Aug 13, 2015

Weekly Options Report for the week ended Aug 12, 2015

RETAIL RESEARCH

Weekly Perspective This report examines the options data on a weekly basis. It analyzes the changes in PCR, IV, Open Interest in Nifty
and Stock options trying to identify pockets of strengths and weaknesses in the process.
Options Open Interest Activity Overall
As on 120815 (No. of shares (000s)
Type of
Option
Nifty
Option
Stock
Option
Total
Option

As on 050815 (No. of shares (000s)

% Change w-o-w
Call
Put
Total
Option
Option

Call Option

Put Option

Total

Call Option

Put Option

Total

71,598

61,491

1,33,089

60,020

57,463

1,17,483

19.29

7.01

13.28

5,55,219

2,47,817

8,03,036

3,66,913

1,93,207

5,60,120

51.32

28.27

43.37

6,26,817

6,26,817

12,53,634

4,26,933

2,50,670

6,77,603

46.82

150.06

85.01

Active Next Month Strikes Based on OI Addition (In Contracts)

Strikes

Call OI

% chg Call OI

Strikes

Put OI

% chg Put OI

8,400

1,13,749

94.62

8,300

2,00,089

24.42

8,500

1,52,931

39.46

7,800

62,861

15.41

8,600

1,95,640

19.46

8,100

73,319

14.08

Active Next Month Strikes Based on OI Unwinding (In Contracts)

Strikes

Call OI

% chg Call OI

Strikes

Put OI

% chg Put OI

8,800

1,73,111

-11.88

8,500

78,376

-25.68

8,900

1,00,432

-7.55

8,600

45,715

-24.84

9,000

1,48,076

-3.76

8,400

1,33,929

-12.09

The week ended Aug 12, 2015 saw the Nifty moving lower after breaking the supports of 8550. Total option OI rose by a healthy 85.01% Wo-W. Examining the top most tables above, we notice that the build up of positions was more in the Stock option segment. While the stock
option OI increased by 43.37% W-o-W, the Nifty option OI rose by 13.28% over the same period.
In the call segment, the highest OI build up was seen in the 8,400-8,500 call strikes (see the second table above). Maximum call OI is
currently being seen in the 8,600 and 8,700 call strikes (See the blue bar in the chart below) indicating strong resistance at these levels.
Unwinding was seen in the 8800-9000 call strikes as the markets fell during the week.
In the put segment, maximum build up was seen in the 8,300 and 7,800 strikes. Maximum put OI is currently being seen in the 8200 and
8300 put strikes (See the purple bar in the chart below) indicating strong support at these levels.

RETAIL RESEARCH

Nifty Vs. Nifty OI PCR as on Aug 12, 2015

Nifty IV Vs. HV as on Aug 12, 2015

RETAIL RESEARCH

Volatility expectations rose as the Nifty IV climbed to 17% from 14% last week. The HV dipped to 16% from 17% indicating that options
have become more expensive. Reflecting the greater build up of Call OI in the market, the Nifty OI PCR dipped to 0.87 from 0.96 levels last
week.

Analyst: Subash Gangadharan (subash.gangadharan@hdfcsec.com)

HDFC securities Limited, I Think Techno Campus, Building B, Alpha, Office Floor 8, Near Kanjurmarg Station, Opposite Crompton Greaves,
Kanjurmarg (East), Mumbai 400042, Fax: (022) 30753435
Disclaimer: This document has been prepared by HDFC securities Limited and is meant for sole use by the recipient and not for circulation. This document is
not to be reported or copied or made available to others. It should not be considered to be taken as an offer to sell or a solicitation to buy any security. The
information contained herein is from sources believed reliable. We do not represent that it is accurate or complete and it should not be relied upon as such. We
may have from time to time positions or options on, and buy and sell securities referred to herein. We may from time to time solicit from, or perform investment
banking, or other services for, any company mentioned in this document. This report is intended for non- Institutional Clients only
This report has been prepared by the Retail Research team of HDFC Securities Ltd. The views, opinions, estimates, ratings, target price, entry prices and/or
other parameters mentioned in this document may or may not match or may be contrary with those of the other Research teams (Institutional, PCG) of HDFC
Securities Ltd.

RETAIL RESEARCH