DERIVATIVE DIARY - JUNE 2017

DERIVATIVE HIGHLIGHTS FOR 30-06-2017:

·         Nifty seen addition of 3 lacs in OI and Bank Nifty seen addition of 1.5 lacs in OI.

·         Nifty OI PCR ratio decreased from 1.14 to 1.13.

·         Stocks seen long build-up includes Infibeam, Godfrey, BEML, Orientbank, Titan, Ujjivan, ITC, Britannia, DCBbank, Ramco Cement GMRInfra, COLPAL, RDEL, GodrejCP, Cummins and Dalmia Bharat. Stocks seen short build-up includes Indigo, OIL, IBReal Estate, HDIL, Jet Airways, JPAssociate, Escort, KSCL, HCC and DLF.

·         Option statistics: Nifty highest Call option OI for July series stands at 9700 strike price. In today’s trading session, Nifty 9400, 9500 and 9600 call option seen addition in OI. Nifty highest Put Option OI for the July series stands at 9400 strike price. In today’s trading session, Nifty 9400 and 9500 put option seen addition in OI.

·         Looking into the option data, Nifty immediate support lies around the 9450 level and a sustain trade below 9450 will open downside level of 9350 level. On the upside, immediate resistance lies around the 9570 level and a trade above 9570 likely to open the upside of 9620-9700 level.

·         Stocks in ban for trade on 3-Jul-2017: NIL.

DERIVATIVE HIGHLIGHTS FOR 29-06-2017:

·         The market-wide position in the derivative segment at the beginning of the July series vis-à-vis June series stands at:

Particulars	July Series	June Series	% Change
OVERALL OI IN NO. OF SHARES (Cr.)	473.15	468.50	0.99%
NIFTY FUT OI IN NO. OF SHARES (Cr.)	2.03	2.00	1.50%
STOCK FUT OI IN NO. OF SHARES (Cr.)	415.44	402.40	3.24%
BANK NIFTY FUT OI (No. in Mn)	2.31	3.20	-27.81%
CALL OPTION OI IN NO. OF SHARES (Cr.)	4.69	4.87	-3.70%
PUT OPTION OI IN NO. OF SHARES (Cr.)	5.33	5.18	2.90%
OI (Rs. In crores)	238528.00	231042.00	3.24%
NIFTY CLOSING	9504.10	9509.75	-0.06%

·         Overall rollover for the July series stands at 84% vs. 83% in the last series and also higher than 3M Average of 81%. Nifty rollover for the new series stands at 73% vs. 74% in the previous series and also higher than the 3M Average of 69%. Bank Nifty rollover for the July series stands at 69% vs. 61% in the last series and in tandem with the 3M Average of 69%.

·         Nifty OI PCR ratio stands at 1.14.

·         Option statistics: Nifty highest Call option OI for July series stands at 9700 strike price. In today’s trading session, Nifty 9400, 9500 and 9600 call option seen addition in OI. Nifty highest Put Option OI for the July series stands at 9400 strike price. In today’s trading session, Nifty 9400, 9500 and 9600 put option seen addition in OI.

·         As mentioned in the yesterday report, Nifty traded almost in the range of 9470-9570 with some amid volatility on the expiry day. Looking into the option data, Nifty immediate support lies around the 9470 level and a sustain trade below 9470 will open downside level of 9400-9350 level. On the upside, immediate resistance lies around the 9575 level and a trade above 9575 likely to open the upside of 9620-9700 level. 

DERIVATIVE HIGHLIGHTS FOR 28-06-2017:

·         Nifty future seen addition of 4 lacs in OI and Bank Nifty seen addition of 2.3 lacs in OI.

·         Nifty OI PCR ratio increased from 0.98 to 0.99.

·         Option statistics: Nifty highest Call option OI for June series stands at 9700 strike price. In today’s trading session, Nifty 9450, 9500 and 9550 call option seen addition in OI. Nifty highest Put Option OI for the June series stands at 9500 strike price. In today’s trading session, Nifty 9500 and 9550 put option seen unwinding in OI.

·         Stocks seen build-up includes HDIL, KSCL, Page Ind, Indigo, STAR, Biocon, Bharti Airtel, Adani Power, DCBbank, NCC, ICICIBank, Coal India, Voltas, Eicher Motor and JSWSteel. Stocks seen short build-up includes Petronet, SBIN, Pidilite, PVR, Arvind, Torntpharma, Bharat Forge, NHPC, PNB and Bergerpaint.

·         Overall rollover before E-1 day stands at 60% vs. 57% in the last series and Nifty rollover before E-1 day too is higher at 60% vs. 56% in the previous series.

·         Stocks were the rollover before E-1 day is lower than 50% includes Arvind, IFCI, Syndicate Bank, Godrejind, HDIL, GMRInfra, Adani Ports, BHEL, Siemens, ZEEL, Hindalco, OFSS and Engineers India. One can expect some volatility in the above stocks on back of lower rollover.

·         Looking into the option data, Nifty likely to trade in the range of 9470-9570 on the expiry day. A breakout of the range on either side, will give a move of around 70 points on Nifty.

·         Stocks in ban for trade on 29-Jun-2017: Fortis, GMRInfra, Ibreal Estate, IFCI, India Cement, Infibeam, JPAssociate, KSCL, Orient Bank, RelCapital and Ujjivan.

DERIVATIVE HIGHLIGHTS FOR 27-06-2017:

·         Nifty future seen addition of 13 lacs in OI and Bank Nifty seen addition of 0.5 lacs in OI.

·         Nifty OI PCR ratio decreased from 1.10 to 0.98.

·         Option statistics: Nifty highest Call option OI for June series stands at 9700 strike price. In today’s trading session, Nifty 9500, 9600 and 9700 call option seen addition in OI. Nifty highest Put Option OI for the June series stands at 9500 strike price. In today’s trading session, Nifty 9500, 9600 and 9700 put option seen unwinding in OI.

·         Stocks seen build-up includes KSCL, Bharti Airtel, MFSL, UBL, Infratel and ITC. Stocks seen short build-up includes Petronet, BPCL, IDFC, LT, Canbank, NHPC, SBIN, CAPF, OIL, PTC, Bharat Forge, Syndicate Bank, Asian Paint, Bajaj Auto and Eicher Motor.

·         As mentioned, Nifty does break the immediate support of 9550 level and is likely to move towards the level of 9450-9400 level. On the upside immediate resistance lies around the 9630 level and above that 9710 level.

·         Stocks in ban for trade on 28-Jun-2017: DLF, Fortis, GMRInfra, Ibreal Estate, IFCI, India Cement, Infibeam, JPAssociate, Orient Bank, RCom, RelCapital and Ujjivan.

DERIVATIVE HIGHLIGHTS FOR 23-06-2017:

·         Nifty future seen addition of 9 lacs in OI and Bank Nifty seen addition of 0.2 lacs in OI.

·         Nifty OI PCR ratio decreased from 1.18 to 1.10.

·         Option statistics: Nifty highest Call option OI for June series stands at 9700 strike price. In today’s trading session, Nifty 9600 and 9700 call option seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the June series stands at 9500 strike price. In today’s trading session, Nifty 9600 and 9700 put option seen unwinding in OI with IV decreasing indicates profit booking.

·         Stocks seen build-up includes JPAssociate, COLPAL, Mindtree, RelCapital and Reliance. Stocks seen short build-up includes Adanipower, Andhrabank, PFC, Bharatforge, Voltas, BEL, SRF, India Cement, Bergerpaint, NHPC, Bajfinanc, NCC, Canfinhomes, M&M, Havells, MRPL, TCS, Dalmiabharat, HCC and BPCL.

·         Looking into the option data, Nifty immediate resistance lies around the 9710 level. On the downside, immediate support lies around the 9550 level and a sustain trade below 9550 will open the downside level of 9400 level.

·         Stocks in ban for trade on 27-Jun-2017: Bank India, DLF, Fortis, GMRInfra, HDIL, Ibreal Estate, IFCI, India Cement, Infibeam, JPAssociate, Orient Bank, RCom, Ujjivan and Wock Pharma.

DERIVATIVE HIGHLIGHTS FOR 22-06-2017:

·         Nifty future OI remain flat at 2.32 cr and Bank Nifty seen addition of 0.7 lacs in OI.

·         Nifty OI PCR ratio decreased from 1.22 to 1.18.

·         Option statistics: Nifty highest Call option OI for June series stands at 9700 strike price. In today’s trading session, Nifty 9700 and 9800 call option seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the June series stands at 9500 strike price. In today’s trading session, Nifty 9500, 9600 and 9700 put option seen unwinding in OI with IV increasing indicates short covering by writers of option.

·         Stocks seen build-up includes Balkrishna, Fortis, Federal Bank, MCX, RDEL, Grasim and Tata Power. Stocks seen short build-up includes Chola Finance, NHPC, Hindalco, Havells, Exideind, OIL, IRB, MRPL, Ceat, Just Dial, Ujjivan, Lupin and Godrej Industries.

·         Looking into the option data, Nifty immediate resistance lies around the 9710 level. On the downside, immediate support lies around the 9600 level and below that 9515 level.

·         Stocks in ban for trade on 23-Jun-2017: ALBK, Bank India, Fortis, GMRInfra, HDIL, Ibreal Estate, IFCI, Infibeam, KSCL, Orient Bank, RCom, Ujjivan and Wock Pharma.

DERIVATIVE HIGHLIGHTS FOR 21-06-2017:

·         Nifty future OI remain flat at 2.32 cr and Bank Nifty seen unwinding of 0.5 lacs in OI.

·         Nifty OI PCR ratio increased from 1.21 to 1.22.

·         Option statistics: Nifty highest Call option OI for June series stands at 9700 strike price. In today’s trading session, Nifty 9600, 9700 and 9800 call option seen addition in OI. Nifty highest Put Option OI for the June series stands at 9600 strike price. In today’s trading session, Nifty 9500 and 9600 put option seen addition in OI with IV decreasing indicates writing of option.

·         Stocks seen build-up includes PcJeweller, GodrejCP, HCC, Canbank, LT, Maruti and GSFC. Stocks seen short build-up includes Federal Bank, OIL, Fortis, Eicher Motor, Motherson, Lupin, MRPL, BPCL, Ujjivan, Idea, PEL, Hindalco and Cadila.

·         Looking into the option data, Nifty immediate resistance lies around the 9710 level. On the downside, immediate support lies around the 9600 level and below that 9515 level.

·         Stocks in ban for trade on 22-Jun-2017: ALBK, Bank India, BEML, HDIL, Ibreal Estate, IFCI, Infibeam, JPAssociate, KSCL, Orient Bank, RCom and Wock Pharma.

DERIVATIVE HIGHLIGHTS FOR 20-06-2017:

·         Nifty future OI remain flat at 2.32 cr and Bank Nifty OI too remain unchanged at 2.60 mn.

·         Nifty OI PCR ratio decreased from 1.22 to 1.21.

·         Option statistics: Nifty highest Call option OI for June series stands at 9700 strike price. In today’s trading session, Nifty 9700 call option seen addition in OI. Nifty highest Put Option OI for the June series stands at 9600 strike price. In today’s trading session, Nifty 9700 put option seen addition in OI with IV decreasing indicates writing of option.

·         Stocks seen build-up includes Chola Finance, Hexaware, NIITTech, Ujjivan, GodrejCP, PcJeweller, Fortis, CONCOR, IGL, Escorts, ABirlaNuvo, M&MFinance and Equitas. Stocks seen short build-up includes Eicher Motor, Cadila, IndianB, ICICIBank, IDBI, Nationalum, PNB, Motherson, Lupin, COLPAL and Canbank.

·         Looking into the option data, Nifty does break the immediate resistance of 9640 and is likely to move towards 9710-9750 level. On the downside, immediate support lies around the 9600 level and below that 9515 level.

·         Stocks in ban for trade on 21-Jun-2017: ALBK, Bank India, BEML, DLF, HDIL, Ibreal Estate, IFCI, Infibeam, JPAssociate, KSCL, Orient Bank, RCom and Wock Pharma.

DERIVATIVE HIGHLIGHTS FOR 19-06-2017:

·         Nifty future seen addition of 1 lakh in OI and Bank Nifty seen unwinding of 0.6 lacs in OI.

·         Nifty OI PCR ratio increased from 1.12 to 1.22.

·         Option statistics: Nifty highest Call option OI for June series stands at 9700 strike price. In today’s trading session, Nifty 9600, 9700 and 9800 call option seen unwinding in OI. Nifty highest Put Option OI for the June series stands at 9500 strike price. In today’s trading session, Nifty 9600 and 9700 put option seen addition in OI with IV decreasing indicates writing of option.

·         Stocks seen build-up includes IBReal Estate, Tata Elxsi, NBCC, Adani Ports, Bajaj Auto, Motherson, COLPAL and Hero Motor. Stocks seen short build-up includes HDIL, Wock Pharma, Eicher Motor, Dishtv, Havells, RBLBank, IDBI, PEL, BPCL, Torntpower, Yes Bank, Federal Bank, Nationalum and Maruti.

·         As mentioned, Nifty does break the immediate resistance of 9640 and is likely to move towards 9710-9750 level. On the downside, immediate support lies around the 9600 level and below that 9515 level.

·         Stocks in ban for trade on 20-Jun-2017: ALBK, Bank India, BEML, DLF, HDIL, Ibreal Estate, Infibeam, JPAssociate, KSCL, Orient Bank, RCom and Wock Pharma.

DERIVATIVE HIGHLIGHTS FOR 16-06-2017:

·         Nifty future seen unwinding of 3 lacs in OI and Bank Nifty seen unwinding of 0.8 lacs in OI.

·         Nifty OI PCR ratio decreased from 1.13 to 1.12.

·         Option statistics: Nifty highest Call option OI for June series stands at 9700 strike price. In today’s trading session, Nifty 9600, 9700 and 9800 call option seen addition in OI. Nifty highest Put Option OI for the June series stands at 9500 strike price. In today’s trading session, Nifty 9500 and 9700 put option seen unwinding in OI.

·         Stocks seen build-up includes COLPAL, L&TFH, BajFinance, NBCC, Federal Bank, BEML, Equitas, PVR, India Cement, MGL, BEL, Raymond and ACC. Stocks seen short build-up includes PcJeweller, Fortis, ALBK, Lupin, Torntpharma, Bank Baroda, Mindtree and PEL.

·         Looking into the option data, Nifty immediate support lies around the 9500 level and below that 9400-9350 level. On the upside, Nifty immediate hurdle is at 9640 and above that the 9710 level.

·         Stocks in ban for trade on 19-Jun-2017: ALBK, Bank India, BEML, DLF, Infibeam, JPAssociate, KSCL, Orient Bank, RCom and Ujjivan.

DERIVATIVE HIGHLIGHTS FOR 08-06-2017:

·         Nifty future seen addition of 2 lacs in OI and Bank Nifty seen unwinding of 1.2 lacs in OI.

·         Nifty OI PCR ratio decreased from 1.20 to 1.19.

·         Option statistics: Nifty highest Call option OI for June series stands at 9700 strike price. In today’s trading session, Nifty 9700 and 9800 call option seen addition in OI. Nifty highest Put Option OI for the June series stands at 9500 strike price. In today’s trading session, Nifty 9500 and 9700 put option seen addition in OI.

·         Stocks seen build-up includes KSCL, McDowell, PVR, Balkrishna, Tata Steel, Ajanta Pharma, Sintex, National, UBL and BEML. Stocks seen short build-up includes Petronet, Orientbank, RelCapital, GAIL, Asian Paint, OIL, ALBK, HDIL, TCS, BPCL, Yes Bank and Engineers India.

·         Looking into the option data, Nifty immediate support lies around the 9620 level and below that 9550 level. On the upside, Nifty immediate hurdle is at 9709 and above that the 9800 level.

·         Stocks in ban for trade on 9-Jun-2017: DLF, GMRInfra, IBReal Estate, Infibeam, JPAssociate, Orient Bank and RCom.

DERIVATIVE HIGHLIGHTS FOR 07-06-2017:

·         Nifty future seen addition of 5 lacs in OI and Bank Nifty seen addition of 0.1 lacs in OI.

·         Nifty OI PCR ratio increased from 1.19 to 1.20.

·         Option statistics: Nifty highest Call option OI for June series stands at 9700 strike price. In today’s trading session, Nifty 9800 call option seen addition in OI. Nifty highest Put Option OI for the June series stands at 9500 strike price. In today’s trading session, Nifty 9600 and 9700 put option seen addition in OI.

·         Stocks seen build-up includes Canfinhomes, IndianB, Cadila, GodrejCP, Orientbank, M&MFinance, HCC, Bharat Forge, Jet Airways, OIL, DCBBank and Muthoot Finance. Stocks seen short build-up includes Hexaware, TCS, Mindtree, Siemens, Balrampur, NIITTech, Ramco Cement, Arvind, Petronet, Wipro and Ajanta Pharma.

·         Looking into the option data, Nifty immediate support lies around the 9620 level and below that 9550 level. On the upside, Nifty immediate hurdle is at 9709 and above that the 9800 level.

·         Stocks in ban for trade on 8-Jun-2017: DLF, GMRInfra, IBReal Estate, Infibeam, JPAssociate and RCom.

DERIVATIVE HIGHLIGHTS FOR 06-06-2017:

·         Nifty future seen unwinding of 4 lacs in OI and Bank Nifty seen unwinding of 2.3 lacs in OI.

·         Nifty OI PCR ratio decreased from 1.20 to 1.19.

·         Option statistics: Nifty highest Call option OI for June series stands at 9700 strike price. In today’s trading session, Nifty 9700 and 9800 call option seen addition in OI. Nifty highest Put Option OI for the June series stands at 9500 strike price. In today’s trading session, Nifty 9500 put option seen addition in OI.

·         Stocks seen build-up includes Apollo Tyre, MGL, Pidilite, Adani Ent, Ceat, Dishtv, HCLTech, NBCC, Syndicate Bank, MRF, IGL, Balkrishna, KSCL and TCS. Stocks seen short build-up includes PVR, Godrejind, Arvind, NTPC, Ajanta Pharma, NIITTech, Bank Inidia, Just Dial and Indigo.

·         As mentioned and anticipated, Nifty does move towards the upside level of 9700, making a high of 9709, vindicating our view. Looking into the option data, Nifty immediate support lies around the 9620 level and below that 9550 level.

·         Stocks in ban for trade on 7-Jun-2017: DLF, GMRInfra, IBReal Estate, Infibeam, JPAssociate, RCOM and RelCapital.

DERIVATIVE HIGHLIGHTS FOR 05-06-2017:

·         Nifty future OI remains flat at 2.35 crores and Bank Nifty seen addition of 0.3 lacs in OI.

·         Nifty OI PCR ratio increased from 1.16 to 1.20.

·         Option statistics: Nifty highest Call option OI for June series stands at 9700 strike price. In today’s trading session, Nifty 9800 call option seen addition in OI. Nifty highest Put Option OI for the June series stands at 9500 strike price. In today’s trading session, Nifty 9500, 9600 and 9700 put option seen addition in OI.

·         Stocks seen build-up includes Pageind, Titan, Raymond, NBCC, Escorts, PcJeweller, Balkrishna, IBReal Estate, Fortis, Nestle, HDIL, IBullhsgfin and Jet Airways. Stocks seen short build-up includes KPIT, Balrampur, IFCI, COLPAL, Sintex, BEL, Petronet and PFC.

·         Looking into the option data, Nifty likely to move towards the upside level of 9700-9730.  On the downside, Nifty immediate support lies around the 9620 level and below that 9550 level.

·         Stocks in ban for trade on 6-Jun-2017: DLF, GMRInfra, IBReal Estate, Infibeam, JPAssociate, RCOM and RelCapital.

DERIVATIVE HIGHLIGHTS FOR 02-06-2017:

·         Nifty future OI seen addition of 1 lakh in OI and Bank Nifty seen addition of 0.3 lacs in OI.

·         Nifty OI PCR ratio stands flat at 1.16.

·         Option statistics: Nifty highest Call option OI for June series stands at 9700 strike price. In today’s trading session, Nifty 9600, 9700 and 9800 call option seen addition in OI. Nifty highest Put Option OI for the June series stands at 9400 strike price. In today’s trading session, Nifty 9400 and 9600 put option seen addition in OI.

·         Stocks seen build-up includes HCC, NCC, Escorts, Marico, Pidilite, GMRInfra, TVSMotor, Cadila, DCBbank, Ceat, Andhrabank, Syndicate Bank and Ujjivan. Stocks seen short build-up includes Sintex, M&M, Fortis, MRPL, National, COLPAL, PFC and Oil India.

·         Looking into the option data, Nifty likely to move towards the upside level of 9700-9730.  On the downside, Nifty immediate support lies around the 9570-9550 level and below that 9460 level.

·         Stocks in ban for trade on 5-Jun-2017: DLF, Infibeam, JPAssociate, RCOM and RelCapital.

DERIVATIVE HIGHLIGHTS FOR 01-06-2017:

·         Nifty future OI seen addition of 3 lacs in OI and Bank Nifty seen unwinding of 0.8 lacs in OI.

·         Nifty OI PCR ratio increased from 1.15 to 1.16.

·         Option statistics: Nifty highest Call option OI for June series stands at 9700 strike price. In today’s trading session, Nifty 9600, 9700 and 9800 call option seen addition in OI. Nifty highest Put Option OI for the June series stands at 9400 strike price. In today’s trading session, Nifty 9400, 9500 and 9600 put option seen addition in OI.

·         Stocks seen build-up includes COLPAL, IndianB, Infibeam, DCBBank, HCC, MRPL, Balkrishna, Ceat, Apollo Tyre, Syndicate Bank, SRTRansfin, Asian Paint, ACC, Voltas, KTKBank and GSFC. Stocks seen short build-up includes Torntpharma, VEDL, Nestle, Cummins, DLF, Jublfood, Jindal Steel and PFC.

·         Looking into the option data, a sustain trade above 9640 will open further upside level of 9700-9730.  On the downside, Nifty immediate support lies around the 9570 level and below that 9460 level.

·         Stocks in ban for trade on 2-Jun-2017: DLF, Infibeam, JPAssociate, RCOM and RelCapital.

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.