September 5, 2013Daily Derivative

ICICI Securities Ltd. | Retail Equity Research

Nifty Snapshot & Pivot Points

Spot Fut COC Tot Fut OI PCR OI PCR Vol ATM IV

Current 5448 5458 3.03 20296750 1.26 1.16 31.65

Previous 5341 5345 0.92 20334150 1.20 1.19 31.10

Change (%) 2.00% 2.12% - -0.18% - - -

Pivot levels (Sept) S3 S2 S1 Piv R1 R2 R3

Nifty future 5105 5261 5360 5417 5516 5574 5730

Source: NSE, Seediff, ICICIdirect.com Research

F&O Highlights • Post the opening session’s negative action, the Nifty witnessed a sizeable rally

in the day’s trade. It closed strongly near the day’s high at 5458, up 113 points for the day. India VIX dipped nearly 5% and at the end closed at 31.11

• FIIs bought | 173 crore in the cash segment. In index futures, FIIs were net buyers to the tune of | 648 crore while in index options they sold options worth | 206 crore. In stock, FIIs bought | 318 crore

• Highest Put base stays at the 5300 Put strike with over 74 lakh shares. Highest Call base is seen at 5500 Call strike with over 41 lakh shares. The 5000, 5100, 5300 & 5400 Put strikes witnessed significant OI addition. On the other hand, 5500, 5700 & 5800 Call strikes saw addition of nearly 3.5 lakh shares each

Index Outlook

• Nifty: The Nifty is likely to open positive with a gap up on the back of positive global cues. The index is likely to trade in the range of 5450-5560. The trading strategy would be to create longs near 5475-5480 for targets of 5510 and 5530. On the other hand, one can enter shorts if it meets resistance at 5550

• Bank Nifty: Immediate support for the banking index is seen at 8500. If it sustains above the same that is likely to allow it to test back the hurdle of 9000-9300 in the near future

Stock Analysis

• OI addition: We saw long build-up in Dabur, Tata Motors, Lupin, Aurobindo Pharma and Biocon while short build-up was seen in Tata Chemicals, Zee Entertainment, Hexaware and ITC

• OI shedding: We saw short covering in Godrej Industries, Hindustan Zinc, Idea and Arvind while long closure was seen in Indian Hotels

Intraday Strategy

i) Siemens (SIEMEN)

Buy SIEMEN Sep Fut in rng of 433-434

View: Bullish

Strategy: Buy Future

Target 1 : 440 Target 2 : 447

Stop Loss: 426

Market Lot: 500 Market Lot: 250

Target 1 : 1384 Target 2 : 1373

Stop Loss: 1412

i) Tech Mahindra (TECMAH)

Sell TECMAH Sep Fut in rng of 1397-1398

View: Bearish

Strategy: Sell Future

Source: Company, ICICIdirect.com Research "Initiate the stock recommendation within ± 0.3% of the stated price range"

Open Interest Activity

Symbol OI(Lots) %Chg Price %Chg Symbol OI(Lots) %Chg Price %Chg

SIEMENS 872500 24.02 431.7 2.57 GODREJIND 601000 -14.02 255.1 4.19

AXISBANK 12157250 16.12 807.4 2.61 HINDZINC 2226000 -9.07 122.8 3.89

DABUR 2564000 15.39 171.4 4.10 IDEA 9404000 -6.74 159.0 5.20

HEXAWARE 6692000 11.68 129.5 -2.12 ARVIND 2672000 -4.98 80.5 2.03

ZEEL 4513000 11.40 220.4 -1.41 DENABANK 11708000 -4.72 44.4 2.78

Strategy follow-up Date Stock View Strategy Reco Target SL Profit/Loss Comment4-Sep-13 CAIIND Buy Long Fut 326.20 334.00 322.90 7800 Target Achvd4-Sep-13 JINSP Sell Short Fut 217.90 214.50 221.00 -3100 SL Triggered

Nifty Futures – OI vs. Price

20.6 22.8 25.2 29

.228

.829

.129

.830

.831

.816

.1 18.9

19.7

20.3

20.3

101316192225283134

16-A

ug19

-Aug

20-A

ug21

-Aug

22-A

ug23

-Aug

26-A

ug27

-Aug

28-A

ug29

-Aug

30-A

ug2-

Sep

3-Se

p4-

Sep

OI in

Lac

s

5200

5305

5410

5515

5620

Nifty Futures OI Nifty Fut Price (RHS)

Nifty Options OI Distribution

Nifty Call Put Concentration (Sept)

12.0

12.4

17.1 31

.9 41.9

34.4 41.0

36.4 47

.6 74.3

42.8

25.4

9.1

9.1

-10

10

30

50

70

5100 5200 5300 5400 5500 5600 5700

Shar

es in

Lac

s

CALL OI PUT OI

Active Nifty Strike

Call (%) Put (%)

Strike OI chg % IV (%) OI chg % IV (%)

5200 -5.70 33.42 5.17 34.93

5300 -1.74 31.48 8.66 32.81

5400 3.40 29.75 10.63 30.64

5500 8.92 28.14 0.10 28.55

5600 -2.65 26.78 -5.78 26.80

F&O Turnover Instrument No. of Contracts Turnover (Cr) %Chg

Index Futures 694743 18085.92 -1.58

Stock Futures 608109 14805.8 -19.00

Index Options 3842029 103961.67 -6.70

Stock Options 245257 6400.76 -10.03

F&O Total 5390138 143254.15 -7.69

FII Activities (In crore) Segment Buy Sell Net OI (lots) %Chg

Index futures 3924 3276 648 391254 -6.8Index options 19610 19816 -206 1927592 5.6Stock futures 2139 1821 318 1064580 2.0Stock options 650 629 21 39637 14.6Total 26323 25542 781 3423063 3.0

Analyst

Amit Gupta amit.gup@icicisecurities.com

Rohit Gokhale rohit.gokhale@icicisecurities.com

Azeem Ahmad azeem.ahmad@icicisecurities.com

Raj Deepak Singh rajdeepak.singh@icicisecurities.com

September 5, 2013

Page 2ICICI Securities Ltd. | Retail Equity Research

Derivatives research – product basket Directional Non-directional Quant products

Long build up/Short covering Futures Theta & Vega strategies Pair trading

Short build up Futures Delta differential strategy Enhanced Basket

High OI stocks – delivery product Option indicators analysis VIX Analyser

Plain vanilla options Gamma neutral delta neutral strategy Quant Picks

Deep Value Strategy Reverse, Synthetic options & Situational arbitrage Volatility Insights

Hybrid Strategies – Index/Stocks Opportunity Matrix

Rollover week product ( Long/Short rollover stocks) Calendar Spreads

VWAP(expiry day product) Ratio Spreads

Pankaj Pandey Head – Research pankaj.pandey@icicisecurities.com

ICICIdirect.com Derivatives Desk

ICICI Securities Limited, 1st Floor, Akruti Trade Centre, Road No 7, MIDC Andheri (East), Mumbai – 400 093 research@icicidirect.com

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