For June 11, 2014

A Sharekhan derivative research newsletter

Punters Call

Smart pull-back
Derivatives summary


Nifty (June) futures premium has decreased marginally

from 15.15 points to 11.90 points.

The total open interest in the market was Rs192,666

crore and Rs3,259 crore was added in open interest.

Nifty call options added 8.27 lakh shares in open

interest whereas put options reduced 3.13 lakh shares
in open interest.
Power Trading Corporation (33%), Allahabad Bank
(28%), M&M Finance (27%), HDIL (24%) and ONGC (21%)
were the top open interest gainers in the market.
Unitech (-12%), REC (-8%), Tata Steel (-8%) and
Syndicate Bank (-8%) were the top open interest losers
in the market.
The overall volume in futures & options currently
stands at 45.86 lakh contracts with a turnover of
Rs177,160 crore whereas that in Nifty futures is
marginally lower as compared with the previous trading
session.

Nifty F&O snapshot

Current

Previous

Change %

7668.3

7669.75

-0.02%

3.55%

4.25%

-16.56%

OI

17677300

16641350

6.23%

Vol

13891100

13942300

-0.37%

PCR(OI)

0.86

0.87

-1.15%

PCR ( VOL)

0.96

0.89

7.87%

Avg. Call IV

13.94%

14.63%

-4.73%

Avg. Put IV

15.99%

17.24%

-7.23%

16.66

17.08

-2.46%

Current

Previous

% Change

59.29

59.20

0.15%

Nifty (Curr. MTH)

Nifty CoC

India VIX

Currency watch

USD vs INR

Looking Trendy
Market commentary
Weekly view
The Nifty started the day with a positive bias despite mixed
cues from the international markets. However, very soon it
gave up all of its gains and went into negative territory due
to selling pressure seen in some blue-chip stocks like DLF,
Grasim Industries, Ambuja Cements, Tata Steel and ONGC,
which were down by 2-5%. Post-lunch Nifty showed some
resilience at lower levels and recovered from the days low
helped by gains in IT, auto, FMCG and pharma stocks which
helped the Nifty to turn positive. The 50-share benchmark
index after showing a sharp recovery finally managed to
close in positive terrain at 7668.30 levels.

5-Day VWAP

Lower Range

Higher Range

7500

7700

7585

Monthly view
Lower Range

Higher Range

7052

7700

*On closing basis

Advance / Decline ratio in futures

Around 10.36 lakh shares were added in open interest

with hardly any change in price, indicating a build-up
of longs and shorts by market participants in todays
trade.
On the options front the implied volatility decreased
significantly by 200-300 basis points.

Advance

50

Decline

88

Unchanged
Total
AD Ratio

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3
141
0.57

Daring Derivatives June 11, 2014 1

For Private Circulation only

Daily view

Nifty option strikes OI

Px CE

14.45%

300

335.6

246.05

8000

9.05

17.95
7900

38.15
165.45

7800

50

10.00%

73.2
103.85

100

11.00%

7700

4787000
711950
8000

150

126
59.3

2421100
72950
7900

200

7600

4315050
495100
7800

250

7400

4088850
973150
7700

4179250
3349650
7600

4296750
4554800

12.00%

7500

2000000
2075050
3785350

13.00%

7400

3000000

197.75
32.5

14.00%

7500

13.35% 13.38% 13.35%

281.3

13.65%

Closing Price

4000000

1000000

350

15.00%
13.88%

Px PE

400

16.00%

15.03%

5000000
Open interest

Most active index put options

Strike IV

Implied volatility

6000000

PE

17.7

CE

Strike price

Strike price

Derivative Activity
Most active index call options

Most active index put options

Strike

Curr. IV

Pre. IV

Curr. OI Chg OI %

7700 C

13.73%

14.57%

4088850

-0.53%

7800 C

13.76%

14.32%

4315050

7600 C

13.75%

14.83%

4179250

7900 C

13.87%

14.41%

8000 C

14.59%

Average IV

13.94%

Chg IV %
-5.76%

Strike
7600 P

Curr. IV
14.01%

Pre. IV
14.98%

7.21%

-3.88%

7500 P

14.77%

15.95%

4554800

6.14%

-7.42%

1.59%

0.00%

7400 P

15.74%

17.09%

3785350

-3.36%

-7.87%

2421100

14.13%

0.00%

7300 P

16.94%

18.36%

3774850

-6.79%

-7.74%

15.04%

4787000

8.90%

-2.96%

7200 P

18.48%

19.80%

3984400

-6.62%

-6.63%

14.63%

-4.73%

Average IV

15.99%

17.24%

-7.23%

IV
Chg %

Strike

Most active stock call options

Curr.
Pre.
Curr.
OI
IV (%)
IV (%)
OI Chg %

Strike

Curr. OI Chg OI %
3349650
7.73%

Chg IV %
-6.49%

Most active stock put options

Curr.
Pre.
Curr.
OI
IV (%)
IV (%)
OI Chg %

IV
Chg %

DLF 240 C

64.22%

66.65%

1232000

45.97%

-3.65%

AXISBANK 1900 P

34.09%

35.71%

134250

-2.01%

-4.53%

TATAMOTORS 470 C

41.70%

41.07%

413000

44.91%

1.53%

TATASTEEL 550 P

42.13%

43.34%

371000 -18.10%

-2.78%

JPASSOCIAT 95 C

67.46%

68.13%

5072000

81.14%

-0.98%

INFY 3000 P

30.11%

31.51%

141750

5.68%

-4.44%

RELIANCE 1160 C

36.02%

36.33%

716000

-2.45%

-0.86%

SBIN 2600 P

35.26%

36.21%

210875

-3.76%

-2.63%

INFY 3200 C

32.54%

34.95%

410875

-4.14%

-6.91%

RELIANCE 1080 P

32.32%

33.23%

274500

2.71%

-2.77%

Most active stock futures (Current Month)

Strike CoC

FIIs F&O activity (in cr) Jun 09, 2014

Curr. CoC

Pre OI

Curr. OI

Chg. OI %

Buy

Sell

Difference

RELIANCE

4.90%

5.55%

17607500

0.85%

INDEX FUTURES

2304.49

1940.43

364.06

INFY

5.53%

12.29%

4700875

-0.49%

INDEX OPTIONS

13817.45

13488.85

328.60

RCOM

0.74%

-4.19%

44748000

3.99%

STOCK FUTURES

3716.95

3891.69

-174.74

RELINFRA

13.94%

9.69%

7143000

2.73%

STOCK OPTIONS

SBIN

11.00%

6.50%

4984625

4.05%

TOTAL

2239.71

2279.82

-40.11

22078.59

21600.78

477.81

Derivative Calls
Date

Scrips

Buy/Sell

Initiation Range

Stoploss

Target

Remark

10-Jun-14

SBIN

Buy

2670.00

2653.40

2695.00-2710

Exit @ 2671.40

10-Jun-14

ICICIBANK CE 1500

Buy

32.75

27.60

41.00-45.00

Exit @ 33.20

10-Jun-14

HDFCBANK CE 840

Buy

12.00

8.60

18.00-20.00

Booked Profits @ 14.90

9-Jun-14

BANKNIFTY CE 1600

Buy

213.50

154.40

300.00-350.00

Exit @ 194.75

9-Jun-14

NIFTY CE 7700

Buy

74.00

52.40

120.00

Booked Profits @ 88.85

2 Daring Derivatives June 11, 2014

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Bull Call Spread Strategy

Date

Scrips

Buy/Sell Initiation Range

3-Jun-14

BHARTIARTL CE 370

Buy

3-Jun-14

BHARTIARTL CE 380

Sell

Stoploss

Target

Timeframe

Remark

13.00

0.00

0.00

Expiry

Open @ 10.85

9.50

0.00

0.00

Expiry

Open @ 7.50

Mark to
Market P&L
-150

For Private Circulation only

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Daring Derivatives June 11, 2014 3

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