February 16, 2017

RETAIL RESEARCH Daily FNO Overview

Derivative Commentary

Markets end sharply lower; Nifty holds above 8700

Markets ended with substantial losses on Wednesday as selling pressure emerged in the late morning session. The Nifty Feb
Fut closed 65.3 points or 0.81% lower at 8,743.10. The Nifty Feb Fut premium expanded to 24.85 points from 18 points in the
previous session.

Nifty IV rose to 12.83% from 12.42% indicating a rise in volatility expectations. The Nifty OI PCR declined sharply to 1.05 from
1.11 indicating there was more buildup in the Call segment. Maximum buildup of OI was seen in the 8550 and 8350 Feb Puts.
Combined with a rise in option prices, it indicates put buying at these strikes, implying that traders are bearish or probably
hedging their longs. Call writing was seen in the 8750-8850 Feb strikes indicating stiff resistance at these levels.

Long build up was seen in ZEEL, ITC, Infratel and TCS. Short build up was seen in Tata Motors, Auro Pharma, Sun Pharma and
Bank of Baroda. The most active Fut contracts were Tata Motors, Sun Pharma, Infy and HDFC Bank. Sectorally, no OI long build
up was seen in any of the indices. Short build up was seen in the Auto, Cement, Oil and Gas, Pharma and Realty indices.

Technically, with the Nifty ending with substantial losses, traders will need to watch if the Nifty can hold above the immediate
supports of 8715; else a further correction is likely towards the 8685-8632 supports.

Derivative Data

RETAIL RESEARCH
 PCR

Bank Nifty and Nifty OI

symbol price price % spot basis oi oi % iv hv

BANKNIFTY 20,204.40 -0.46% 20,163.70 40.7 75,369 -1.33% 19.66 17.83
NIFTY 8,743.10 -0.81% 8,724.70 18.4 365,978 7.44% 12.86 12.79

Stock Futures trading at the widest Premium to underlying spot

symbol price price % spot basis basis % volume

IDFC 52.55 -4.71% 52.3 0.25 0.48% 1,722
CEATLTD 1,090.70 -1.38% 1,085.85 4.85 0.45% 824
HINDPETRO 527.4 -3.48% 525.15 2.25 0.43% 8,368
JPASSOCIAT 12.1 -7.63% 12.05 0.05 0.41% 632
CROMPGREAV 65.15 -1.96% 64.9 0.25 0.39% 1,156

Stock Futures trading at widest Discount to underlying spot

symbol price price % spot basis basis % volume

UNIONBANK 138.85 -3.17% 141.45 -2.6 -1.84% 1,147
CANBK 288.65 -3.30% 293.35 -4.7 -1.60% 5,351
SOUTHBANK 22.3 -0.89% 22.55 -0.25 -1.11% 867
CESC 840.05 -1.20% 847.3 -7.25 -0.86% 2,759
SUNTV 715.6 -1.81% 720.9 -5.3 -0.74% 3,421

RETAIL RESEARCH
 Most Active Stock Futures

symbol price price chg volume volume % oi oi %

NIFTY 8,743.10 -0.81% 183,197 91.63% 365,978 7.44%
TATAMOTORS 437.75 -9.94% 51,887 62.80% 30,819 15.15%
SUNPHARMA 624.05 -3.97% 24,515 64.19% 49,113 8.37%
INFY 981.4 -0.51% 19,927 61.92% 55,777 1.39%
HDFCBANK 1,325.15 0.84% 16,461 135.86% 80,193 2.73%

Top Futures OI Gainers

symbol price price chg volume volume % oi oi %

HDIL 63.75 -4.75 4,675 538.66% 3,863 18.97%
TATAMOTORS 437.75 -48.3 51,887 62.80% 30,819 15.15%
HEROMOTOC 3,105.75 -66.25 4,996 44.31% 9,075 14.61%
VOLTAS 337.85 -4.35 3,928 148.92% 3,297 13.65%
TATAMTRDVR 268.85 -31.2 9,148 99.13% 9,673 12.02%

Price Gainers

symbol price price % volume volume % oi oi %

IGL 1,050.40 2.27% 5,683 227.36% 1,827 -7.73%
JINDALSTEL 89.85 1.76% 1,657 584.71% 5,254 -5.21%
INFRATEL 324.1 1.49% 2,488 159.44% 4,376 -5.14%
ADANIENT 92.5 1.48% 4,292 322.44% 2,947 4.95%
ZEEL 520.85 1.18% 3,929 79.65% 5,955 -1.06%

Top Volume Gainers

symbol price price % volume volume % oi oi %

JINDALSTEL 89.85 1.76% 1,657 584.71% 5,254 -5.21%
HDIL 63.75 -6.93% 4,675 538.66% 3,863 18.97%
GRANULES 122.45 -3.20% 983 355.09% 2,699 2.39%
ADANIENT 92.5 1.48% 4,292 322.44% 2,947 4.95%
JUSTDIAL 424.65 -0.52% 5,566 258.40% 3,158 -3.28%

Nifty / Bank Nifty Options Top Volume Changes

symbol putcall strike price price % volume volume % oi oi % iv

NIFTY C 9900 0.5 0.00% 1,370 585.00% 5,618 -1.30% 12.7
NIFTY C 8750 57.9 -42.30% 26,22 584.20% 8,808 96.80% 9
11.8
NIFTY P 7000 5
0.55 -8.30% 2,2060 408.30% 5,336 -0.50% 7
12.7
NIFTY C 8400 347. -15.80% 2,387 278.30% 11,39 0.10% 9
16.1
NIFTY C 8600 159.1 -28.20% 18,73 242.90% 18,673 -7.50% 6
12.6
95 1 2 4

RETAIL RESEARCH
 Nifty / Bank Nifty Options Top OI Changes

symbol putcall strike price price % volume volume % oi oi % iv

NIFTY C 8750 57.95 -42.30% 26,22 584.20% 8,808 96.80% 11.8
BANKNIFTY C 20600 39.05 -39.60% 20,300 145.90% 5,566 51.30% 7
13.9
BANKNIFTY C 20400 93.5 -30.90% 19,790 50.60% 6,350 43.80% 1
14.5
NIFTY P 8550 14.15 52.20% 10,108 148.30% 4,878 32.90% 2
14.4
BANKNIFTY P 20300 226.5 20.90% 9,3819 100.70% 2,860 29.70% 5
14.5
9
Stock Options - Top Volume Changes

symbol putcall strike price price % volume volume % oi oi % iv

SUNPHARMA C 630 6.7 -66.50% 1,132 22540.00 38 902.60% 25.3
TATAMOTORS C 460 2.9 -84.60% 15,06 %
20252.70 3,31 5250.00 1
39.5
TATAMOTORS P 400 1.5 130.80% 3,5451 %
12560.70 17
72 %
2933.30 2
48.5
DLF C 140 2.15 -76.60% 1,839 %
3653.10% 8
57 %
224.20% 3
41.1
TATAMOTORS P 420 3.85 250.00% 8,348 3513.90% 1,27 934.80% 2
41.1
SUNPHARMA C 640 4 -74.60% 1,601 1141.10% 21
55 225.00% 26.8
TATAMOTORS P 440 10.65 460.50% 11,80 758.60% 949 103.20% 4
36.5
TATAMOTORS C 480 1 -89.50% 10,335 500.40% 2,47 315.10% 9
43.4
DLF C 145 1 -83.10% 2,4008 481.10% 95
53 145.80% 1
43.7
HDFCBANK C 1320 13.85 61.10% 1,991 453.10% 1
82 -1.20% 1
14.1
5 9
Stock Options - Top OI Changes

symbol putcall strike price price % volume volume % oi oi % iv

TATAMOTORS C 440 8.75 -80.00% 4,86 0.00% 1,0 51450.0 37.9
TATAMOTORS C 460 2.9 -84.60% 15,03 20252.70 31
3,3 0%
5250.00 4
39.5
TATAMOTORS P 400 1.5 130.80% 61
3,54 %
12560.70 17
728 %
2933.30 2
48.5
TATAMOTORS P 420 3.85 250.00% 8,345 %
3513.90% 1,2 %
934.80% 3
41.1
SUNPHARMA C 630 6.7 -66.50% 1,138 22540.00 21
381 902.60% 25.3
TATAMOTORS C 480 1 -89.50% 10,32 %
500.40% 2,4 315.10% 1
43.4
SUNPHARMA C 640 4 -74.60% 38
1,60 1141.10% 95
559 225.00% 1
26.8
DLF C 140 2.15 -76.60% 1,831 3653.10% 577 224.20% 4
41.1
9 2

RETAIL RESEARCH
Analyst: Siddharth Deshpande (Siddharth.deshpande@hdfcsec.com)

HDFC securities Limited, I Think Techno Campus, Building - B, "Alpha", Office Floor 8, Near Kanjurmarg Station, Opp. Crompton Greaves, Kanjurmarg (East), Mumbai 400 042
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RETAIL RESEARCH