DERIVATIVE DIARY - SEPTEMBER 2018

DERIVATIVE HIGHLIGHTS FOR 27-09-2018

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

Particulars	October Series	September Series	% Change
OVERALL OI IN NO. OF SHARES (Cr.)	533.61	563.97	-5.38%
NIFTY FUT OI IN NO. OF SHARES (Cr.)	1.72	2.42	-28.93%
STOCK FUT OI IN NO. OF SHARES (Cr.)	466.54	490.67	-4.92%
BANK NIFTY FUT OI (No. in Mn)	1.37	1.67	-17.96%
CALL OPTION OI IN NO. OF SHARES (Cr.)	3.64	3.33	9.31%
PUT OPTION OI IN NO. OF SHARES (Cr.)	4.92	5.25	-6.29%
OI (Rs. in crores)	261658.00	305868.00	-14.45%
NIFTY CLOSING	10977.55	11676.80	-5.99%

·        Overall rollover for the new series stands at 87% vs. 89% in the last series and also lowers than the 3M Average of 88%. Nifty rollover too is on the lower side at 63% vs. 68% in the last series and also lowers than the 3M Average of 69%. Bank Nifty rollover is in tandem at 66% vs. 66% in the last series and also lowers than the 3M Average of 72%.

·        Nifty OI PCR ratio stands at 1.35.

·        Option statistics: Nifty highest Call option OI for October series stands at 11500 strike price. In today’s trading session, Nifty 10900, 11100 and 11200 call options seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the October series stand at 11000 strike price. In today’s trading session, Nifty 10900, 11000 and 11100 put options seen addition in OI with IV decreasing indicates writing of option.

·        Looking into the option data, Nifty immediate resistance stands around the 11050 level and above that 11150 level. On the downside, crucial support holds in the vicinity of 10866-10750 level. 

DERIVATIVE HIGHLIGHTS FOR 26-09-2018

·        Nifty future seen addition of 6 lacs in OI and Bank Nifty future seen unwinding of 2 lacs in OI.

·        Nifty OI PCR ratio decreased from 1.13 to 1.09.

·        Stocks seen long build-up includes VEDL, GMRInfra, IFCI, JPAssociate, Ambuja Cement, BPCL, HCC, HindZinc, Southbank, Nestle, RelCapital and Petronet. Stocks seen short build-up includes OFSS, Asian Paint, Tata Elxsi, NIITTech, Motherson, GodrejCP, Chennai Petro, Cholafinance, JetAirways and KPIT.

·        Option statistics: Nifty highest Call option OI for September series stands at 11200 strike price. In today’s trading session, Nifty 10900 and 11100 call options seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the September series stand at 11000 strike price. In today’s trading session, Nifty 10900 and 11000 put options seen addition in OI with IV decreasing indicates writing of option.

·        Overall Rollover before E-1 day stands at 63% vs. 68% in the last series. Nifty rollover before E-1 day stands at 43% vs. 53% in the last series.

·        Stocks were the rollover before E-1 day is less than 50% includes Heromotor, HDFCBank, GMRInfra, JPAssociate, Infy, TCS and Engineersindia. One can expect high volatility in the above stocks on expiry day due to lower rollover until now.

·        In today’s trading session, FII were net buyers to the tune of Rs. 279 crores in Index Futures; FIIs added 4206 longs and added 405 shorts in Index futures. FII Index long exposure is at 48.5% vs. 64% at the beginning of the September series. In Index options, FII were net buyers to the tune of Rs. 1179 crores; FIIs added 6540 in Index call long, added 23142 in Index put long and added 4887 in Index put shorts.

·        Looking into the option data, Nifty immediate resistance stands around the 11150 level and above that 11300 level. On the downside, crucial support holds in the vicinity of 10866-10750 level. 

DERIVATIVE HIGHLIGHTS FOR 25-09-2018

·        Nifty future seen unwinding of 4 lacs in OI and Bank Nifty future seen unwinding of 2.5 lacs in OI.

·        Nifty OI PCR ratio increased from 1.05 to 1.13.

·        Stocks seen long build-up includes Cholafinance, Biocon, NBCC, Dalmia Bharat, Mindtree, Dabur and Bharatfinance. Stocks seen short build-up includes IBullHsgfin, Canfimhomes, DLF, VGuard, Suzlon, JetAirways, IDFC, Hexaware, TV18, NIITTech, Arvind and Bata India.

·        Option statistics: Nifty highest Call option OI for September series stands at 11500 strike price. In today’s trading session, Nifty 11000 and 11100 call options seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the September series stand at 11000 strike price. In today’s trading session, Nifty 10900 and 11000 put options seen addition in OI with IV increasing indicates buying of option.

·        In today’s trading session, FII were net sellers to the tune of Rs. 793 crores in Index Futures; FIIs unwounded 704 longs and added 4731 shorts in Index futures. FII Index long exposure is at 47.8% vs. 64% at the beginning of the September series. In Index options, FII were net buyers to the tune of Rs. 606 crores; FIIs added 16148 in Index call long, added 8081 in Index put long and unwounded 8047 in Index put shorts.

·        Looking into the option data, Nifty immediate resistance stands around the 11200 level and above that 11350 level. On the downside, crucial support holds in the vicinity of 10866-10750 level. 

DERIVATIVE HIGHLIGHTS FOR 24-09-2018

·        Nifty future seen unwinding of 9 lacs in OI and Bank Nifty future seen unwinding of 0.4 lacs in OI.

·        Nifty OI PCR ratio decreased from 1.14 to 1.05.

·        Stocks seen long build-up includes Cummins, TCS, OIL and HCLTech. Stocks seen short build-up includes Pidilite, Muthootfinance, RBLBank, PVR, Bajfinance, TVSMotor, Dabur, Eicher Motor, Indusindbank, CIPLA, DCBBank, Motherson, Adaniport, CONCOR, CAPF, IBullhsgfin and NHPC.

·        Option statistics: Nifty highest Call option OI for September series stands at 11500 strike price. In today’s trading session, Nifty 11000 and 11100 call options seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the September series stand at 11000 strike price. In today’s trading session, Nifty 10800 and 10900 put options seen addition in OI with IV increasing indicates buying by writers of option.

·        In today’s trading session, FII were net buyers to the tune of Rs. 523 crores in Index Futures; FIIs added 1126 longs and unwounded 5775 shorts in Index futures. FII Index long exposure is at 48.7% vs. 64% at the beginning of the September series. In Index options, FII were net buyers to the tune of Rs. 212 crores; FIIs added 15960 in Index call long, added 26964 in Index put long and added 3771 in Index put shorts.

·        Looking into the option data, Nifty immediate resistance stands around the 11250 level and on the downside, crucial support holds in the vicinity of 10866-10750 level. 

DERIVATIVE HIGHLIGHTS FOR 21-09-2018

·        Nifty future seen unwinding of 16 lacs in OI and Bank Nifty future seen addition of 2.2 lacs in OI.

·        Nifty OI PCR ratio remains unchanged at 1.14.

·        Stocks seen long build-up includes Justdial, VEDL, Ramcocem, PVR and Pageind. Stocks seen short build-up includes Yesbank, Adanipower, Chennai Petro, HCC, IFCI, NHPC, Syndicate Bank, Kotakbank, DCBBank, Sreinfra, Rpower, ALBK and SAIL.

·        Option statistics: Nifty highest Call option OI for September series stands at 11500 strike price. In today’s trading session, Nifty 11100 and 11200 call options seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the September series stand at 11000 strike price. In today’s trading session, Nifty 11100, 11200 and 11300 put options seen unwinding in OI with IV increasing indicates covering by writers of option.

·        In today’s trading session, FII were net buyers to the tune of Rs. 1564 crores in Index Futures; FIIs added 12765 longs and unwounded 4728 shorts in Index futures. FII Index long exposure is at 47.7% vs. 64% at the beginning of the September series. In Index options, FII were net sellers to the tune of Rs. 4740 crores; FIIs unwounded 18146 in Index call long, unwounded 3860 in Index put long and added 8169 in Index put shorts.

·        As mentioned, Nifty does have a free fall once the low of 11210 was taken out, making a low of 10866 and finally closed at 11143. Looking into the option data, Nifty immediate resistance stands around the 11350 level and on the downside, crucial support holds in the vicinity of 10866-10750 level. 

DERIVATIVE HIGHLIGHTS FOR 19-09-2018

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

·        Nifty OI PCR ratio decreased from 1.20 to 1.14.

·        Stocks seen long build-up includes Muthootfin, Justdial, CholaFinance, TVSMotor, OIL, ICICIBank and Manappuram. Stocks seen short build-up includes Jet Airways, Mindtree, NIITTech, Relinfra, IGL, GodrejCP, KPIT, BEML, NBCC, Wockpharma and Sothbank.

·        Option statistics: Nifty highest Call option OI for September series stands at 11500 strike price. In today’s trading session, Nifty 11200, 11300 and 11400 call options seen addition in OI with IV decreasing indicates buying of option. Nifty highest Put Option OI for the September series stand at 11200 strike price. In today’s trading session, Nifty 11200 and 11400 put options seen unwinding in OI with IV decreasing indicates profit booking of option.

·        In today’s trading session, FII were net buyers to the tune of Rs. 355 crores in Index Futures; FIIs added 8383 longs and added 4817 shorts in Index futures. FII Index long exposure is at 44.9% vs. 64% at the beginning of the September series. In Index options, FII were net buyers to the tune of Rs. 1534 crores; FIIs added 10617 in Index call long, unwounded 8493 in Index put long and unwounded 9771 in Index put shorts.

·        As mentioned, Nifty does break the support of 11250 and below today’s low of 11210, Nifty likely to move towards the level of 11150-11120 level. On the upside, immediate resistance stands around the 11370 level and above that 11470 level.  

DERIVATIVE HIGHLIGHTS FOR 18-09-2018

·        Nifty future seen addition of 1 lakh in OI and Bank Nifty future seen addition of 4.1 lacs in OI.

·        Nifty OI PCR ratio decreased from 1.28 to 1.20.

·        Stocks seen long build-up includes TVSMotor, Divislab, OIL, Marico and HindZinc. Stocks seen short build-up includes IndianB, BankBaroda, ALBK, Canbk, Unionbank, Orientbank, SBIN, IGL, Syndibank, CoalIndia, VGuard, Justdial and L&TFH.

·        Option statistics: Nifty highest Call option OI for September series stands at 11500 strike price. In today’s trading session, Nifty 11300, 11400 and 11500 call options seen addition in OI with IV decreasing indicates buying of option. Nifty highest Put Option OI for the September series stand at 11200 strike price. In today’s trading session, Nifty 11300, 11400 and 11500 put options seen unwinding in OI with IV decreasing indicates profit booking of option.

·        In today’s trading session, FII were net buyers to the tune of Rs. 965 crores in Index Futures; FIIs unwounded 10893 longs and added 2555 shorts in Index futures. FII Index long exposure is at 44.1% vs. 64% at the beginning of the September series. In Index options, FII were net buyers to the tune of Rs. 1538 crores; FIIs unwounded 395 in Index call long, added 22759 in Index put long and unwounded 990 in Index put shorts.

·        Looking into the option data, Nifty likely to trade in the range of 11525-11250 level. A breakout of the range on either side will give a move of 100 points on Nifty.  

DERIVATIVE HIGHLIGHTS FOR 17-09-2018

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

·        Nifty OI PCR ratio decreased from 1.38 to 1.28.

·        Stocks seen long build-up includes OFSS, KSCL, Engineersind, ALBk, HCC, Kajaria and Chennai Petro. Stocks seen short build-up includes ICICIPrulife, Godrejind, Manappuram, Bata India, L&TFH, Bergerpaint, India Cement, Unionbank and Amaraja.

·        Option statistics: Nifty highest Call option OI for September series stands at 11800 strike price. In today’s trading session, Nifty 11300, 11400 and 11500 call options seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the September series stand at 11400 strike price. In today’s trading session, Nifty 11400 and 11500 put options seen unwinding in OI with IV increasing indicates covering by writers of option.

·        In today’s trading session, FII were net sellers to the tune of Rs. 617 crores in Index Futures; FIIs unwounded 1812 longs and added 6280 shorts in Index futures. FII Index long exposure is at 42.3% vs. 64% at the beginning of the September series. In Index options, FII were net sellers to the tune of Rs. 1320 crores; FIIs unwounded 6981 in Index call long, unwounded 813 in Index put long and added 3927 in Index put shorts.

·        Looking into the option data, Nifty likely to trade in the range of 11525-11250 level. A breakout of the range on either side will give a move of 100 points on Nifty.  

DERIVATIVE HIGHLIGHTS FOR 11-09-2018

·        Nifty future seen unwinding of 2 lacs in OI and Bank Nifty future seen addition of 1.6 lacs in OI.

·        Nifty OI PCR ratio decreased from 1.33 to 1.25.

·        Stocks seen short build-up includes GodrejCP, Adanient, Muthootfinance, Voltas, HDFCbank, Kotakbank, Titan, Siemens and Century.

·        Option statistics: Nifty highest Call option OI for September series stands at 11800 strike price. In today’s trading session, Nifty 11200, 11300 and 11400 call options seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the September series stand at 11400 strike price. In today’s trading session, Nifty 11300 and 11400 put options seen unwinding in OI with IV decreasing indicates profit booking of option.

·        In today’s trading session, FII were net sellers to the tune of Rs. 1676 crores in Index Futures; FIIs unwounded 5916 longs and added 13269 shorts in Index futures. FII Index long exposure is at 43.6% vs. 64% at the beginning of the September series. In Index options, FII were net sellers to the tune of Rs. 361 crores; FIIs added 12975 in Index call long, added 4831 in Index put long and unwounded 3263 in Index put shorts.

·        As mentioned in the yesterday report, Nifty does slide towards the level of 11330 below the 11400 support level, vindicating our view. Looking into the option data, Nifty likely to slide towards the level of 11180. On the upside, immediate resistance stands around the 11460 level.  

DERIVATIVE HIGHLIGHTS FOR 10-09-2018

·        Nifty future seen unwinding of 1 lakh in OI and Bank Nifty future seen addition of 1.8 lacs in OI.

·        Nifty OI PCR ratio decreased from 1.49 to 1.33.

·        Stocks seen long build-up includes MFSL, Balramchini, Glenmark, HCLTech and PFC. Stocks seen short build-up includes Adanient, Torntpower, Manappuram, Tata Global, Havells, L&TFH, BPCL, RelCapital, ALBK, Drreddy, Marico and Apollo Tyre.

·        Option statistics: Nifty highest Call option OI for September series stands at 11800 strike price. In today’s trading session, Nifty 11400, 11500 and 11600 call options seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the September series stand at 11400 strike price. In today’s trading session, Nifty 11400, 11500 and 11600 put options seen unwinding in OI with IV decreasing indicates profit booking of option.

·        In today’s trading session, FII were net sellers to the tune of Rs. 631 crores in Index Futures; FIIs added 2846 longs and added 12249 shorts in Index futures. FII Index long exposure is at 46.6% vs. 64% at the beginning of the September series. In Index options, FII were net buyers to the tune of Rs. 1,516 crores; FIIs unwounded 2998 in Index call long, added 44850 in Index put long and added 5570 in Index put shorts.

·        Looking into the option data, Nifty immediate support stands around 11400 level and a sustain trade below 11400 will open the level of 11330. On the upside, immediate resistance stands around the 11510 level and above that 11600 level.  

DERIVATIVE HIGHLIGHTS FOR 07-09-2018

·        Nifty future seen addition of 7 lacs in OI and Bank Nifty future OI remains flat at 1.53 crores.

·        Nifty OI PCR ratio increased from 1.40 to 1.49.

·        Stocks seen long build-up includes Nestle, Godfrey, Torntpower, Srtransfin, JindalSteel, TVSMotor, HCC, Bata India and Canbk. Stocks seen short build-up includes Adanient, Yesbank, Jublfood, AdaniPort, Balkrishna, SBIN, BHEL, OBC and Manappuram.

·        Option statistics: Nifty highest Call option OI for September series stands at 11800 strike price. In today’s trading session, Nifty 11400, 11500 and 11600 call options seen unwinding in OI with IV increasing indicates covering by writers of option. Nifty highest Put Option OI for the September series stand at 11400 strike price. In today’s trading session, Nifty 11400, 11500 and 11600 put options seen addition in OI with IV decreasing indicates writing of option.

·        In today’s trading session, FII were net sellers to the tune of Rs. 362 crores in Index Futures; FIIs unwounded 147 longs and added 4180 shorts in Index futures. FII Index long exposure is at 48.1% vs. 64% at the beginning of the September series. In Index options, FII were net buyers to the tune of Rs. 109 crores; FIIs added 10369 in Index call long, added 8943 in Index put long and added 13994 in Index put shorts.

·        Looking into the option data, Nifty immediate support stands around 11394 level. On the upside, immediate resistance stands around the 11620 level and above that 11760 level.  

DERIVATIVE HIGHLIGHTS FOR 06-09-2018

·        Nifty future seen addition of 11 lacs in OI and Bank Nifty future seen unwinding of 1.2 lacs in OI.

·        Nifty OI PCR ratio increased from 1.37 to 1.40.

·        Stocks seen long build-up includes Cummins, Godfrey, Torntpharma, Granules, Auro Pharma, PEL, SRF and NIITTech. Stocks seen short build-up includes SRTransfin, Suntv, GodrejCP, Chola Finance, Manappuram, Maruti, Amaraja, ZEEL, RBLBank and Apollo Hospita.

·        Option statistics: Nifty highest Call option OI for September series stands at 11800 strike price. In today’s trading session, Nifty 11400 and 11500 call options seen unwinding in OI with IV decreasing indicates profit booking of option. Nifty highest Put Option OI for the September series stand at 11400 strike price. In today’s trading session, Nifty 11400, 11500 and 11600 put options seen addition in OI with IV increasing indicates buying of option.

·        In today’s trading session, FII were net sellers to the tune of Rs. 1,155 crores in Index Futures; FIIs unwounded 1374 longs and added 11808 shorts in Index futures. FII Index long exposure is at 48.8% vs. 64% at the beginning of the September series. In Index options, FII were net buyers to the tune of Rs. 5,884 crores; FIIs added 12203 in Index call long, added 18730 in Index put long and added 6767 in Index put shorts.

·        Looking into the option data, Nifty immediate support stands around 11394 level. On the upside, immediate resistance stands around the 11573 level and a sustain trade above 11573 will open the upside of 11620 level.  

DERIVATIVE HIGHLIGHTS FOR 05-09-2018

·        Nifty future seen addition of 14 lacs in OI and Bank Nifty future seen unwinding of 1.2 lacs in OI.

·        Nifty OI PCR ratio decreased from 1.45 to 1.37.

·        Stocks seen long build-up includes Muthootfinance, KPIT, Bata India, Mindtree, Granules, Nationalum, HindZinc and Asian Paint. Stocks seen short build-up includes BEL, Balkrishna, Torntpharma, OIL, OBC, ACC, Nestle, Infratel, Canbk, Lupin, Hindunilvr, Chola Finance and BEML.

·        Option statistics: Nifty highest Call option OI for September series stands at 11800 strike price. In today’s trading session, Nifty 11400, 11500 and 11600 call options seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the September series stand at 11400 strike price. In today’s trading session, Nifty 11400 and 11500 put options seen addition in OI with IV decreasing indicates writing of option.

·        In today’s trading session, FII were net sellers to the tune of Rs. 2,328 crores in Index Futures; FIIs added 4002 longs and added 31345 shorts in Index futures. FII Index long exposure is at 51.3% vs. 64% at the beginning of the September series. In Index options, FII were net buyers to the tune of Rs. 4,400 crores; FIIs added 22741 in Index call long, added 44978 in Index put long and added 3429 in Index put shorts.

·        As mentioned, Nifty does slide towards the level of 11382, making a low of 11394, vindicating our view. Looking into the option data, a sustain trade below 11394 will lead to further correction towards the level of 11300. On the upside, immediate resistance stands around the 11600 and above that 11760 level.  

DERIVATIVE HIGHLIGHTS FOR 04-09-2018

·        Nifty future seen addition of 1 lakh in OI and Bank Nifty future seen addition of 0.8 lacs in OI.

·        Nifty OI PCR ratio decreased from 1.55 to 1.48.

·        Stocks seen long build-up includes Wipro, Kajaria, Canbk, NCC, Engineersind, PcJeweller and Ashokleyland. Stocks seen short build-up includes Escorts, Balkrishna, OFSS, Torntpower, Repco Home, Cummins, DCBBank, Maruti, Pageind, Hindunilvr and CGPower.

·        Option statistics: Nifty highest Call option OI for September series stands at 11800 strike price. In today’s trading session, Nifty 11600, 11700 and 11800 call options seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the September series stand at 11600 strike price. In today’s trading session, Nifty 11600, 11700 and 11800 put options seen addition in OI with IV decreasing indicates writing of option.

·        In today’s trading session, FII were net sellers to the tune of Rs. 394 crores in Index Futures; FIIs unwounded 281 longs and added 4548 shorts in Index futures. FII Index long exposure is at 58.7% vs. 64% at the beginning of the September series. In Index options, FII were net buyers to the tune of Rs. 1597 crores; FIIs added 12979 in Index call long, added 17859 in Index put long and added 4777 in Index put shorts.

·        Looking into the option data, Nifty does break the immediate support of 11600 and as mentioned below 11600, 11530 is the next support level to eye.  On the upside, immediate resistance stands around the 11700 and above that 11760 level.  

DERIVATIVE HIGHLIGHTS FOR 03-09-2018

·        Nifty future seen addition of 1 lakh in OI and Bank Nifty future seen addition of 0.8 lacs in OI.

·        Nifty OI PCR ratio decreased from 1.55 to 1.48.

·        Stocks seen long build-up includes Wipro, Kajaria, Canbk, NCC, Engineersind, PcJeweller and Ashokleyland. Stocks seen short build-up includes Escorts, Balkrishna, OFSS, Torntpower, Repco Home, Cummins, DCBBank, Maruti, Pageind, Hindunilvr and CGPower.

·        Option statistics: Nifty highest Call option OI for September series stands at 11800 strike price. In today’s trading session, Nifty 11600, 11700 and 11800 call options seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the September series stand at 11600 strike price. In today’s trading session, Nifty 11600, 11700 and 11800 put options seen addition in OI with IV decreasing indicates writing of option.

·        In today’s trading session, FII were net sellers to the tune of Rs. 394 crores in Index Futures; FIIs unwounded 281 longs and added 4548 shorts in Index futures. FII Index long exposure is at 58.7% vs. 64% at the beginning of the September series. In Index options, FII were net buyers to the tune of Rs. 1597 crores; FIIs added 12979 in Index call long, added 17859 in Index put long and added 4777 in Index put shorts.

·        Looking into the option data, Nifty does break the immediate support of 11600 and as mentioned below 11600, 11530 is the next support level to eye.  On the upside, immediate resistance stands around the 11700 and above that 11760 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.