DERIVATIVE DIARY - MARCH 2018

DERIVATIVE HIGHLIGHTS FOR 28-03-2018

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

Particulars	APRIL SERIES	MARCH SERIES	% Change
OVERALL OI IN NO. OF SHARES (Cr.)	562.62	557.84	0.86%
NIFTY FUT OI IN NO. OF SHARES (Cr.)	2.10	1.92	9.38%
STOCK FUT OI IN NO. OF SHARES (Cr.)	495.03	496.47	-0.29%
BANK NIFTY FUT OI (No. in Mn)	1.62	1.72	-5.81%
CALL OPTION OI IN NO. OF SHARES (Cr.)	4.56	4.36	4.59%
PUT OPTION OI IN NO. OF SHARES (Cr.)	6.31	6.14	2.77%
OI (Rs. in crores)	274296.00	276997.00	-0.98%
NIFTY CLOSING	10113.70	10382.70	-2.59%

·        The Overall rollover for the new series stands at 87% vs. 85% in the last series and also higher than 3M Average of 85%. Nifty rollover for the new series stands at 69% vs. 62% in the last series and also higher than 3M Average of 67% and Bank Nifty rollover too is on the higher side at 75% vs. 65% in the last series and also higher than the 3M Average of 70%.

·        Nifty OI PCR ratio stands at 1.38.

·        Option statistics: Nifty highest Call option OI for April series stands at 11000 strike price. In today’s trading session, Nifty 10000, 10100 and 10200 call options seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the April series stands at 10000 strike price. In today’s trading session, Nifty 10000, 10100 and 10200 put options seen addition in OI with IV increasing indicates buying of option.

·        Looking into the option data, Nifty immediate support stands around the 10090 and below that 10000-9950 level. On the upside, immediate resistance stands around the 10200-10230 and above that 10300-1350 level.

·        Stocks in ban for trade on 2-Apr-2018: NIL.

DERIVATIVE HIGHLIGHTS FOR 27-03-2018

·        Nifty future seen addition of 6 lacs in OI and Bank Nifty OI seen addition of 0.9 lacs in OI.

·        Nifty OI PCR ratio remains flat at 1.15.

·        Stocks seen long build-up includes Pidilite, Cholafinance, Apollo Tyre, IDBI, SRF, Grasim, Bosch, Bajaj Finserv, Adani Power, GMRInfra, Apollo Hospital, TV18BRDCST, Chennai Petro and Divislab. Stocks seen short build-up includes IGL, ACC, Balkrsihna, Canfinhomes, Balramchini, Siemens and Shree Cement.

·        Option statistics: Nifty highest Call option OI for March series stands at 10500 strike price. In today’s trading session, Nifty 10200 and 10250 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 10150 and 10200 put options seen addition in OI with IV increasing indicates buying of option.

·        As mentioned, Nifty does move towards the level of 10180, vindicating our view. Looking into the option data, Nifty likely to move towards the level of 10270. On the downside, immediate support stands around the 10100 and below that 9950 level.

·        Stocks were the rollover before E-1 trading is less than 50% includes IFCI, Srtransfin, ACC, Ambuja Cement, Siemens, GMRInfra, Tata Steel, HDIL, Powwer Grid, Tata Power and OFSS. One can expect some high volatility in the above stocks on back of lower rollover.

·        Overall rollover before E-1 trading day stands at 59% vs. 55% in the last series. Nifty rollover before E-1 trading day stands at 54% vs. 39% in the last series and Bank Nifty rollover before E-1 trading day stands at 54% vs. 36% in the last series.

·        Stocks in ban for trade on 28-Mar-2018: BALRAMCHIN, GMRINFRA, IFCI AND JPASSOCIAT.

DERIVATIVE HIGHLIGHTS FOR 26-03-2018

·        Nifty future seen unwinding of 5 lacs in OI and Bank Nifty OI seen unwinding of 2.1 lacs in OI.

·        Nifty OI PCR ratio increased from 1.04 to 1.15.

·        Stocks seen long build-up includes JPAssociate, Cholafinance, COLPAL, Bata India, Axisbank, NMDC, Exideind, NHPC, Suzlon, Syndibank, Jindal Steel, Adanient and Ujjivan. Stocks seen short build-up includes OIL, Bosch, IDFC,NBCC and Mindtree.

·        Option statistics: Nifty highest Call option OI for March series stands at 10500 strike price. In today’s trading session, Nifty 10000, 10100 and 10200 call options seen unwinding in OI with IV increasing indicates covering by writers of option. Nifty highest Put Option OI for the March series stands at 10000 strike price. In today’s trading session, Nifty 10000 and 10100 put options seen addition in OI with IV increasing indicates buying of option.

·        As mentioned, Nifty does cross the resistance of 10130 and is likely to move towards the level of 10180-10270 level. On the downside, immediate support stands around the 9950 level.

·        Overall rollover before E-2 trading day stands at 55% vs. 33% in the last series and Nifty rollover before E-2 trading day stands at 41% vs. 30% in the last series.

·        Stocks in ban for trade on 27-Mar-2018: IFCI, JetAirways, JPAssociate and Orientbank.

DERIVATIVE HIGHLIGHTS FOR 23-03-2018

·        Nifty future seen unwinding of 2 lacs in OI and Bank Nifty OI seen unwinding of 0.7 lacs in OI.

·        Nifty OI PCR ratio decreased from 1.06 to 1.04.

·        Stocks seen long build-up includes Gail, Infratel, OIL, Dishtv, Coal India and Titan. Stocks seen short build-up includes IGL, Sail, PcJeweller, Cholafinance, Southbank, DHFL, Chennai Petro, Wipro and Unionbank.

·        Option statistics: Nifty highest Call option OI for March series stands at 10500 strike price. In today’s trading session, Nifty 10000 and 10100 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 10100 and 10200 put options seen unwinding in OI with IV increasing indicates covering by writers of option.

·        As mentioned, Nifty does slide towards the level of 9950 on back of weak global cues. Looking into the option data, a sustain trade below 9950 will open the downside level of 9800. On the upside, immediate resistance stands around the 10130 and above that the 200 DMA at 10173 levels.

·        Stocks in ban for trade on 26-Mar-2018: HDIL, IDBI, IFCI, JetAirways and Orientbank.

DERIVATIVE HIGHLIGHTS FOR 22-03-2018

·        Nifty future seen addition of 5 lacs in OI and Bank Nifty OI seen addition of 1.5 lacs in OI.

·        Nifty OI PCR ratio decreased from 1.07 to 1.06.

·        Stocks seen long build-up includes Hexaware, Bergerpaint, Nationalum, IDFC, UBL and VEDL. Stocks seen short build-up includes Andhrabank, Mindtree, Ceat, Southbank, ICICIBank, BOSCH, JetAirways, PcJeweller, Powegrid and Dabur.

·        Option statistics: Nifty highest Call option OI for March series stands at 10500 strike price. In today’s trading session, Nifty 10100 and 10200 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 10100 and 10200 put options seen addition in OI with IV increasing indicates buying of option.

·        Looking into the option data, a move below 10050 on Nifty will open the downside level of 10000-9950. On the upside, immediate resistance stands around the 10240 level.

·        Stocks in ban for trade on 23-Mar-2018: HDIL, IDBI, IFCI, JPAssociate, Jindal Steel, JPAssociate and RCom.

DERIVATIVE HIGHLIGHTS FOR 21-03-2018

·        Nifty future seen addition of 3 lacs in OI and Bank Nifty OI seen unwinding of 0.7 lacs in OI.

·        Nifty OI PCR ratio increased from 1.06 to 1.07.

·        Stocks seen long build-up includes SRF, NIITech, Marico, BEML, OFSS, NTPC and Srtransfin. Stocks seen short build-up includes UBL, RepcoHome, PVR, Apollo Hospital, CGPower, Godrejind, Suntv and Heromotor.

·        Option statistics: Nifty highest Call option OI for March series stands at 10500 strike price. In today’s trading session, Nifty 10100, 10200 and 10300 call options seen unwinding in OI with IV increasing indicates covering by writers of option. Nifty highest Put Option OI for the March series stands at 10000 strike price. In today’s trading session, Nifty 10200 put options seen addition in OI with IV decreasing indicates writing of option.

·        Looking into the option data, a move below 10050 on Nifty will open the downside level of 10000-9950. On the upside, immediate resistance stands around the 10240 level.

·        Stocks in ban for trade on 22-Mar-2018: HDIL, IDBI, IFCI, Jindal Steel, JPAssociate, RCom and SAIL.

DERIVATIVE HIGHLIGHTS FOR 20-03-2018

·        Nifty future seen addition of 5 lacs in OI and Bank Nifty OI seen addition of 1 lakh in OI.

·        Nifty OI PCR ratio increased from 1.04 to 1.06.

·        Stocks seen long build-up includes NIITTech, Hexaware, Indigo, Bank India, TV18BRDCST, Jindal Steel, Andhrabank, Justdial, KPIT and Ashokleyland. Stocks seen short build-up includes Cummins, HCC, MFSL, OIL, Apollohospital and Jet Airways.

·        Option statistics: Nifty highest Call option OI for March series stands at 10500 strike price. In today’s trading session, Nifty 10100 and 10300 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 10100 put options seen addition in OI with IV increasing indicates buying of option.

·        As mentioned, Nifty does slide towards the level of 10050, making a low of 10049, vindicating our view. Looking into the option data, a move below 10050 will open the downside level of 1000-9950. On the upside, immediate resistance stands around the 10240 level.

·        Stocks in ban for trade on 21-Mar-2018: DHFL, HDIL, IDBI, IFCI, Jindal Steel, JPAssociate, RCom and SAIL.

DERIVATIVE HIGHLIGHTS FOR 19-03-2018

·        Nifty future seen unwinding of 4 lacs in OI and Bank Nifty OI seen addition of 1.1 lacs in OI.

·        Nifty OI PCR ratio decreased from 1.09 to 1.04.

·        Stocks seen short build-up includes Ambujacement, Ajantapharma, Balrampur, BPCL, Orientbank, RCom, Bank Baroda, Bergerpaint, MGL, Yesbank and Bajfinance.

·        Option statistics: Nifty highest Call option OI for March series stands at 10500 strike price. In today’s trading session, Nifty 10100, 10200 and 10300 call options seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the March series stands at 10000 strike price. In today’s trading session, Nifty 10000 and 10100 put options seen addition in OI with IV increasing indicates buying of option.

·        Looking into the option data, Nifty likely to slide towards the level of 10050-1000 level. On the upside, immediate resistance stands around the 10300 level.

·        Stocks in ban for trade on 20-Mar-2018: BEML, DHFL, HDIL, IDBI, JPAssociate, RCom and SAIL.

DERIVATIVE HIGHLIGHTS FOR 16-03-2018

·        Nifty future seen addition of 10 lacs in OI and Bank Nifty OI seen addition of 2 lacs in OI.

·        Nifty OI PCR ratio decreased from 1.23 to 1.09.

·        Stocks seen long build-up includes IDBI, Canfinhomes, JPAssociate, TechM, Bergerpaint and Canbk. Stocks seen short build-up includes Engineersind, Justdial, Relinfra, ONGC, HindZinc, Reliance, Tata Motor, Heromotor, CONCOR, LT and RNAVAL.

·        Option statistics: Nifty highest Call option OI for March series stands at 10500 strike price. In today’s trading session, Nifty 10100, 10200 and 10300 call options seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the March series stands at 10000 strike price. In today’s trading session, Nifty 10300 put options seen unwinding in OI with IV decreasing indicates profit booking of option.

·        Looking into the option data, Nifty does break the support of 10270 and the next immediate support stands around the 10140 level and below that 10050-10000 level. On the upside, immediate resistance stands around the 10370 level.

·        Stocks in ban for trade on 19-Mar-2018: Bank India, BEML, DHFL, HDIL, IDBI, JPAssociate, SAIL and TV18BRDCST.

DERIVATIVE HIGHLIGHTS FOR 15-03-2018

·        Nifty future seen addition of 10 lacs in OI and Bank Nifty OI seen unwinding of 0.9 lacs in OI.

·        Nifty OI PCR ratio decreased from 1.27 to 1.23.

·        Stocks seen long build-up includes Divislab, NIITech, Mindtree, Asian Paint, PTC, MCX, Arvind, Coalindia, STAR, Jublfood, Indusindbank and SRTransfin. Stocks seen short build-up includes Amaraja, Cipla, Infratel, Marico, HindZinc, Ultracement, TechM, Reliance and Tata Chem.

·        Option statistics: Nifty highest Call option OI for March series stands at 10500 strike price. In today’s trading session, Nifty 10300, 10400 and 10500 call options seen addition in OI with IV increasing indicates buying 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 options seen unwinding in OI with IV decreasing indicates profit booking of option.

·        Looking into the option data, Nifty immediate support stands around the 10320-10270 level and on the upside immediate resistance stands around the 10470 level.

·        Stocks in ban for trade on 16-Mar-2018: Balramchin, Bank India, BEML, DHFL and TV18BRDCST.

DERIVATIVE HIGHLIGHTS FOR 14-03-2018

·        Nifty future seen addition of 5 lacs in OI and Bank Nifty OI seen addition of 1.7 lacs in OI.

·        Nifty OI PCR ratio remains unchanged at 1.27.

·        Stocks seen long build-up includes KPIT, Dishtv, OIL, TV18BRDCST, Hind Zinc, NIITech, M&MFin, Unionbank, Xummins, ALBK, Adanient and Jet Airways. Stocks seen short build-up includes COLPAL, IOC, Escorts, Adaniports, PFC, Coalindia, Marico, Torntpharma and MFSL.

·        Option statistics: Nifty highest Call option OI for March series stands at 10500 strike price. In today’s trading session, Nifty 10400 call options seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the March series stands at 10000 strike price. In today’s trading session, Nifty 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 10500-10600 level. On the downside, immediate support stands around the 10320-10270 level.

·        Stocks in ban for trade on 15-Mar-2018: Andhrabank, Balramchin, Bank India, BEML, DHFL, IDBI, JPAssociate and TV18BRDCST.

DERIVATIVE HIGHLIGHTS FOR 13-03-2018

·        Nifty future seen unwinding of 2 lacs in OI and Bank Nifty OI seen unwinding of 0.8 lakh in OI.

·        Nifty OI PCR ratio remains unchanged at 1.27.

·        Stocks seen long build-up includes IOC, Bank India, Hexaware, M&M Finance, Ceat, Indigo, Bata India, HDIL, Canfinhomes and Pidilite. Stocks seen short build-up includes TCS, Apollo Hospital, Amaraja, NIITech, Tata Elxsi, Cummins, TVSMotor and IRB.

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

·        Looking into the option data, Nifty likely to move towards the level of 10520-10600 level. On the downside, immediate support stands around the 10320-10270 level.

·        Stocks in ban for trade on 14-Mar-2018: Andhrabank, Balramchin, BEML, DHFL, IDBI and JPAssociate.

DERIVATIVE HIGHLIGHTS FOR 12-03-2018

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

·        Nifty OI PCR ratio increased from 1.14 to 1.27.

·        Stocks seen long build-up includes UBL, NIITTech, NBCC, COLPAL, IOC, Hexaware, Cholafin, Grasim, Bataindia and Justdial. Stocks seen short build-up includes Andhrabank, Tonrtpharma, Godrejind, M&M Finance, Coalindia, Orientbank, ICICPru and Bank India.

·        Option statistics: Nifty highest Call option OI for March series stands at 10600 strike price. In today’s trading session, Nifty 10300 and 10500 call options seen unwinding in OI with IV increasing indicates covering by writers 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 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 10520-10600 level. On the downside, immediate support stands around the 10320-10270 level.

·        Stocks in ban for trade on 13-Mar-2018: Andhrabank, Balramchin, BEML, DHFL, IDBI and JPAssociate.

DERIVATIVE HIGHLIGHTS FOR 05-03-2018

·        Nifty future seen addition of 7 lacs in OI and Bank Nifty OI remains flat at 1.82 mn.

·        Nifty OI PCR ratio decreased from 1.29 to 1.22.

·        Stocks seen long build-up includes Mindtree, BEML, TechM, SBIN and Hexaware. Stocks seen short build-up includes IndianB, IOC, PEL, NMDC, Ramcocement, ICICIBank, Cadila, Petronet, Bank India, JPAssociate, PVR and SAIL.

·        Option statistics: Nifty highest Call option OI for March series stands at 10700 strike price. In today’s trading session, Nifty 10300, 10400 and 10500 call options seen addition in OI with IV increasing indicates buying 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 options seen unwinding in OI with IV increasing indicates covering by writers of option.

·        As mentioned, Nifty does slide towards the level of 10300, making a low of 10324, vindicating our view. Looking into the option data, Nifty crucial support stands around the 10280-10300 level and a sustain trade below 10280 likely to open further downside level of 10200-10150 level. On the upside, immediate resistance stands around the 10500 level.

·        Stocks in ban for trade on 6-Mar-2018: Fortis, HDIL, IDBI and Orientbank.

DERIVATIVE HIGHLIGHTS FOR 01-03-2018

·        Nifty future seen addition of 13 lacs in OI and Bank Nifty seen unwinding of 0.3 lacs in OI.

·        Nifty OI PCR ratio decreased from 1.38 to 1.29.

·        Stocks seen long build-up includes IDBI, NIITech, IOC, Repco Home and Indusindbank. Stocks seen short build-up includes  Canbk, ZEEL, SAIL, VGuard, Hindalco, Lupin, ICICIBank, VEDL, HDIL, PVR, Relinfra, Indianbank and Jindal Steel.

·        Option statistics: Nifty highest Call option OI for March series stands at 10800 strike price. In today’s trading session, Nifty 10400, 10500 and 10600 call options seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the March series stands at 10400 strike price. In today’s trading session, Nifty 10500 put option seen addition in OI with IV increasing indicates buying of option.

·        Looking into the option data, Nifty likely to face resistance around the 10650 level. On the downside, immediate support stands around the 10450 level and a sustain trade below 10450 will open the downside of 10300 level.

·        Stocks in ban for trade on 5-Mar-2018: Fortis, HDIL, IDBI and Orientbank.

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.