DERIVATIVE DIARY - NOVEMBER 2018

DERIVATIVE HIGHLIGHTS FOR 30-11-2018

·        Nifty futures seen addition of 2 lacs in OI and Bank Nifty futures seen unwinding of 1.8 lacs in OI.

·        Nifty OI PCR ratio decreased from 1.75 to 1.70.

·        Stocks seen long build-up for the day includes Repco home, Bata India, Pageind, Heromotor, STAR, Muthootfinance, Mindtree, RCom, IBullhsfin and Torntpower. Stocks seen short build-up includes OIL, NTPC, Coal India, Divislab, BEL, PFC, REC, Amaraja, NBCC, BPCL, Dishtv and RelInfra.

·        Option statistics: Nifty highest Call option OI for December series stands at 11000 strike price. In today’s trading session, Nifty 10900 and 11000 call options seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the December series stand at 10000 strike price. In today’s trading session, Nifty 10800 and 10900 put options seen addition in OI with IV increasing indicates buying of option.

·        In today’s trading session, FII were net buyers to the tune of Rs. 172 crores in Index Futures; FIIs added 1303 longs and unwounded 90 shorts in Index futures. FII Index long exposure is at beginning of the December series is at 51.36% vs. 29.2% at the beginning of the November series. In Index options, FII were net buyers to the tune of Rs. 1522 crores; FIIs added 21683 in Index call long, added 47719 in Index put long, added 23362 in Index call shorts and added 15077 in Index put shorts.

·        Looking into the option, Nifty immediate support stands around the 10740 level. On the upside, Nifty likely to move towards the level of 10980-11090 level.  

DERIVATIVE HIGHLIGHTS FOR 29-11-2018

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

Particulars	December Series	November series	% Change
OVERALL OI IN NO. OF SHARES (Cr.)	500.09	484.58	3.20%
NIFTY FUT OI IN NO. OF SHARES (Cr.)	1.96	2.20	-10.91%
STOCK FUT OI IN NO. OF SHARES (Cr.)	438.92	429.07	2.30%
BANK NIFTY FUT OI (No. in Mn)	1.95	1.70	14.71%
CALL OPTION OI IN NO. OF SHARES (Cr.)	2.83	3.47	-18.44%
PUT OPTION OI IN NO. OF SHARES (Cr.)	4.95	5.17	-4.26%
OI (Rs. in crores)	251029.00	241487.00	3.95%
NIFTY CLOSING	10858.70	10124.90	7.25%

·        Overall rollover for the new series stands at 87% vs. 85% in the last series and in tandem with the 3M Average of 87%. Nifty rollover is on the lower side at 71% vs. 76% in the last series but higher than the 3M Average of 69%. Bank Nifty rollover for the new series is at 79% vs. 79% in the last series and higher than the 3M Average of 70%.

·        Nifty OI PCR Ratio stands at 1.75.

·        Option statistics: Nifty highest Call option OI for December series stands at 11000 strike price. In today’s trading session, Nifty 10700, 10800 and 10900 call options seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the December series stand at 10500 strike price. In today’s trading session, Nifty 10700, 10800 and 10900 put options seen addition in OI with IV increasing indicates buying of option.

·        Looking into the option, Nifty immediate support stands around the 10670 level. On the upside, a sustain trade above the 10890 level will open the upside of 11000-11090 level.  

DERIVATIVE HIGHLIGHTS FOR 28-11-2018

·        Nifty future seen unwinding of 3 lacs in OI and Bank Nifty futures seen addition of 1.1 lacs in OI.

·        Nifty OI PCR Ratio increased from 1.74 to 1.81.

·        Stocks seen long build-up includes Auro Pharma, Siemens, Torntpharma, Mindtree, HCLTech, HDFC and ICICIBank. Stocks seen short build-up includes DHFL, Infratel, Repco Home, IDBI, IFCI, Dabur, Balkrishna, ONGC, JPAssociate, Yesbank, RCom, Britannia, Dalmia, OIL, Biocon and JISLJAL.

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

·        Overall rollover before E-1 day stands at 66% vs. 61% in the previous series. Nifty rollover before E-1 day stands at 49% vs. 65% in the previous series.

·        As mentioned, Nifty does move towards the level of 10742 levels, making a high of 10758 level, vindicating our view. Looking into the option, Nifty immediate support stands around the 10620 level. On the upside, immediate resistance stands around the 10775 level.  

DERIVATIVE HIGHLIGHTS FOR 27-11-2018

·        Nifty future seen unwinding of 6 lacs in OI and Bank Nifty futures seen addition of 0.8 lacs in OI.

·        Nifty OI PCR Ratio increased from 1.64 to 1.74.

·        Stocks seen long build-up includes IOC, TataChem, Godfrey Philip, COLPAL, NTPC, Exideind, IDFC, PTC, ALBK, Suzlon, Coal India and MRF. Stocks seen short build-up includes ONGC, Idea, CGPower, Apollo Hospital, BEL, VEDL, Bosch and Sunpharma.

·        Option statistics: Nifty highest Call option OI for November 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 November series stand at 10500 strike price. In today’s trading session, Nifty 10600 and 10700 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. 705 crores in Index Futures; FIIs unwounded 10726 longs and added 484 shorts in Index futures. FII Index long exposure is at 40.9% vs. 29.2% at the beginning of the November series. In Index options, FII were net sellers to the tune of Rs. 667 crores; FIIs unwounded 14209 in Index call long, unwounded 9228 in Index put long, unwounded 9038 in Index call shorts and unwounded 4273 in Index put shorts.

·        Overall rollover before E-2 days stands at 48% vs. 45% in the previous series. Nifty rollover before E-2 days stands at 30% vs. 46% in the previous series.

·        As mentioned, Nifty does cross the resistance level of 10660 and is likely to move towards the level of 10742-10775. On the downside, immediate support stands around the 10600 level and below that 10480 level.

DERIVATIVE HIGHLIGHTS FOR 26-11-2018

·        Nifty future seen addition of 12 lacs in OI and Bank Nifty futures seen addition of 2.4 lacs in OI.

·        Nifty OI PCR Ratio increased from 1.46 to 1.64.

·        Stocks seen long build-up includes Bataindia, Infy, Godfryphilip, ZEEL, Marico, IGL, Indigo and MRPL. Stocks seen short build-up includes ACC, IOC, DCBBank, Coal India, Torntpower, Jindal Steel, Siemens, NTPC, SRTTransfin, OIL, RPower, India Cement, Chola Finance and Canfinhomes.

·        Option statistics: Nifty highest Call option OI for November series stands at 10700 strike price. In today’s trading session, Nifty 10500, 10600 and 10700 call options seen unwinding in OI with IV increasing indicates covering by writers of option. Nifty highest Put Option OI for the November series stand at 10500 strike price. In today’s trading session, Nifty 10500, 10600 and 10700 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. 168 crores in Index Futures; FIIs added 11004 longs and added 17004 shorts in Index futures. FII Index long exposure is at 42.3% vs. 29.2% at the beginning of the November series. In Index options, FII were net buyers to the tune of Rs. 1822 crores; FIIs added 14488 in Index call long, unwounded 2878 in Index put long, unwounded 9294 in Index call shorts and unwounded 5154 in Index put shorts.

·        Overall rollover before E-3 days stands at 31% vs. 28% in the previous series. Nifty rollover before E-3 days stands at 16% vs. 24% in the previous series.

·        As mentioned in the last report, Nifty does move towards the level of 10480, making a low of 10490 and seen a smart bounce back from those level, vindicating our view. Looking into the option data, Nifty immediate resistance stands around the 10660 and a sustain trade above this level can take Nifty towards the level of 10775 level. On the downside, immediate support stands around the 10480 level.

DERIVATIVE HIGHLIGHTS FOR 22-11-2018

·        Nifty future seen unwinding of 2 lacs in OI and Bank Nifty futures seen unwinding of 4.5 lacs in OI.

·        Nifty OI PCR Ratio decreased from 1.55 to 1.46.

·        Stocks seen long build-up includes Dalmia Bharat, OIL, IDFCBank, Muthootfinance, Heromotor and Pidilite. Stocks seen short build-up includes Amaraja, Ceat, Syndicatebank, Apollo Tyre, ACC, Ramcocem, MRPL, bhEL and Idea.

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

·        Looking into the option data, Nifty does break the immediate support of 10630 and is likely to move towards the level of 10480. On the upside, immediate resistance stands around the 10660 and above that 10775 level.

·        Stocks in ban for trade on 26-Nov-2018: Adanipower, Adani Enterprise, DHFL and Jet Airways.

DERIVATIVE HIGHLIGHTS FOR 21-11-2018

·        Nifty future seen unwinding of 2 lacs in OI and Bank Nifty futures seen addition of 1.3 lacs in OI.

·        Nifty OI PCR Ratio decreased from 1.64 to 1.55.

·        Stocks seen long build-up includes Dalmia Bharat, MRF, BPCL, JPAssociate, IOC, Federalbank, ACC, Orientbank, Hind Petro and Pidilite. Stocks seen short build-up includes Tata Steel, NTPC, TV18BRDCST, Torntpharma, TCS and Adanipower.

·        Option statistics: Nifty highest Call option OI for November series stands at 11000 strike price. In today’s trading session, Nifty 10600 and 10700 call options seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the November series stand at 10000 strike price. In today’s trading session, Nifty 10700 and 10800 put options seen unwinding in OI with IV decreasing indicates profit booking of option.

·        Looking into the option data, Nifty does break the immediate support of 10630 and is likely to move towards the level of 10480. On the upside, immediate resistance stands around the 10670 and above that 10775 level.

·        Stocks in ban for trade on 22-Nov-2018: Adanipower, Adani Enterprise, DHFL, Jet Airways and PcJeweller.

DERIVATIVE HIGHLIGHTS FOR 20-11-2018

·        Nifty future seen unwinding of 7 lacs in OI and Bank Nifty futures OI remains flat at 1.84 mn.

·        Nifty OI PCR Ratio decreased from 1.73 to 1.64.

·        Stocks seen long build-up includes Justdial, Dalmia Bharat, Albk, Repco Home and OIL. Stocks seen short build-up includes IOC, Glenmark, SAIL, RECLTD, DHFL, Siemens, Biocon, Canfinhomes, NTPC and Tata Chem.

·        Option statistics: Nifty highest Call option OI for November series stands at 10800 strike price. In today’s trading session, Nifty 10700 and 10800 call options seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the November series stand at 10000 strike price. In today’s trading session, Nifty 10600, 10700 and 10800 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. 171 crores in Index Futures; FIIs added 905 longs and unwounded 1981 shorts in Index futures. FII Index long exposure is at 41.1% vs. 29.2% at the beginning of the November series. In Index options, FII were net sellers to the tune of Rs. 738 crores; FIIs unwounded 3447 in Index call long, added 2657 in Index put long, added 4225 in Index call shorts and added 2722 in Index put shorts.

·        Looking into the option data, Nifty immediate support stands around the 10630 and a sustain trade below 10630 will open the downside level of 10480 level. On the upside, a move above 10775 will open the upside level of likely to move towards 10850 level. 

DERIVATIVE HIGHLIGHTS FOR 19-11-2018

·        Nifty future seen addition of 7 lacs in OI and Bank Nifty seen addition of 1.2 lacs in OI.

·        Nifty OI PCR Ratio increased from 1.64 to 1.73.

·        Stocks seen long build-up includes Infibeam, Federalbank, SRF, Ultracement, PcJeweller, Voltas, NBCC and Ajantapharma. Stocks seen short build-up includes JetAirways, Siemens, Chennai Petro, IOC, Apollo Hospital, Repco Home, Ibullhsgfin and KSCL.

·        Option statistics: Nifty highest Call option OI for November series stands at 11000 strike price. In today’s trading session, Nifty 10600, 10700 and 10800 call options seen unwinding in OI with IV increasing indicates covering by writers of option. Nifty highest Put Option OI for the November series stand at 10000 strike price. In today’s trading session, Nifty 10600, 10700 and 10800 put options seen addition in OI with IV increasing indicates buying of option.

·        In today’s trading session, FII were net buyers to the tune of Rs. 861 crores in Index Futures; FIIs added 10817 longs and added 1011 shorts in Index futures. FII Index long exposure is at 40.8% vs. 29.2% at the beginning of the November series. In Index options, FII were net sellers to the tune of Rs. 1746 crores; FIIs added 10114 in Index call long, unwounded 8763 in Index put long, added 17236 in Index call shorts and added 13217 in Index put shorts.

·        As mentioned in the daily report, Nifty does move towards the target of 10760, vindicating our view. Looking into the option data, Nifty likely to move towards the level of 10835-10850. On the downside, immediate support stands around the 10630 and below that 10470 level. 

DERIVATIVE HIGHLIGHTS FOR 15-11-2018

·        Nifty future seen addition of 1 lakh in OI and Bank Nifty seen addition of 2 lacs in OI.

·        Nifty OI PCR Ratio increased from 1.57 to 1.61.

·        Stocks seen long build-up includes Apollo Hospital, Adanient, Ujjivan, Just Dial, Siemens, Canbk, Godfreyphilip, KSCL, Repco Home, COLPAL and Ajanta Pharma. Stocks seen short build-up includes Motherson, NBCC, PcJeweller, Indigo, Arvind, Yesbank, Idea, Sreinfra and ICICIPrulife.

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

·        Looking into the option data, Nifty immediate support stands around the 10500 level and below that the next support level to watch out will be 10440-10400. On the upside, Nifty likely to face resistance around the level of 10645 and a sustain trade above 10645 will open the upside of 10710-10760 level. 

DERIVATIVE HIGHLIGHTS FOR 14-11-2018

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

·        Nifty OI PCR Ratio decreased from 1.60 to 1.57.

·        Stocks seen long build-up includes Indigo, SBIN, Canbk, Apollo Tyre, Muthootfin, Bergerpaint, ACC, Marico, Bank India and Cadila. Stocks seen short build-up includes KSCL, Ashok Leyland, Sunpharma, ZEEL, BHEL, Motherson, CGPOwer, DLF and PcJeweller.

·        Option statistics: Nifty highest Call option OI for November series stands at 11000 strike price. In today’s trading session, Nifty 10600 call options seen addition in OI with IV decreasing indicates writing of option. Nifty highest Put Option OI for the November series stand at 10000 strike price. In today’s trading session, Nifty 10400, 10500 and 10600 put options seen addition in OI with IV decreasing indicates writing of option.

·        In today’s trading session, FII were net buyers to the tune of Rs. 92 crores in Index Futures; FIIs added 3048 longs and added 2756 shorts in Index futures. FII Index long exposure is at 37.9% vs. 29.2% at the beginning of the November series. In Index options, FII were net buyers to the tune of Rs. 602 crores; FIIs added 425 in Index call long, added 8086 in Index put long, unwounded 2581 in Index call shorts and unwounded 116 in Index put shorts.

·        Looking into the option data, Nifty immediate support stands around the 10500 level and below that the next support level to watch out will be 10440-10400. On the upside, Nifty likely to face resistance around the level of 10645 and a sustain trade above 10645 will open the upside of 10710-10760 level. 

DERIVATIVE HIGHLIGHTS FOR 13-11-2018

·        Nifty future seen unwinding of 1 lakh in OI and Bank Nifty seen addition of 0.5 lacs in OI.

·        Nifty OI PCR Ratio increased from 1.51 to 1.60.

·        Stocks seen long build-up includes Godrejind, ICICIPrulife, Ceat, NCC, Cholafinance, Apollo Tyre, Jet Airways, UBL, Bergerpaint, RBLBank and ICICIBank. Stocks seen short build-up includes ALBk, Bank India, IGL, Sunpharma, DCBBank, GodrejCP and Auro Pharma.

·        Option statistics: Nifty highest Call option OI for November series stands at 11000 strike price. In today’s trading session, Nifty 10500 and 10600 call options seen unwinding in OI with IV decreasing indicates profit booking of option. Nifty highest Put Option OI for the November series stand at 10000 strike price. In today’s trading session, Nifty 10400, 10500 and 10600 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. 111 crores in Index Futures; FIIs unwounded 3997 longs and added 2244 shorts in Index futures. FII Index long exposure is at 37.6% vs. 29.2% at the beginning of the November series. In Index options, FII were net buyers to the tune of Rs. 521crores; FIIs added 9424 in Index call long, added 11519 in Index put long, added 4064 in Index call shorts and added 5611 in Index put shorts.

·        Looking into the option data, Nifty immediate support stands around the 10460 level and a sustain trade below 10460 likely to take Nifty towards the level of 10400-10322 level. On the upside, Nifty likely to face resistance around the level of 10645 and a sustain trade above 10645 will open the upside of 10710-10760 level. 

DERIVATIVE HIGHLIGHTS FOR 12-11-2018

·        Nifty future seen addition of 7 lacs in OI and Bank Nifty seen unwinding of 2.1 lacs in OI.

·        Nifty OI PCR Ratio decreased from 1.60 to 1.51.

·        Stocks seen long build-up includes MGL, Repco Home, Tata Steel, Wockpharma, NIITtech, DHFL, Cummins and UBL. Stocks seen short build-up includes Jindal Steel, DCBBank, Tata Elxsi, RelInfra, Siemens, Dalmiabharat, GSFC, Hind Petro, Ultracem, VEDL, Arvind and NMDC.

·        Option statistics: Nifty highest Call option OI for November series stands at 11000 strike price. In today’s trading session, Nifty 10500 and 10600 call options seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the November series stand at 10000 strike price. In today’s trading session, Nifty 10400, 10500 and 10600 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. 169 crores in Index Futures; FIIs added 6176 longs and added 5893 shorts in Index futures. FII Index long exposure is at 38.5% vs. 29.2% at the beginning of the November series. In Index options, FII were net buyers to the tune of Rs. 9 crores; FIIs unwounded 4303 in Index call long, added 13262 in Index put long, added 4791 in Index call shorts and added 806 in Index put shorts.

·        Looking into the option data, Nifty immediate support stands around the 10460 level and a sustain trade below 10460 likely to take Nifty towards the level of 10400-10322 level. On the upside, Nifty likely to face resistance around today’s high of 10645 level. 

DERIVATIVE HIGHLIGHTS FOR 05-11-2018

·        Nifty future seen addition of 2 lacs in OI and Bank Nifty seen addition of 0.1 lacs in OI.

·        Nifty OI PCR Ratio decreased from 1.63 to 1.58.

·        Stocks seen long build-up includes Tornrtpower, Pageind, Justdial, ALBK, SBIN, Steinfra, IGL, Hindalco, Jet Airways, NIITtech, Nationalum, Bank India and PVR.  Stocks seen short build-up includes DHFL, Suntv, Balkrishna, Voltas, Petronet, Amaraja, Exideind, Jublfood, CESC, Ujjivan and IOC.

·        Option statistics: Nifty highest Call option OI for November series stands at 11000 strike price. In today’s trading session, Nifty 10500 and 10600 call options seen addition in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the November series stand at 10000 strike price. In today’s trading session, Nifty 10500 and 10600 put options seen addition in OI with IV decreasing indicates writing of option.

·        Looking into the option data, immediate support stands around the 10380 level. On the upside, a move above 10607 will take Nifty to the level of 10710-10740. 

DERIVATIVE HIGHLIGHTS FOR 02-11-2018

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

·        Nifty OI PCR Ratio increased from 1.53 to 1.63

·        Stocks seen long build-up includes IGL, Bergerpaint, CGPower, Marico, HDFCBank, Cummins, Chennai Petro, Bharat Forge, Pidilite, Axisbank, VEDL and Godfrey.  Stocks seen short build-up includes Arvind, Exideind, Cholafinance, Hexaware, Jublfood, Dabur, Torntpower, Biocon and KPIT.

·        Option statistics: Nifty highest Call option OI for November series stands at 10700 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 November series stand at 10000 strike price. In today’s trading session, Nifty 10500 and 10600 put options seen addition in OI with IV decreasing indicates writing of option.

·        As mentioned, Nifty does move towards the level of 10550, vindicating our view. Looking into the option data, immediate support stands around the 10300 level. On the upside, Nifty likely to move towards the level of 10650-10710.

DERIVATIVE HIGHLIGHTS FOR 01-11-2018

·        Nifty future OI remains flat at 2.40 crores and Bank Nifty seen unwinding of 1.1 lacs in OI.

·        Nifty OI PCR Ratio decreased from 1.56 to 1.53

·      Stocks seen long build-up includes IGL, Shree Cement, PcJeweller, MGL, DLF, Hindalco, Siemens, Escorts, CAPF, RelCapital and Ajanta Pharma.  Stocks seen short build-up includes CoalIndia, Voltas, Exideind, GodrejCP, Justdial, Kotakbank and Asianpaint.

·     Option statistics: Nifty highest Call option OI for November series stands at 10700 strike price. In today’s trading session, Nifty 10400 call options seen unwinding in OI with IV increasing indicates buying of option. Nifty highest Put Option OI for the November series stand 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, a sustain trade above today’s high 10441 level will open the upside of 10550-10700 level. On the downside, immediate support stands around the 10200 level and below that the strong support in the vicinity of 10000-9950 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.