daring derivatives

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  Daring Derivatives  January 16, 2015 1 visit us at sharekhan.com For January 16, 2015 A Sharekhan derivative research newsletter    F   o   r    P   r    i   v   a    t   e    C    i   r   c   u    l   a    t    i   o   n   o   n    l   y Around 32.32 lakh shares were added in open interest with a sharp increase in price indicating long buildup was observed by the market participants in today’s trade. On the options front, the volatility index has decreased significant ly by 400-500 basis points. Punter’s Call Advance / Decline ratio in futures  Advance 133 Decline 15 Unchanged 3 T otal 151 AD Ratio 8.87 Bulls strike back with double-to n gains Nifty (January) futures closed at a premium of 20.90 points versus a premium of 29.80 points in the previous trading session. The total open interest in the market was Rs223,496 crore and Rs13,747 crore were added in open interest. Nifty call options added 1.02 lakh shares in open interest whereas put options added 49.92 lakh shares in open interest. Federal Bank (21%), Bajaj Auto (17%), Hindustan Zinc (15%), Tata Consultancy Services (13%) and Voltas (10%) were the top open interest gainers in the market. Shriram T ransport Finance Company (-22%), Bosch (-16%), Dabur India (-16%) and Oriental Ban k of Commerce (-12%) were the top open interest losers in the market. The overall volume in futures & options currently stand at 157.87 lakh contracts with a turnover of Rs3,72,000 crore whereas the volume in Nifty futures was significan tly higher compared with the previous trading session. Nifty F&O snapshot Current Previous Change % 8515.05 8307.35 2.50% 6.41% 8.76% -26.77% 21713975 18482050 17.49% 21700875 12993775 67.01% 1.19 1.11 7.21% 1.01 1.14 -11.40% 13.87% 14.61% -5.12% 16.80% 15.85% 5.98% 16.16 17.25 -6.32% Nifty (Curr. MTH) Nifty CoC OI Vol PCR (OI) PCR (VOL) Avg. Call IV Avg. Put IV India VIX Currency watch Current Previous % Change 62.06 62.19 -0.21% USD vs INR Derivatives summary Advance / Decline ratio in futures Daily view Soon after the RBI’s surprise move of 25 basis point repo rate cut, which gave a positive trigger to the market due to which Nifty started the day with the gap up of around 100 points despite negative cues from the international markets. Later it continued to fly high mainly due to gains in many large-cap and banking & financial counters like DLF, HDFC, IDFC, UltraTech Cement, ICICI Bank and State Bank of India which were up anywhere in the range of 5-11% each in today’s trade. Throughout the day Nifty remained strong and continued to make new highs at every small intervals during the day. The positive opening of European market boosted the market sentiments as buying was observed across the board and across all the sectors which helped Nifty to go past 8500. Most of the sectors closed in the positive territory, however banking and other rate sensitive stocks continued to outperform the market. With only gains Nifty finally ended the session near day’s high at 8515.05 striking double-ton gains of close to 3%. Market commentary Looking Trendy 5-day VWAP* Lower Range Higher Range 8400 8400 8565 * Volume-weighted average price (VWAP) is the ratio of the value traded to total volume traded over a particular time horizon. It is a measure of the average price a stock traded at over the trading horizon. A lower range and higher range for the day is normally defined by the support and resistance level respectively. Daily view on Nifty Looking Trendy Monthly view on Nifty Lower Range* Higher Range* 7968 8532 *On a closing basis

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  • Daring Derivatives January 16, 2015 1visit us at sharekhan.com

    For January 16, 2015A Sharekhan derivative research newsletter

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    z Around 32.32 lakh shares were added in open interest witha sharp increase in price indicating long buildup wasobserved by the market participants in todays trade.

    z On the options front, the volatility index has decreasedsignificantly by 400-500 basis points.

    Punters Call

    Advance / Decline ratio in futures

    Advance 133

    Decline 15

    Unchanged 3

    Total 151

    AD Ratio 8.87

    Bulls strike back with double-ton gains

    z Nifty (January) futures closed at a premium of 20.90 pointsversus a premium of 29.80 points in the previous tradingsession.

    z The total open interest in the market was Rs223,496 croreand Rs13,747 crore were added in open interest.

    z Nifty call options added 1.02 lakh shares in open interestwhereas put options added 49.92 lakh shares in openinterest.

    z Federal Bank (21%), Bajaj Auto (17%), Hindustan Zinc(15%), Tata Consultancy Services (13%) and Voltas (10%)were the top open interest gainers in the market.

    z Shriram Transport Finance Company (-22%), Bosch (-16%),Dabur India (-16%) and Oriental Bank of Commerce (-12%)were the top open interest losers in the market.

    z The overall volume in futures & options currently standat 157.87 lakh contracts with a turnover of Rs3,72,000crore whereas the volume in Nifty futures was significantlyhigher compared with the previous trading session.

    Nifty F&O snapshot

    Current Previous Change %

    8515.05 8307.35 2.50%

    6.41% 8.76% -26.77%

    21713975 18482050 17.49%

    21700875 12993775 67.01%

    1.19 1.11 7.21%

    1.01 1.14 -11.40%

    13.87% 14.61% -5.12%

    16.80% 15.85% 5.98%

    16.16 17.25 -6.32%

    Nifty (Curr. MTH)

    Nifty CoC

    OI

    Vol

    PCR (OI)

    PCR (VOL)

    Avg. Call IV

    Avg. Put IV

    India VIX

    Currency watch

    Current Previous % Change

    62.06 62.19 -0.21%USD vs INR

    Derivatives summary

    Advance / Decline ratio in futures

    Daily view

    Soon after the RBIs surprise move of 25 basis point repo ratecut, which gave a positive trigger to the market due to whichNifty started the day with the gap up of around 100 pointsdespite negative cues from the international markets. Later itcontinued to fly high mainly due to gains in many large-cap andbanking & financial counters like DLF, HDFC, IDFC, UltraTechCement, ICICI Bank and State Bank of India which were upanywhere in the range of 5-11% each in todays trade.Throughout the day Nifty remained strong and continued tomake new highs at every small intervals during the day. Thepositive opening of European market boosted the marketsentiments as buying was observed across the board and acrossall the sectors which helped Nifty to go past 8500. Most of thesectors closed in the positive territory, however banking andother rate sensitive stocks continued to outperform the market.With only gains Nifty finally ended the session near days highat 8515.05 striking double-ton gains of close to 3%.

    Market commentary

    Looking Trendy

    5-day VWAP* Lower Range Higher Range

    8400 8400 8565

    * Volume-weighted average price (VWAP) is the ratio of the value traded to totalvolume traded over a particular time horizon. It is a measure of the average pricea stock traded at over the trading horizon.

    A lower range and higher range for the day is normally defined by the supportand resistance level respectively.

    Daily view on Nifty

    Looking Trendy

    Monthly view on Nifty

    Lower Range* Higher Range*

    7968 8532

    *On a closing basis

  • 2 Daring Derivatives January 16, 2015 visit us at sharekhan.com

    Derivative Activity

    Strike Curr. IV Pre. IV Curr. OI Chg OI % Chg IV %

    8500 C 14.01% 14.58% 3368925 -29.07% -3.89%

    8600 C 13.71% 14.37% 4816575 48.14% -4.59%

    8700 C 13.49% 14.24% 4896400 30.20% 0.00%

    8400 C 14.76% 14.94% 4046300 -17.10% 0.00%

    8800 C 13.35% 14.94% 2636700 47.02% -10.63%

    Average IV 13.87% 14.61% - - -5.12%

    Most active index call options

    Strike Curr. IV Pre. IV Curr. OI Chg OI % Chg IV %

    8400 P 15.38% 14.81% 4529025 185.33% 3.89%

    8300 P 16.77% 15.64% 4696025 3.00% 7.23%

    8200 P 18.17% 16.91% 5121075 0.38% 7.44%

    8500 P 13.81% 13.62% 3131600 141.62% 1.35%

    8100 P 19.88% 18.29% 5528400 -1.23% 8.72%

    Average IV 16.80% 15.85% - - 5.98%

    Most active index put options

    Most active stock call optionsStrike Curr. Pre. Curr. OI IV

    IV (%) IV (%) OI Chg % Chg %

    HDIL 80 C 57.10% 61.65% 2328000 62.57% -7.38%

    SBIN 330 C 29.50% 33.59% 2123750 38.69% -12.17%

    YESBANK 800 C 32.15% 36.21% 407500 -54.47% -11.22%

    RELIANCE 880 C 27.29% 30.00% 678750 -10.31% -9.05%

    LT 1600 C 27.84% 30.75% 340750 -19.54% -9.47%

    Most active stock put optionsStrike Curr. Pre. Curr. OI IV

    IV (%) IV (%) OI Chg % Chg %

    AXISBANK 510 P 32.73% 35.66% 253000 116.24% -8.20%

    YESBANK 780 P 33.96% 36.58% 421500 -10.41% -7.18%

    TATASTEEL 370 P 41.90% 42.27% 505500 0.30% -0.88%

    IDFC 155 P 39.30% 30.24% 998000 -11.21% 29.97%

    TCS 2400 P 40.35% 40.00% 293375 76.87% 0.88%

    FIIs F&O activity (in cr) Jan 14, 2015

    Buy Sell Difference

    INDEX FUTURES 1584.90 1406.70 178.21

    INDEX OPTIONS 14660.44 14340.72 319.72

    STOCK FUTURES 2297.63 2541.99 -244.37

    STOCK OPTIONS 1933.48 1935.28 -1.80

    TOTAL 20476.45 20224.69 251.76

    Scrips Curr. CoC Pre. CoC Curr. OI Chg. OI %

    SBIN 5.29% 13.18% 55672500 -5.61%

    HDFCBANK 15.49% 9.34% 38777500 0.85%

    AXISBANK 1.52% 4.63% 24878000 6.30%

    ICICIBANK 4.80% 13.72% 52468750 -1.64%

    RELIANCE 3.62% 10.35% 32086500 -1.45%

    Most active stock futures (Current Month)

    Nifty option strikes OI Nifty option strikes prices

    Date Scrips Buy/Sell Initiation Range Stoploss Target Remark

    15-Jan-15 ICICIBANK CE 360 Buy 5.60 4.70 8.00-10.00 Booked Profit @ 6.95

    14-Jan-15 LT CE 8300 Buy 22.30 19.20 34.00-38.00 Booked Profit @ 25.65

    14-Jan-15 Nifty CE 8400 Buy 57.75 39.40 80.00 Exit @ 60.30

    Derivative Calls

  • Daring Derivatives January 16, 2015 3visit us at sharekhan.com

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    Butterfly Strategy

    Date Scrips Buy/Sell Initiation Range Stoploss Target Timeframe Remark BookedP&L

    INFY CE 2000 (1 Lot) Buy 52.50 0.00 0.00 Expiry Booked profits @121

    9-Jan-15 INFY CE 2100 (2 Lots) Sell 21.50 0.00 0.00 Exit @56.65 2900

    INFY CE 2200 (1 Lot) Buy 8.50 0.00 0.00 Booked Profits @ 21.90

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