DERIVATIVE DIARY - FEBRUARY 2018

HIGHLIGHTS FOR 28-02-2018

·        Nifty future seen addition of 3 lacs in OI and Bank Nifty seen addition of 0.3 lacs in OI.

·        Nifty OI PCR ratio decreased from 1.42 to 1.38.

·        Stocks seen long build-up includes Apollo Tyre, Reliance, Bergerpaint, Bharat Forge, IDBI, MRF, Cholafin, Apollo Hospital and Ashokleyland. Stocks seen short build-up includes Bank India, Cummins, Petronet, Bajaj Auto, Idea, GodrejCP, Shree Cement, BHEL, Torntpower and M&MFinance.

·        Option statistics: Nifty highest Call option OI for March series stands at 10700 strike price. In today’s trading session, Nifty 10500 and 10700 call options seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the March series stands at 10400 strike price. In today’s trading session, Nifty 10500, 10600 and 10700 put options seen unwinding in OI with IV decreasing indicates profit booking of option.

·        Looking into the option data, Nifty likely to face resistance around the 10650-10690 level. On the downside, immediate support stands around the 10470-10450 level and below that 10300 level.

·        Stocks in ban for trade on 1-Mar-2018: Fortis, JPAssociate and Orientbank.

HIGHLIGHTS FOR 27-02-2018

·        Nifty future seen addition of 10 lacs in OI and Bank Nifty seen unwinding of 0.8 lacs in OI.

·        Nifty OI PCR ratio decreased from 1.46 to 1.42.

·        Stocks seen long build-up includes Ramcocem, Cholafin, Godrejcp, Kajaria, IGL and Jublfood. Stocks seen short build-up includes PNB, Ambujacem, Pidilite, Ceat, OFSS, Bankindia, Canbj, Cummins, Unionbank and Apollohospital.

·        Option statistics: Nifty highest Call option OI for March series stands at 10700 strike price. In today’s trading session, Nifty 10600 and 10700 call options seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the March series stands at 10000 strike price. In today’s trading session, Nifty 10500, 10600 and 10700 put option seen additions in OI with IV increasing indicate buying of option.

·        Looking into the option data, Nifty likely to face resistance around the 10650-10690 level. On the downside, immediate support stands around the 10470 level and below that 10300 level.

·        Stocks in ban for trade on 28-Feb-2018: Fortis, JPAssociate and Orientbank.

HIGHLIGHTS FOR 26-02-2018

·        Nifty future seen addition of 8 lacs in OI and Bank Nifty seen addition of 0.9 lacs in OI.

·        Nifty OI PCR ratio increased from 1.43 to 1.46.

·        Stocks seen long build-up includes Rcom, Indigo, MRPL, BPCL, Voltas, ACC, HindZinc, Amaraja, Asianpaint, RNAVAL, Nestle, Cholafin and TV18BRDCST. Stocks seen short build-up includes Orientbank, Pidiliteind, PVR, Pageind, Hexaware, Dalmiabharat and PNB.

·        Option statistics: Nifty highest Call option OI for March series stands at 11000 strike price. In today’s trading session, Nifty 10500, 10600 and 10700 call options seen unwinding in OI with IV decreasing indicates profit booking of option. Nifty highest Put Option OI for the March series stands at 10000 strike price. In today’s trading session, Nifty 10500, 10600 and 10700 put option seen additions in OI with IV decreasing indicate writing of option.

·        As mentioned, Nifty does move toward level of 10600, making a high of 10592, vindicating our view. Looking into the option data, Nifty likely to move towards the 10650-10690 level. On the downside, immediate support stands around the 10440 level and below that 10300 level.

·        Stocks in ban for trade on 27-Feb-2018: Fortis, JPAssociate and Orientbank.

DERIVATIVE HIGHLIGHTS FOR 23-02-2018

·        Nifty future seen addition of 15 lacs in OI and Bank Nifty seen addition of 0.9 lacs in OI.

·        Nifty OI PCR ratio increased from 1.41 to 1.43.

·        Stocks seen long build-up includes Mindtree, Fortis, JPassociate, IDBI, BEL, JISLJAL, VEDL, Tata Elxsi, Bajaj Auto, Britannia and IGL. Stocks seen short build-up includes Siemens, Kajaria, Asian Paint, PVR, Eicher Motor, IndianB, GAIL and Titan.

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

·        As mentioned, Nifty does cross the immediate resistance of 10450 and move towards the level of 10500, vindicating our view. Looking into the option data, Nifty likely to move towards the level of 10600-10650 level. On the downside, immediate support stands around the 10390 level and below that 10280 level.

·        Stocks in ban for trade on 26-Feb-2018: Fortis and JPAssociate.

DERIVATIVE HIGHLIGHTS FOR 22-02-2018

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

Particulars	March Series	February Series	% Change
OVERALL OI IN NO. OF SHARES (Cr.)	557.84	594.95	-6.24%
NIFTY FUT OI IN NO. OF SHARES (Cr.)	1.92	2.59	-25.87%
STOCK FUT OI IN NO. OF SHARES (Cr.)	496.47	522.76	-5.03%
BANK NIFTY FUT OI (No. in Mn)	1.72	2.32	-25.86%
CALL OPTION OI IN NO. OF SHARES (Cr.)	4.36	4.31	1.16%
PUT OPTION OI IN NO. OF SHARES (Cr.)	6.14	6.12	0.33%
OI (Rs. in crores)	276997.00	313779.00	-11.72%
NIFTY CLOSING	10382.70	11069.65	-6.21%

·        Overall rollover for the new series stands at 85% vs. 85% in the last series and in tandem with the 3M Average of 85%. Nifty rollover is on the lower side at 62% vs. 66% in the last series and also lowers than the 3M Average of 67%. Bank Nifty rollover too is on the lower side at 65% vs. 71% in the last series and also lowers than the 3M Average of 67%.

·        Nifty OI PCR ratio stands at 1.41.

·        Option statistics: Nifty highest Call option OI for March series stands at 11000 strike price. In today’s trading session, Nifty 10300, 10400 and 10500 call options seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the March series stands at 10000 strike price. In today’s trading session, Nifty 10300, 10400 and 10500 put option seen additions in OI with IV decreasing indicate writing of option.

·        Looking into the option data, Nifty immediate resistance stands around the 10450 and above that 10500-10620 level. On the downside, immediate support stands around the 10280 level and below that 10200 level.

DERIVATIVE HIGHLIGHTS FOR 21-02-2018

·        Nifty futures seen unwinding of 11 lacs in OI and Bank Nifty futures seen unwinding of 0.6 lacs in OI.

·        Nifty OI PCR ratio increased from 1.10 to 1.18.

·        Stocks seen long build-up includes RNAVAL, Mindtree, COLPAL, Just dial, VGurad, Kotakbank, Voltas and Infratel. Stocks seen short build-up includes Adanient, PFC, Tata Steel, Dalmiabharat, NHPC, UPL, Tata Motor, HDIL, Repcohome, IGL and Chennai Petro.

·        Option statistics: Nifty highest Call option OI for February series stands at 10500 strike price. In today’s trading session, Nifty 10350 and 10400 call options seen unwinding in OI with IV increasing indicates covering by writers of option. Nifty highest Put Option OI for the January series stands at 10300 strike price. In today’s trading session, Nifty 10350 and 10400 put option seen additions in OI with IV decreasing indicate writing of option.

·        Looking into the option data, Nifty immediate resistance stands around the 10450 and above that 10500-10620 level. On the downside, immediate support stands around the 10280 level and below that 10200 level.

·        Overall rollover before E-1 trading day stands at 55% vs. 56% in the last series. Nifty rollover before E-1 trading day stands at 39% vs. 41% in the last series and Bank Nifty rollover before E-1 trading day stands at 36% vs. 49% in the last series.

·        Stocks were rollover before E-1 trading day is less than 50% includes HDFCbank, ICICIBank, IFCI, Kotakbank, Orientbank, GMRinfra, Godrejind, JPAssociate, LT, Siemens, Colgate, Coalindia, BPCL, GAIL, IOC, Drreddy, OFSS, JISL, Jublfood and UBL. On back of lower rollover until now one can expect high volatility in the above stocks.

·        Stocks in ban for trade on 22-Feb-2018: Balramchin, Forits, GMRInfra, IFCI, JISLJAL and JPAssociate.

DERIVATIVE HIGHLIGHTS FOR 20-02-2018

·        Nifty futures seen addition of 13 lacs in OI and Bank Nifty futures seen addition of 2.7 lacs in OI.

·        Nifty OI PCR ratio increased from 1.07 to 1.10.

·        Stocks seen long build-up includes VEDL, TV18, Syndicate bank, Apollo Tyre, IDBI, HindZinc, Tata Steel, Sreinfra, Power Grid and PcJeweller. Stocks seen short build-up includes Voltas, NIITech, Motherson, Ajanta Pharma, Chola Finance, Muthootfinance, Tata Global, HDFCBank and Federal bank.

·        Option statistics: Nifty highest Call option OI for February series stands at 11100 strike price. In today’s trading session, Nifty 10300 and 10400 call options seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the January series stands at 10300 strike price. In today’s trading session, Nifty 10300 and 10400 put option seen additions in OI with IV increasing indicate buying of option.

·        Looking into the option data, Nifty immediate resistance stands around the 10460 and above that 10620 level. On the downside, immediate support stands around the 10280 level and below that 10200 level.

·        Stocks in ban for trade on 21-Feb-2018: Balramchin, Dishtv, Forits, GMRInfra, IFCI, JISLJAL and JPAssociate.

DERIVATIVE HIGHLIGHTS FOR 19-02-2018

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

·        Nifty OI PCR ratio remains unchanged at 1.07.

·        Stocks seen long build-up includes Ambujacement, IDBI, Indgo, DHFL and RCom. Stocks seen short build-up includes MFSL, IndianBank, Suntv, Unionbank, ACC, Strantrsfin, ALBK, Tata Steel, PNB, Ashok Leyland, Syndicate bank, SBIN, IDFCBank, Bharat Finance, Divislab, Tata Elxsi and TechM.

·        Option statistics: Nifty highest Call option OI for February series stands at 11100 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 January series stands at 10000 strike price. In today’s trading session, Nifty 10300 put option seen additions in OI with IV increasing indicate buying of option.

·        As mentioned, Nifty does slide towards the level of 10280, making a low of 10303, once 10400 support level was broken down, vindicating our view. Looking into the option data, Nifty immediate resistance stands around the 10500 and above that 10640 level. On the downside, immediate support stands around the 10280 level and below that 10200 level.

·        Stocks in ban for trade on 20-Feb-2018: Balramchin, Dishtv, Forits, GMRInfra, HDIL, JISLJAL JPAssociate and Orient Bank.

DERIVATIVE HIGHLIGHTS FOR 14-02-2018

·        Nifty futures seen unwinding of 1 lakh in OI and Bank Nifty futures seen addition of 2.9 lacs in OI.

·        Nifty OI PCR ratio decreased from 1.11 to 1.09.

·        Stocks seen long build-up includes NCC, VGuard, JISLJAL, Repco home, RCom, Indigo, Nestleind, Tata Mtrdvr and M&MFinance. Stocks seen short build-up includes PNB, Bank India, Orientbank, SBIN, ALBK, Syndicate bank, Kajaria, Infratel, Canbk, Yesbank and Unionbank.

·        Option statistics: Nifty highest Call option OI for February series stands at 11100 strike price. In today’s trading session, Nifty 10500 and 10600 call options seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the January series stands at 10500 strike price. In today’s trading session, Nifty 10500 put option seen additions in OI with IV increasing indicates buying of option.

·        Looking into the option data, Nifty immediate resistance stands around the 10640 and above that 10710 level. On the downside, immediate support stands around the 10400 level and below that 10280 level.

·        Stocks in ban for trade on 15-Feb-2018: Balramchin, Dishtv, GMRInfra, HDIL, Orient Bank and JPAssociate.

DERIVATIVE HIGHLIGHTS FOR 12-02-2018

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

·        Nifty OI PCR ratio increased from 1.09 to 1.11.

·        Stocks seen long build-up includes Nestleind, Bankbaroda, Repco Home, IDBI, Srtransfin, Cadila, Amaraja, Hind Zinc, REC, Nationalum, Britannia, Idea, CONCOR and SAIL. Stocks seen short build-up includes Hexaware, BPCL, Muthootfin, SBIN, Escorts, Ambuja Cement, Kajaria Ceramaic and M&M.

·        Option statistics: Nifty highest Call option OI for February series stands at 11100 strike price. In today’s trading session, Nifty 10400 and 10500 call options seen unwinding in OI with IV decreasing indicates profit booking of option. Nifty highest Put Option OI for the January series stands at 10500 strike price. In today’s trading session, Nifty 10400 and 10500 seen additions in OI with IV decreasing indicates writing of option.

·        Looking into the option data, Nifty immediate resistance stands around the 10640 and above that 10710 level. On the downside, immediate support stands around the 10400 level and below that 10280 level.

·        Stocks in ban for trade on 14-Feb-2018: Balramchin, Dishtv, GMRInfra, HDIL and JPAssociate.

DERIVATIVE HIGHLIGHTS FOR 09-02-2018

·        Nifty futures seen addition of 15 lacs in OI and Bank Nifty futures seen unwinding of 0.4 lacs in OI.

·        Nifty OI PCR ratio remains flat at 1.09.

·        Stocks seen long build-up includes HindZinc, Bata India, Adani Ent, SAIL, Jet Airways, VEDL and Balrampur. Stocks seen short build-up includes Glenmark, Srtransfin, Adaniport, Indusindbank, Ramco cement, Idea, Bharti Airtel, Bergerpaint, Justdial and HindPetro.

·        Option statistics: Nifty highest Call option OI for February series stands at 11100 strike price. In today’s trading session, Nifty 10400, 10500 and 10600 call options seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the January series stands at 10500 strike price. In today’s trading session, Nifty 10500 and 10600 seen unwinding in OI with IV increasing indicates covering by writers of option.

·        Looking into the option data, Nifty immediate resistance stands around the 10640 and above that 10710 level. On the downside, immediate support stands around the 10400 level and below that 10280 level.

·        Stocks in ban for trade on 12-Feb-2018: Balramchin, GMRInfra, HDIL and JISLJAL.

DERIVATIVE HIGHLIGHTS FOR 08-02-2018

·        Nifty futures seen addition of 4 lacs in OI and Bank Nifty futures seen unwinding of 0.6 lacs in OI.

·        Nifty OI PCR ratio increased from 1.01 to 1.09.

·        Stocks seen long build-up includes ACC, Godrejind, Cipla, Balrampur, Bata India, Cadila, BHEL, Jet Airways, Bharat Forge, Pageind, Tata Steel, Tonrtpower, SRF and Apollo Tyre. Stocks seen short build-up includes Nestle, Ramco Cement, Adani Power, Power Grid, ICICPru, NTPC, Dishtv, Auropharma and Hindalco.

·        Option statistics: Nifty highest Call option OI for February series stands at 11100 strike price. In today’s trading session, Nifty 10400, 10500 and 10600 call options seen unwinding in OI with IV decreasing indicates profit booking of option. Nifty highest Put Option OI for the January series stands at 10500 strike price. In today’s trading session, Nifty 10400, 10500 and 10600 seen additions in OI with IV decreasing indicates writing of option.

·        Looking into the option data, Nifty immediate resistance stands around the 10640 and above that 10710 level. On the downside, immediate support stands around the 10400 level and below that 10280 level.

DERIVATIVE HIGHLIGHTS FOR 07-02-2018

·        Nifty futures seen addition of 8 lacs in OI and Bank Nifty futures seen addition of 1.6 lacs in OI.

·        Nifty OI PCR ratio decreased from 1.13 to 1.01.

·        Stocks seen long build-up includes Voltas, Dishtv, OIL, Wock Pharma, IOC, CGPower, Hindalco, Coalindia and India Cement. Stocks seen short build-up includes Dalmia Bharat, PcJeweller, Havells, OFSS, M&M, UBL, Ultracement, Andhra Bank, ACC, Bank India and PNB.

·        Option statistics: Nifty highest Call option OI for February series stands at 11500 strike price. In today’s trading session, Nifty 10500 and 10600 call options seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the January series stands at 10000 strike price. In today’s trading session, Nifty 10400 and 10500 seen additions in OI with IV increasing indicates buying of option.

·        Looking into the option data, Nifty immediate resistance stands around the 10700 level. On the downside, immediate support stands around the 10280 level and below that 10170 level.

·        Stocks in ban for trade on 8-Feb-2018: FORTIS, GMRINFRA, HDIL and JISLJAL.

DERIVATIVE HIGHLIGHTS FOR 06-02-2018

·        Nifty futures seen addition of 6 lacs in OI and Bank Nifty futures seen unwinding of 0.3 lacs in OI.

·        Nifty OI PCR ratio increased from 1.10 to 1.13.

·        Stocks seen long build-up includes Mindtree, Ramcocem, Motherson, Escort, Srtransfin and NIITTech. Stocks seen short build-up includes Grasim, Sreinfra, ICICIPrulife, JISLJAL, Nestleind, Hindzinc, Power Grid, Tata Motor, Lupin, Arvind and TV18.

·        Option statistics: Nifty highest Call option OI for February series stands at 11500 strike price. In today’s trading session, Nifty 10400, 10500 and 10600 call options seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the January series stands at 10000 strike price. In today’s trading session, Nifty 10400, 10500 and 10600 seen unwinding in OI with IV increasing indicates covering by writers of option.

·        Looking into the option data, Nifty immediate resistance stands around the 10700 level. On the downside, immediate support stands around the 10280 level and below that 10170 level.

·        Stocks in ban for trade on 7-Feb-2018: FORTIS, HDIL and JISLJAL.

DERIVATIVE HIGHLIGHTS FOR 05-02-2018

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

·        Nifty OI PCR ratio increased from 1.09 to 1.10.

·        Stocks seen long build-up includes Bharat Forge, JISLJAL, Jindal Steel, UBL, Escorts, NIITTech, COLPAL and Adani Ent. Stocks seen short build-up includes Ramcocement, Godrejind, ACC, Jublfood, Grasim, Pageind, Bergerpaint, Dalmia, Cummins, NBCC and KSCL.

·        Option statistics: Nifty highest Call option OI for February series stands at 11500 strike price. In today’s trading session, Nifty 10600, 10700 and 10800 call options seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the January series stands at 10500 strike price. In today’s trading session, Nifty 10600 seen addition in OI with IV decreasing indicates writing of option.

·        As mentioned in the weekly report, Nifty does slide towards the level of 10600, vindicating our view. Looking into the option data, Nifty immediate resistance stands around the 10710 level and above that 10900 level. On the downside, immediate support stands around the 10588 level and below that 10410 level.

·        Stocks in ban for trade on 6-Feb-2018: Forits, HDIL, IndiaCement and WockPharma.

DERIVATIVE HIGHLIGHTS FOR 02-02-2018

·        Nifty futures seen unwinding of 10 lacs in OI and Bank Nifty futures seen unwinding of 1.5 lacs in OI.

·        Nifty OI PCR ratio decreased from 1.21 to 1.09.

·        Stocks seen short build-up includes PVR, Siemens, Motherson, HDIL, Cummins, Dalmia Bharat, Infibeam, Pidilite, Pageind, Ceat, IDBi and Bajaj Auto.

·        Option statistics: Nifty highest Call option OI for February series stands at 11500 strike price. In today’s trading session, Nifty 11000, 11100 and 11200 call options seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the January series stands at 10500 strike price. In today’s trading session, Nifty 10800 seen addition in OI with IV increasing indicates buying of option.

·        As mentioned, Nifty does slide towards the level of 10800 below that 10980 level, vindicating our view. Looking into the option data, Nifty likely to slide towards the next support level of 10690 levels. On the upside, immediate resistance stands around the 11000 level.

·        Stocks in ban for trade on 5-Feb-2018: Forits, HDIL, IndiaCement, JPAssociate and WockPharma.

DERIVATIVE HIGHLIGHTS FOR 01-02-2018

·        Nifty futures seen unwinding of 7 lacs in OI and Bank Nifty futures seen addition of 0.1 lacs in OI.

·        Nifty OI PCR ratio decreased from 1.30 to 1.21.

·        Stocks seen long build-up includes Escorts, Ceat, IDBI, Apollotyre, Apollo Hospital, Dishtv, ICICIPru, M&M, Yesbank, SRF, MRF, Equitas, ITC and SAIL. Stocks seen short build-up includes BEL, Canbk, Infy, Pageind, Coal India, Andhra Bank, Bank India, SBI, Tata Steel and Justdial.

·        Option statistics: Nifty highest Call option OI for February series stands at 11500 strike price. In today’s trading session, Nifty 11000, 11100 and 11200 call options seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the January series stands at 10500 strike price. In today’s trading session, Nifty 11000 and 11100 put options seen addition in OI with IV decreasing indicates writing of option.

·        Looking into the option data, a sustain trade below 10980 will open further downside of 10900-10800 level. On the upside, immediate resistance stands around the 11100 level and above that 11171 level.

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.