DERIVATIVE DIARY - OCTOBER 2017

DERIVATIVE HIGHLIGHTS FOR 30-10-2017:



DERIVATIVE HIGHLIGHTS FOR 27-10-2017:

·         Nifty future seen addition of 7 lacs in OI and Bank Nifty OI remains flat at 1.74 mn.

·         Nifty OI PCR ratio decreased from 1.40 to 1.38.

·         Stocks seen long build-up includes VGuard, JSWEnergy, Ajanta Pharma, Adaniport, Wock Pharma, UBL, NIITech, Chennai Petro, NHPC, Indigo, DHFL, Engineersind, Cadila and GAIL. Stocks seen short build-up includes Yesbank, Granules, BPCL, Petronet, Havells, Bank Baroda and Repco Home.

·         Option statistics: Nifty highest Call option OI for November series stands at 10500 strike price. In today’s trading session, Nifty 10300 and 10400 call options seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the November series stands at 10000 strike price. In today’s trading session, Nifty 10200, 10300 and 10400 put options seen addition in OI with IV decreasing indicates writing of option.

·         Looking into the option data, Nifty likely to move towards the level of 10400-10450. On the downside, immediate support stands around 10240 levels.

·         Stocks in ban for trade on 30-Oct-2017: IBREALEST and JSWENERGY.

DERIVATIVE HIGHLIGHTS FOR 26-10-2017:

·         Overall rollover for the new series stands at 86% vs. 85% in the last series and also higher than 3M Average of 83%. Nifty rollover too is on the higher side at 73% vs. 70% in the previous series and also higher than the 3M Average of 65%. Bank Nifty rollover too is on the higher side at 69% vs. 65% in the previous series and also higher than the 3M Average of 66%.

·         Nifty OI PCR ratio stands at 1.40.

·         Stocks seen long build-up includes Mcdowell, Castrol, JSWEnergy, MRPL and Tata Chem. Stocks seen short build-up includes BEML, Apollo Tyre, Balkrishna, IBullhsgfin and Star.

·         Option statistics: Nifty highest Call option OI for November series stands at 10500 strike price. In today’s trading session, Nifty 10200, 10300 and 10400 call options seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the November series stands at 10000 strike price. In today’s trading session, Nifty 10200, 10300 and 10400 put options seen addition in OI with IV increasing indicates buying of option.

·         As mentioned in the yesterday report, Nifty does move towards the level of 10350, vindicating our view. Looking into the option data, Nifty likely to move towards the level of 10450. On the downside, immediate support stands around 10230 levels. 

DERIVATIVE HIGHLIGHTS FOR 25-10-2017:

·         Nifty future seen addition of 6 lacs in OI and Bank Nifty future seen addition of 3.6 lacs in OI.

·         Nifty OI PCR ratio remains flat at 1.61.

·         Stocks seen long build-up includes UBL, PNB, Indianbank, Castrol, Albk, JPAssociate, Engineersindia, Ultra Cement, Nationalum, IFCI, Indi Cement and Orient Bank. Stocks seen short build-up includes Kotakbank, L&TFH, Indusinbank, LICHSGFIN, HDFCBank, Balkrishna, Yesbank, Apollo Hospital, Bharat Finance and MCX.

·         Option statistics: Nifty highest Call option OI for October series stands at 10300 strike price. In today’s trading session, Nifty 10250 call options seen unwinding in OI with IV decreasing indicates profit booking of option and 10300 and 10350 call option seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the October series stands at 10000 strike price. In today’s trading session, Nifty 10250, 10300 and 10350 put options seen addition in OI with IV increasing indicates buying of option.

·         Nifty has broken the trading range of 10250-10150 on the upside and as mentioned Nifty likely to move upside towards the level of 10350-10400. On the downside, immediate support stands around 10215 levels.

·         Overall rollover before E-1 day stands at 57% vs. 55% in the last series and Nifty rollover before E-1 day stands at 44% vs. 46% in the last series.

·         Stocks were the rollover before E-1 day is lower than 50% includes Arvind, Bank India, REC, Relcapital, Godrejind, HDIL, Adaniport, Voltas, Colgate, Hindunilever, Jindal Steel, BPCL, GAIL, IOC, Divislab, Adanipoer, NTPC, Power Grid, OFSS, Apollo Tyre and Jublfood. On back of lower rollover one can expect high volatility in the above stocks.

DERIVATIVE HIGHLIGHTS FOR 24-10-2017:

·         Nifty future seen addition of 11 lacs in OI and Bank Nifty future seen addition of 2.1 lacs in OI.

·         Nifty OI PCR ratio increased from 1.53 to 1.61.

·         Stocks seen long build-up includes NBCC, PNB, Jublfood, Bergerpaint, Jet Airways, ZEEL, KSCL, Syndicate Bank, ICIL, IDFCBank, Asian Paint, NTPC, NCC, HCC, Andhrabank and Sreinfra. Stocks seen short build-up includes LICHsgfin, Indusindbank, Havells, M&MFin, Apollo Hospital, RCom, Yes Bank, Adani Power, HCLTech and Cummins.

·         Option statistics: Nifty highest Call option OI for October series stands at 10300 strike price. In today’s trading session, Nifty 10100 and 10200 call options seen unwinding in OI with IV increasing indicates covering by writers of option and 10300 call option seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the October series stands at 10000 strike price. In today’s trading session, Nifty 10200 and 10300 put options seen addition in OI with IV decreasing indicates writing of option.

·         Looking into the option data and ahead of expiry for October series, Nifty likely to trade in the range of 10250 – 10150. A breakout of the trading range on either side will give a move of 100-150 points on Nifty.

·         Overall rollover before E-2 days stand at 34% vs. 37% in the last series and Nifty rollover before E-2 days at 32% vs. 31% in the last series.

DERIVATIVE HIGHLIGHTS FOR 23-10-2017:

·         Nifty future seen addition of 9 lacs in OI and Bank Nifty future seen unwinding of 1.9 lacs in OI.

·         Nifty OI PCR ratio increased from 1.51 to 1.53.

·         Stocks seen long build-up includes PFC, VGuard, IGL, RCom, MGL, Ramco Cement, SRF, RBLBank, Cholafin, Reliance, Mindtree and Escorts. Stocks seen short build-up includes Ceat, IBullhsgfin, Dishtv, Havells, Nationalum, Southbank, Axisbank, PTC, LT and IOC.

·         Option statistics: Nifty highest Call option OI for October series stands at 10200 strike price. In today’s trading session, Nifty 10100, 10200 and 0300 call options seen unwinding in OI with IV increasing indicates covering by writers of option. Nifty highest Put Option OI for the October series stands at 10000 strike price. In today’s trading session, Nifty 10200 and 10300 put options seen unwinding in OI with IV decreasing indicates profit booking of option.

·         Looking into the option data and ahead of expiry for October series, Nifty likely to trade in the range of 10250 – 10150. A breakout of the trading range on either side will give a move of 100-150 points on Nifty.

·         Overall rollover before E-3 day’s stand at 19% vs. 23% in the last series and Nifty rollover too is on the lower side before E-3 days at 17% vs. 20% in the last series

DERIVATIVE HIGHLIGHTS FOR 17-10-2017:

·         Nifty future seen addition of 2 lacs in OI and Bank Nifty future seen unwinding of 0.2 lacs in OI.

·         Nifty OI PCR ratio decreased from 1.68 to 1.66.

·         Stocks seen long build-up includes Torntpharma, BEML, NBCC, PFC, Hexaware, Sreinfra, Godfrey, Tata Chem, Ramco Cement, DLF, Hind Zinc, Britannia, GSFC, NIITTech and IBullhsgfin. Stocks seen short build-up includes ZEEL, DCBbank, ICICPrulife, Axisbank, OFSS, Wipro, UBL, Cadila, MFSL, VGuard and Pidiliteind.

·         Option statistics: Nifty highest Call option OI for October series stands at 10200 strike price. In today’s trading session, Nifty 10300 call options seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the October series stands at 10000 strike price. In today’s trading session, Nifty 10200 and 10300 put options seen addition in OI with IV increasing indicates buying of option.

·         Looking into the option data, Nifty likely to move further towards the upside of 10290 levels. On the downside, immediate support is place around the 10140 and below that 10000 level. 

DERIVATIVE HIGHLIGHTS FOR 16-10-2017:

·         Nifty future seen addition of 4 lacs in OI and Bank Nifty future seen unwinding of 1.3 lacs in OI.

·         Nifty OI PCR ratio increased from 1.63 to 1.68.

·         Stocks seen long build-up includes Federal Bank, M&M Fin, Berger Paint, Ramco Cement, NHPC, Jindal Steel, Ajanta Pharma, Bharti Airtel, Tata Chem and Granules. Stocks seen short build-up includes Indusindbank, DCBbank, COLPAL, Bajfinance, ICICIPrulife, Godrejind, Sreinfra, PTC, Balkrishna and CESC.

·         Option statistics: Nifty highest Call option OI for October series stands at 10200 strike price. In today’s trading session, Nifty 10300 call options seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the October series stands at 10000 strike price. In today’s trading session, Nifty 10200 and 10300 put options seen addition in OI with IV increasing indicates buying of option.

·         As mentioned and anticipated, Nifty does achieved the upside target of 10250 level, making a high of 10242, vindicating our view. Looking into the option data, Nifty likely to move further towards the upside of 10290 levels. On the downside, immediate support is place around the 10090 and below that 9950 level.

·         Stocks in ban for trade on 17-Oct-2017: DHFL, IBREALEST, INFIBEAM, JPASSOCIATE, JSWENERGY, RCOM and RELCAPITAL.

DERIVATIVE HIGHLIGHTS FOR 13-10-2017:

·         Nifty future seen addition of 5 lacs in OI and Bank Nifty future seen addition of 0.3 lacs in OI.

·         Nifty OI PCR ratio increased from 1.51 to 1.63.

·         Stocks seen long build-up includes MCX, Bharti Airtel, KTKBank, PVR, TVSMotor, JPAssociate, NIITTech, Infibeam, Tata Elxsi, Granules, Bank India, TechM and HDFC. Stocks seen short build-up includes Ramcocem, Federalbank, ZEEL, COLPAL, UBL, Exideind and Tata Global.

·         Option statistics: Nifty highest Call option OI for October series stands at 10200 strike price. In today’s trading session, Nifty 10200 call options seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the October series stands at 10000 strike price. In today’s trading session, Nifty 10100 and 10200 put options seen addition in OI with IV decreasing indicates writing of option.

·         As mentioned and anticipated, Nifty does achieved the upside target of 10180 level, vindicating our view. Looking into the option data, Nifty likely to move further towards the upside of 10250 levels. On the downside, immediate support is place around the 10040 and below that 9950 level.

·         Stocks in ban for trade on 16-Oct-2017: BEML, DHFL, IBREALEST, INFIBEAM, JPASSOCIATE, JSWENERGY, RCOM and RELCAPITAL.

DERIVATIVE HIGHLIGHTS FOR 12-10-2017:

·         Nifty future seen addition of 11 lacs in OI and Bank Nifty future seen unwinding of 2.4 lacs in OI.

·         Nifty OI PCR ratio increased from 1.36 to 1.51.

·         Stocks seen long build-up includes NBCC, Nestle, Hindalco, Britannia, Nationalum, Infratel, NIITTech, TCS, SREINFRA, Jindal Steel, MCX, COLPAL, Dabur, JPAssociate and Torntpower. Stocks seen short build-up includes PFC, JISLJAL, Bank India, GSFC, Ramco Cement and Grasim.

·         Option statistics: Nifty highest Call option OI for October series stands at 10000 strike price. In today’s trading session, Nifty 9900, 10000 and 10100 call options seen unwinding in OI with IV decreasing indicates profit booking of option. Nifty highest Put Option OI for the October series stands at 10000 strike price. In today’s trading session, Nifty 9900, 10000 and 10100 put options seen addition in OI with IV decreasing indicates writing of option.

·         As mentioned and anticipated, Nifty does achieved the upside target of 10100 level, vindicating our view. Looking into the option data, Nifty likely to move further towards the upside of 10180 levels. On the downside, immediate support is place around the 10030 and below that 9950 level.

·         Stocks in ban for trade on 13-Oct-2017: BEML, DHFL, IBREALEST, JSWENERGY, RCOM and RELCAPITAL.

DERIVATIVE HIGHLIGHTS FOR 11-10-2017:

·         Nifty future seen addition of 11 lacs in OI and Bank Nifty future seen addition of 3.4 lacs in OI.

·         Nifty OI PCR ratio decreased from 1.39 to 1.36.

·         Stocks seen long build-up includes Southbank, Bharti Airtel, Britannia, Idea, KTKBank, TCS and Pidilite Ind. Stocks seen short build-up includes Canbk, ALBK, Unionbank, Voltas, PEL, Bank India, Cummins, LICHSGFIN, Andhrabank, Amaraja, JISLJAL, PFC, Exideind, KPIT, IDBI and STAR.

·         Option statistics: Nifty highest Call option OI for October series stands at 10000 strike price. In today’s trading session, Nifty 10000 call options seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the October series stands at 9800 strike price. In today’s trading session, Nifty 9800 and 9900 put options seen unwinding in OI with IV increasing indicates covering by writers of option and Nifty 10000 put option seen addition in OI with IV increasing indicates buying of option.

·         Looking into the option data, Nifty likely to move towards the upside of 10100 levels. On the downside, immediate support is place around the 9950 and a sustain trade below 9950 will open the downside towards the 9830 level.

·         Stocks in ban for trade on 12-Oct-2017: BEML, DHFL, IBREALEST, JSWENERGY, RCOM and RELCAPITAL.

DERIVATIVE HIGHLIGHTS FOR 10-10-2017:

·         Nifty future seen addition of 6 lacs in OI and Bank Nifty future seen addition of 0.4 lacs in OI.

·         Nifty OI PCR ratio remains unchanged at 1.39.

·         Stocks seen long build-up includes Hexaware, Havells, STAR, INFY, NIITECH, Raymond, TVSMotor, IGL, PEL, Torntpharma, OIL, Ashok Leyland, Biocon, Suntv, L&TFH, GodrejCp and GSFC. Stocks seen short build-up includes VEDL, RamcoCement, Kajaria, Southbank, Idea, PTC and Pidiliteind.

·         Option statistics: Nifty highest Call option OI for October series stands at 10000 strike price. In today’s trading session, Nifty 9800 and 9900 call options seen unwinding in OI with IV decreasing indicates profit booking of option. Nifty highest Put Option OI for the October series stands at 9800 strike price. In today’s trading session, Nifty 9800, 9900 and 10000 put options seen addition in OI with IV increasing indicates buying of option.

·         Looking into the option data, Nifty likely to move towards the upside of 10100 levels. On the downside, immediate support is place around the 9890.

·         Stocks in ban for trade on 11-Oct-2017: BEML, DHFL, IBREALEST, JPASSOCIATE, JSWENERGY, RCOM and RELCAPITAL.

DERIVATIVE HIGHLIGHTS FOR 09-10-2017:

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

·         Nifty OI PCR ratio increased from 1.37 to 1.39.

·         Stocks seen long build-up includes SRF, Tata Elxsi, Pcjeweller, M&M Finance, Bata India, RelCapital, TVSMotor, Indusindbank, PEL and STAR. Stocks seen short build-up includes Power Grid, Apollo tyre, Amaraja, Biocon, UBL, Balrampur, PFC, OFSS, Exideind, Federalbank and Orientbank.

·         Option statistics: Nifty highest Call option OI for October series stands at 10000 strike price. In today’s trading session, Nifty 9900, 10000 and 10100 call options seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the October series stands at 9800 strike price. In today’s trading session, Nifty 9800, 9900 and 10000 put options seen addition in OI with IV increasing indicates buying of option.

·         Looking into the option data, Nifty likely to move towards the upside of 10100 levels. On the downside, immediate support is place around the 9890.

·         Stocks in ban for trade on 10-Oct-2017: BEML, DHFL, IBREALEST, JPASSOCIATE, JSWENERGY, RCOM and RELCAPITAL.

DERIVATIVE HIGHLIGHTS FOR 06-10-2017:

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

·         Nifty OI PCR ratio increased from 1.26 to 1.37.

·         Stocks seen long build-up includes Granules, GAIL, RBLBank, Tata Steel, Marico, Southbank, Balrampur, UBL, Tata Chem, Castrol, Apollo Tyre, KSCL, NCC, Torntpharma, Chennai Petro, Bajfinance and M&MFinance. Stocks seen short build-up includes STAR, RelCapital, Cummins, IRB, Heromotor and Amaraja.

·         Option statistics: Nifty highest Call option OI for October series stands at 10000 strike price. In today’s trading session, Nifty 9800, 9900 and 10000 call options seen unwinding in OI with IV decreasing indicates profit booking of option. Nifty highest Put Option OI for the October series stands at 9800 strike price. In today’s trading session, Nifty 9800, 9900 and 10000 put options seen addition in OI with IV decreasing indicates writing of option.

·         As mentioned in the yesterday report, Nifty does achieved the first target of 9990 above the 9930 resistance, making a high of 9989, vindicating our view. Looking into the option data, a move above 9990 will open further upside to the level of 10120. On the downside, immediate support is place around the 9890.

·         Stocks in ban for trade on 09-Oct-2017: BEML, DHFL, IBREALEST, JPASSOCIATE and JSWENERGY.

DERIVATIVE HIGHLIGHTS FOR 05-10-2017:

·         Nifty future OI seen addition of 10 lacs in OI and Bank Nifty future seen unwinding of 0.5 lacs in OI.

·         Nifty OI PCR ratio decreased from 1.29 to 1.26.

·         Stocks seen long build-up includes Jublfood, NIITech, ICIL, Justdial, Britannia, Tata Elxsi, Shree Cement, Wock Pharma, DHFL, Srtransfin, Tata Chem and Raymond. Stocks seen short build-up includes Power Grid, Engineersindia, Hexaware, Torntpharma, IGL, L&TFH, ICICIPrulife, CONCOR, M&MFin, Exideind, Pageind and LT.

·         Option statistics: Nifty highest Call option OI for October series stands at 10000 strike price. In today’s trading session, Nifty 9900 and 10000 call options seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the October series stands at 9800 strike price. In today’s trading session, Nifty 9800, 9900 and 10000 put options seen addition in OI with IV decreasing indicates writing of option.

·         Looking into the option data, the immediate support is place around the 9820 and below that the crucial support of 9685 level. On the upside, immediate resistance is place around the 9930 level and a sustain trade above 9930 will open the upside of 9990-10120 level.

·         Stocks in ban for trade on 06-Oct-2017: BEML, DHFL, IBREALEST, JPASSOCIATE and JSWENERGY.

DERIVATIVE HIGHLIGHTS FOR 04-10-2017:

·         Nifty future OI seen addition of 13 lacs in OI and Bank Nifty future seen unwinding of 0.1 lacs in OI.

·         Nifty OI PCR ratio increased from 1.24 to 1.29.

·         Stocks seen long build-up includes Bata India, Pageind, Infratel, JPAssociate, HDFC, Hexaware, BEML, Siemens, Havells, MGL, RelCapital, Adaniport, VGuard and Lupin. Stocks seen short build-up includes Apollo Tyre, Motherson, Dishtv, IGL, SRF, Arvind, M&MFin, Canbank and Nationalum.

·         Option statistics: Nifty highest Call option OI for October series stands at 10000 strike price. In today’s trading session, Nifty 9800, 9900 and 10000 call options seen unwinding in OI with IV decreasing indicates profit booking of option. Nifty highest Put Option OI for the October series stands at 9800 strike price. In today’s trading session, Nifty 9800, 9900 and 10000 put options seen addition in OI with IV decreasing indicates writing of option.

·         Looking into the option data, the immediate support lies around the 9820 and below that the crucial support of 9685 level. On the upside, immediate resistance lies around the 9928 level and a sustain trade above 9928 will open the upside of 9990-10120 level.

·         Stocks in ban for trade on 05-Oct-2017: IBREALEST, JPASSOCIATE and JSWENERGY.

DERIVATIVE HIGHLIGHTS FOR 03-10-2017:

·         Nifty future OI seen addition of 9 lacs in OI and Bank Nifty future seen addition of 0.5 lacs in OI.

·         Nifty OI PCR ratio increased from 1.20 to 1.24.

·         Stocks seen long build-up includes Gail, Voltas, Infratel, HDFC, Hindzinc, Pcjweller, India Cement, GodrejCp, NTPC, Nationalum, JSWEnergy, Lupin, PTC and Bata India. Stocks seen short build-up includes Power Grid, Pidilite, Dishtv, RelCapital, Amaraja, Hexaware, ACC, Pageind, Marico and STAR.

·         Option statistics: Nifty highest Call option OI for October series stands at 10000 strike price. In today’s trading session, Nifty 9700 and 9800 call options seen unwinding in OI with IV decreasing indicates profit booking of option. Nifty highest Put Option OI for the October series stands at 9700 strike price. In today’s trading session, Nifty 9700, 9800 and 9900 put options seen addition in OI with IV increasing indicates buying of option.

·         Looking into the option data, the immediate support lies around the 9800 and below that the crucial support of 9685 level. A sustain trade below 9685 will open the downside of 9600-9500 level. On the upside, immediate resistance lies around the 9928 level.  

·         Stocks in ban for trade on 04-Oct-2017: IBREALEST and JSWENERGY.

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.