Stocks seen long position includes DCBbank, DHFL, Arvind and Granules. Stocks seen short build-up includes NIITECH, Havells, Heromotor, Dabur, Bankindia, IGL, TV18, Andhrabank, Ceat, BEML, Apollo Tyre, Canbank and M&M.

·         Option statistics: Nifty highest Call option OI for October series stands at 9000 strike price. In today’s trading session, Nifty 8500, 8600 and 8700 call option seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the October series stands at 8500 strike price. In today’s trading session, Nifty 8500, 8600 and 8700 put option seen unwinding in OI with IV increasing indicates short covering by writer of option.

·         Nifty does break the support level of 8540 and looking into the option data a move below 8500 will open the downside level of 8250-8300 level. On the upside, immediate resistance lies around the 8620 level.  

·         Stocks in ban for trade on 18-Oct-2016: IBREALEST and JINDALSTEL.

DERIVATIVE HIGHLIGHTS FOR 10-10-2016:

·         Nifty future OI remain flat at 2.30 crores and Bank Nifty seen addition of 0.8 lacs in OI.

·         Stocks seen long position includes PcJeweller, Ultratechcem, Dishtv, KSCL, TV18, ACC, Titan, Mindtree and Tata Comm. Stocks seen short build-up includes Unionbank, DCBbank, NTPC, Cummins, Bharat Froge, IOC, IRB and STAR.

·         Option statistics: Nifty highest Call option OI for October series stands at 9000 strike price. In today’s trading session, Nifty 8800, 8900 and 9000 call option seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the October series stands at 8500 strike price. In today’s trading session, Nifty 8600, 8700 and 8800 put option seen addition in OI with IV decreasing indicates writing of option.

·         Looking into the option data, Nifty immediate support lies around the 8650 level and below that the crucial support lies around the 8540 level.  On the upside immediate resistance lies around the 8800 level and above that 8890 level.  

DERIVATIVE HIGHLIGHTS FOR 07-10-2016:

• Nifty future seen unwinding of 5 lacs in OI and Bank Nifty seen addition of 0.1 lacs in OI.
• ·         Stocks seen long position includes Suntv, Tata Steel, Engineersind, TVSMotor, Castrolind, Bata India, CESC, RCom and Orientbank. Stocks seen short buildup includes Torntpower, Cairn, Srtransfinance, Bank baroda, DHFL, VEDL, Apollo Hospital, Biocon, JSWEnergy and Infy.
• ·         Option statistics: Nifty highest Call option OI for October series stands at 9000 strike price. In today’s trading session, Nifty 8700 and 8800 call option seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the October series stands at 8600 strike price. In today’s trading session, Nifty 8700 and 8800 put option seen unwinding in OI with IV decreasing indicates profit booking.
• ·         Looking into the option data, Nifty immediate support lies around the 8650 level and below that the crucial support lies around the 8540 level.  On the upside immediate resistance lies around the 8800 level and above that 8890 level.
• ·         Stocks in ban for trade on 10-Oct-2016: IBREALESTATE & JINDALSTEL.

DERIVATIVE HIGHLIGHTS FOR 06-10-2016:

• Nifty future seen unwinding of 2 lacs in OI and Bank Nifty seen addition of 1 lakh in OI.
• Stocks seen long position includes BOSCH, Bajfinance, IOC, TV18, Sintex and BPCL. Stocks seen short buildup includes Torntpower, Tornt Pharma, IDFCbank, ALBK, Bank baroda, Ajantapharma, Bharat Finance, Crompton, PFC, Siemens, M&M, HDIL and Drreddy.
• Option statistics: Nifty highest Call option OI for October series stands at 9000 strike price. In today’s trading session, Nifty 8700 and 8800 call option seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the October series stands at 8600 strike price. In today’s trading session, Nifty 8600 and 8700 put option seen addition in OI.
• Looking into the option data, Nifty immediate support lies around the 8690 level and below that the crucial support lies around the 8540 level.  On the upside immediate resistance lies around the 8800 level.
• Stocks in ban for trade on 07-Oct-2016: IBREALESTATE & JINDALSTEL.

DERIVATIVE HIGHLIGHTS FOR 04-10-2016:

• Nifty future seen addition of 3 lacs in OI and Bank Nifty seen addition of 0.3 lacs in OI.
• Stocks seen long position includes Amaraja, IGL, Havells, Jindalstel, Canbank, VEDL, Petronet, ALBK, UBL, Federalbank and PFC. Stocks seen short buildup includes Torntpower, Ajantapharma, Tornt Pharma, IRB, LT, HUL, Hindzinc and Bata India.
• Option statistics: Nifty highest Call option OI for October series stands at 9000 strike price. In today’s trading session, Nifty 8800 call option seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the October series stands at 8600 strike price. In today’s trading session, Nifty 8600, 8700 and 8800 put option seen addition in OI.
• Looking into the option data, we expect a sustain trade above 8750 will open the upside level of 8800-8840 level. On the downside, Nifty immediate support lies around the 8690 level and below that the crucial support lies around the 8540 level.  
• Stocks in ban for trade on 05-Oct-2016: IBREALESTATE.

DERIVATIVE HIGHLIGHTS FOR 03-10-2016:

• Nifty future seen unwinding of 6 lacs in OI and Bank Nifty seen addition of 0.3 lacs in OI.
• Stocks seen long position includes Hindzinc, SRF, Arvind, Godrejind, Havells, PNB, Bank Baroda, IBReal Est, Suntv, M&MFinance, Ceat, GodrejCp, Tvsmotor, JISLJAL, Orientbank, Cumminsind, IOC and LICHSGFIN.
• Option statistics: Nifty highest Call option OI for October series stands at 9000 strike price. In today’s trading session, Nifty 8600 call option seen unwinding in OI and 8700 and 8800 call option seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the October series stands at 8600 strike price. In today’s trading session, Nifty 8600, 8700 and 8800 put option seen addition in OI with IV decreasing indicates writing of option.
• As mentioned in the last report, Nifty does hold the support level of 8540 and move towards the immediate resistance of 8750, making a high of 8745. Looking into the option data, we expect a sustain trade above 8750 will open the upside level of 8800-8840 level. On the downside, Nifty crucial support lies around the 8540 level.  
• Stocks in ban for trade on 04-Oct-2016: IBREALESTATE.

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.