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.