Daily Derivatives

November 19, 2015

November 19, 2015
Nifty Snapshot & Pivot Points

Nifty Futures OI vs. Price

28.1
28.1
27.2
20.8
22.0
23.5
22.4
22.3
22.8
22.6
23.4
22.0
22.0
21.6
21.5
22.4
26-Oct
27-Oct
28-Oct
29-Oct
30-Oct
2-Nov
3-Nov
4-Nov
5-Nov
6-Nov
9-Nov
10-Nov
13-Nov
16-Nov
17-Nov
18-Nov

OI In million

30
25
20
15
10
5
0

8700
8500
8300
8100
7900
7700
7500
7300

Nifty Futures OI

Nifty Fut Price (RHS)

3.7

38.2

65.3
6.9

13.3

48.7

70.6
15.3

50.7
21.8

60.7

44.4
30.9

40.8

16.0

39.7
4.6

3.6

OI in Lacs

Nifty Call Put Concentration (NOV)

CALL

PUT

Active Nifty Strike

Call (%)
Strike

Fut

COC

Future OI

PCR OI

PCR Vol

7732

7732

0.09

22441125

0.72

0.83

16.09

Previous

7838

7853

7.79

21460425

0.72

0.78

15.39

-1.35%

-1.54%

Change (%)
Pivot levels (NOV)
Nifty future

4.57%

ATM IV

S3

S2

S1

Piv

R1

R2

R3

7511

7641

7686

7771

7816

7901

8031

Source: NSE, Seediff, ICICIdirect.com Research

F&O Highlights
Post a flat start, the Nifty remained lacklustre in the first half. However, sharp
selling was seen in the second half, driving the index 110 points lower towards
the end. India VIX rose 2.6% to 17.4
FIIs sold | 768 crore while DIIs bought | 759 crore in the cash segment. FIIs
bought | 139 crore in index futures and sold | 73 crore in index options. In
stock futures, they bought | 254 crore
The highest Put base is seen at the 7700 strike with 61 lakh shares while the
highest Call base is at the 8000 strike with 71 lakh shares. The 7800 and 7900
Call strikes saw an addition of 14.1 and 6.9 lakh shares, respectively. The 7600
and 7700 Put strikes saw additions of 9.6 and 4.1 lakh shares, respectively
Index Outlook*

Nifty Options OI Distribution

80
70
60
50
40
30
20
10
0

Spot
Current

Put (%)

Nifty Future: The Nifty is likely to open gap up on the back of strong global

cues. It is likely to trade in the range of 7700-7810. Buy Nifty in the range of
7725-7735 for targets of 7765-7785, stop loss: 7710
Bank Nifty Future: Despite a sharp fall in the previous session, the banking
index managed to end above the crucial level of 16800. Even though all banking
stocks ended negative, ATM option writing was seen, which indicates towards a
range bound market in the coming days. Buy Bank Nifty in the range of 1676016800, targets: 16900-17000, stop loss: 16710
Stocks Analysis

OI addition: We saw long build-up in Havells, Gail, Petronet LNG and GMR Infra

7600

OI chg %
21.86

IV (%)
15.84

OI chg %
30.72

IV (%)
17.33

7700

54.20

14.97

7.22

15.71

7800

46.45

14.37

-28.85

14.36

7900

15.68

14.56

-5.73

13.96

Biocon whereas long closure was seen in UBL, PNB, Ceat Ltd and CESC
Intraday Recommendation*

8000

6.70

15.32

-13.31

12.42

i) Bata India (BATIND)

F&O Turnover
Instrument

while short build-up was seen in OIL, Wipro, Wockhardt Ltd and ITC

OI shedding: We saw short covering in Dabur, Asian Paints, Eicher Motors and

ii) Tata Steel (TISCO)

Buy BATIND NOV Fut at 465.00-466.00

Sell TISCO NOV Fut at 224.00-224.50

View: Bullish

View: Bearish

No. of Contracts

Turnover (Cr)

%Chg

Strategy: Buy Future

Strategy: Sell Future

17315.44
25749.56

26.71
4.43

Target 1: 469

Target 1: 222.5 Target 2: 220.1

Stock Futures
Index Options

3,11,773
5,19,519

Stop Loss: 462

Stop Loss: 226.1

37,82,193

219835

29.45

Market Lot: 2000

Stock Options
F&O Total

3,12,347
49,25,832

15946.55
278847

16.11
25.68

Market Lot: 1000

CMP : 471
Source: Company, ICICIdirect.com Research
*Call initiation message will be broadcast on iclick-2-gain

Index Futures

FII Activities

(In | crore)

Segment

Buy

Sell

Net

OI (lots)

%Chg

Index futures

1753

1614

139

295576

4.5

Index options

27968

28040

-73

1308808

1.2

Stock futures

3529

3275

254

982201

0.3

Stock options

2517

2630

-113

84319

3.4

35767

35559

208

2670904

1.3

Total

Research Analyst
Amit Gupta
[email protected]
Nandish Patel
[email protected]

ICICI Securities Ltd. | Retail Equity Research

Target 2: 474

CMP : 225.5

Open Interest Activity

Symbol

OI

%Chg

Price

%Chg Symbol

WOCKPHARMA

3109875

20.51

1,592

HAVELLS

5386000

12.16

263

2.3 ABIRLANUVO

IBULHSGFIN

9548000

10.77

605

JPASSOCIAT

174144000

9.24

13

2012800

9.20

141

HINDZINC

-1.1 DABUR

OI

%Chg

Price

%Chg

3000000

-14.14

269

695750

-12.13

1,984

1.0

-2.9 NCC

8312000

-9.49

78

-1.0

-2.7 ENGINERSIN

1577400

0.00

192

-1.8

816500

-4.73

966

-3.2

-4.3 UBL

1.4

Strategy Follow-up
Date
18-Nov-15
18-Nov-15

Stock
JUBFOO
INFTEC

View
Buy
Sell

Strategy
Long Fut
Short Fut

Reco
1398.00
1053.00

Target
1410.00
1046.00

SL
1386.20
1060.50

P&L
-

Comment
Not Initiated
Not Initiated

Trading Portfolio allocation

It is recommended to spread out the trading corpus in a proportionate manner between the various derivatives research
products.

Please avoid allocating the entire trading corpus to a single stock or a single product segment.

Within each product segment it is advisable to allocate equal amount to each recommendation.

For example: The Daily Derivatives product carries 2 intraday recommendations. It is advisable to allocate equal amount
to each recommendation
Allocation

Return Objective

Product wise
allocation

Max allocation
per stock

Number of Calls

Frontline
Stocks

Mid-cap
stocks

Daily Derivatives

5%

Duration

2-3%

2 Stocks

1%

2-3%

Weekly Derivatives

Intraday

10%

3-5%

2 Stocks

3-5%

5-7%

1 Week

High OI stock

5%

2-3%

2-3 Stocks

5-7%

7-10%

1-2 Weeks

Monthly Derivatives

20%

3-5%

4-7 Stocks

7-10%

10-15%

1 Month

Global Derivatives

5%

2-3%

1-2 index strategy

1 Month

Stock Trader/ Stock in Focus

10%

2-3%

5-6 Stocks

7-10%

10-15%

3 Months

Alpha Trader

5%

2-3%

2-3 Alpha strategy

5%

3 Months

Products

Volatility Insights

5%

2-3%

1-2 Strategy

8-10%

10-15%

1-2 Month

ArbitrageOpportunity

5%

2-3%

2-3 Stocks

> 2.5%

>2.5%

Event Based

Intraday Futures

10%

2-3%

8-12 Stocks

05.-1%

1-3%

Intraday

Index option & Strategy

15%

3-4%

2-5 Nifty

2-3%

1-14 days

Stock option & Strategy

5%

3-4%

2-8 Stocks

3-5%

1-14 days

ICICI Securities Ltd. | Retail Equity Research

Page 2

Disclaimer

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