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Daring Derivatives January 16, 2015 1visit us at
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For January 16, 2015A Sharekhan derivative research
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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
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2 Daring Derivatives January 16, 2015 visit us at
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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
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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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