d-plus 30-03-15

Ravi Sharma [email protected] 91-22-6632 2216 / 2470

Key Market Indicators

26-Mar 27-Mar % Chg.

Nifty 8342.15 8341.40 -0.01

FUT (Apr) 8455.75 8434.90 -0.25

Basis 113.60 93.50 -

Spread (Fut) 57.95 53.90 -

Nifty OI (Sh) 22.76 22.34 -1.81

Vol (Nifty) 15.24 12.96 -14.98

PCR (OI) 0.86 0.83 -

PCR (Vol) 1.04 0.90 -

IV’s (Apr) 13.35 13.25 -

VIX NIF/CBO* 15-15 15-16 -

HV’s 17.10 17.50 -

Fut Adv/Dec 39/106 66/79 -

NIF50 Ad/Dec 10/40 20/30 -

Market Wide OI (INR. MN)


IDX –Nifty 192476 187714 -2.47

- Others 42627 42199 -1.00

Stock Fut. 630495 640036 1.51

Nifty Opt. 687911 746971 8.59

Stock Opt. 48970 68089 39.04

Total 1602479 1685010 5.15

FII as % of Mkt Wide OI (INR. MN)

Mkt OI FII OI %

Index Fut. 229913 70944 30.86

Index Opt. 746971 236738 31.69

Stock Fut. 640036 267023 41.72

Stock Opt. 68089 5055 7.42

Total 1685010 579759 34.41

F & O Market Turnover (INR. MN)


Index Fut. 404452 185662 -54.10

Stock Fut. 770154 255679 -66.80

Index Opt. 4474982 1321831 -70.46

Stock Opt. 135476 97870 -27.76

Total 5785064 1861042 -67.83

DATE: 30-Mar-2015

Key Observations

Week on week Nifty ends below 8350 down by ~2%.

On Friday markets opened on a flat to positive note and remained above parity line for

few hours then after saw profit booking and again a bounce back in the second half of

the day to close flat. All in all markets witnessed consolidation throughout the day

amidst poor volumes.

Nifty futures saw shed in OI due to profit booking as OI went down by around 2% that

is fall of more than 0.40mn shares amidst below average volumes. The market breadth

was in favor of losers as there were 66 stocks on the gaining side as against 79 on

losing side.

Nifty PCR (OI) came off a bit due to selling pressure and closed at 0.83 vs 0.86 levels.

Call writing was seen at 8500 and 8600 strikes as both saw addition of more than

0.4mn shares in OI. On the other hand put writing was seen at 8000 strike which

added more than 0.65mn shares in OI. The maximum call OI in APR stands at 9000 &

8600 strike whereas maximum put OI stands at 8200 & 8400 strike. The total

accumulation of OI is at 8500 strike. The IV (Apr) remained flat at 13% levels.

On a weekly basis, top long OI addition was seen in CENT (14%), WPL (14%), IBREL

(9%), SKSM (3%) & UPL (1%) whereas short OI addition was seen in SHTF (10%),

ARVND (3%), YES (3%), UT (2%) & LICHF (1%). From options data, Nifty may take

support around 8250-8200 levels whereas the upside looks capped around 8550-8600

levels.

Stocks with +ve bias: CENT, HEXW, IDFC, LICHF, LT, SBIN, SKSM, STR, YES.

Stocks with -ve bias: BHARTI, HCLT, HDFC, HUVR, RIL, WPL.

Nifty Future Technical Indicators

Key Price Points

Support Pivot Resistance 5 DEMA 21 DEMA 55 DEMA 200 SMA

8295 8425 8555 8485 8650 8650 8195

Key Technical Data

RSI (Avg) MACD (Avg) Up. Boll. Band Lo. Boll. Band PSAR

37 (39) -116 (-63) 9110 8350 8675

FII Statistics

FII Flows (Derivatives)

(Rs Mn) 26-Mar 27-Mar

BUY SELL NET BUY SELL NET

IDX Future 48664 70336 -21672 19535 15614 3922

IDX Option 251723 230879 20844 221333 186288 35044

STK Future 159351 174033 -14681 27915 26492 1423

STK Option 6796 6281 515 15888 15958 -70

Total 466534 481529 -14995 284671 244352 40319

Securities in Ban Period for 30-Mar-2015: NIL.

*CBOE VIX has a 1 day lag period

mailto:[email protected]

Options

NIFTY Strike Wise OI Concentration

Month Maximum Call OI Maximum Put OI Max OI (Call + Put)

Apr 8600-8500-8800 8200-8400-8300 8500-8600-8400

Total NIFTY Call OI Shares Total NIFTY Put OI Shares

26-Mar : 27-Mar : Diff : 26-Mar : 27-Mar : Diff :

42290575 46885675 4595100 36538000 38854375 2316375

Source: PL FNO Research

Most active Nifty Options

Options Expiry Vol (INR. MN) Vol (Shares) LCP (INR) O.I (shares) Chg in OI (shares) I V.’s (%)

NIFTY 8600 CE 30-Apr-15 121118 13970450 69.05 2639550 428475 12.95

NIFTY 8300 PE 30-Apr-15 104370 12436225 87.10 2415300 71875 13.85

NIFTY 8500 CE 30-Apr-15 102643 11923975 107.60 2569775 716025 13.15

NIFTY 8700 CE 30-Apr-15 96539 11041925 42.55 2225250 278450 12.91

NIFTY 8400 PE 30-Apr-15 87551 10265400 123.60 2453575 325100 13.34

Most actively traded Stock Options

Top OI Gainers OI (shares) Chg. No. of Shares % Change LCP (INR)

TATASTEEL Apr 310 CE 49500 49000 9800.00 16.75

CIPLA Apr 640 PE 48500 48000 9600.00 5.70

SBIN Apr 235 PE 203750 201250 8050.00 1.50

WIPRO Apr 630 CE 25500 25000 5000.00 15.45

LT Apr 1860 CE 11750 11500 4600.00 8.20

ICICIBANK Apr 285 PE 58750 57500 4600.00 2.15

TATAMOTORS Apr 490 PE 23000 22500 4500.00 3.70

PFC Apr 270 CE 40000 39000 3900.00 10.65

BATAINDIA Apr 1100 CE 26500 25750 3433.33 33.10

RELIANCE Apr 760 PE 127000 123250 3286.67 4.55

Please note: For the sake of conciseness and brevity, only those stock options, which have had a trading volume of more than Rs. 10mn, have

been considered.

IDX Futures

0

1

2

3

4

5

8000 8100 8200 8300 8400 8500 8600 8700 8800 8900

OI (

No

.ofS

har

es)

(Mn

)

Strikes

CE PE Total OI

Futures Vol.

(Shrs) O.I (Shrs) OI Chg (Shrs) % Chng LCP(INR) High / Low % PLFNO View

Nifty Apr 12420075 21287100 -550750 -2.52% 8434.90 8484.85 / 8357 -0.25

Volatile Nifty May 363850 961225 42625 4.64% 8488.80 8539.45 / 8413.3 -0.29

BANKNift Apr 4036000 2048950 -113925 -5.27% 18277.35 18325 / 17935 1.17

Stock Future Statistics

Top 5 OI gainers (No. of shares) Top 5 OI gainers (%)

STOCK Vol OI (MN) OI (%) LCP Pr (%)


UNITECH 69.71 182.78 7.00 16.55 1.53 SRTRANSFIN 0.68 0.97 13.60 1098.15 -0.65

IDFC 25.58 65.97 4.29 169.80 3.32 HEXAWARE 15.63 7.96 12.59 314.40 7.25

AXISBANK 22.09 29.75 7.38 553.45 0.65 PFC 4.38 4.49 8.62 267.65 -2.30

SAIL 8.27 48.74 3.63 64.85 -3.35 BHARTIARTL 8.90 9.80 8.51 380.05 -5.76

IDBI 19.23 37.59 3.81 71.00 -2.67

MINDTREE 0.12 0.19 8.37 1355.65 -1.45

Top 5 OI Losers (No. of shares) Top 5 OI Losers (%)



SBIN 45.07 82.79 -4.82 266.60 2.70 RANBAXY 2.29 5.24 -6.19 808.10 -1.47

GMRINFRA 26.87 162.54 -0.98 15.80 1.94 ALBK 6.15 8.17 -5.09 99.30 3.01

HINDALCO 7.69 23.16 -3.19 135.15 3.09 LT 3.99 7.42 -4.31 1693.65 2.32

ONGC 4.00 25.32 -2.80 308.00 0.83 COLPAL 0.13 0.35 -3.96 2014.60 0.27

NHPC 3.17 32.91 -1.67 19.90 0.51 HCLTECH 2.73 9.19 -3.70 969.10 -2.10

Delivery Statistics

Delivery above 10DMA (Price Gainers) Delivery above 10DMA (Price Losers)

STOCK LCP Vol

(MN) Del Del %

10 DMA

STOCK LCP Vol

(MN) Del Del %

10 DMA

JISLJALEQS 61.75 8.93 4.75 53.23 1.93 MINDTREE 1355.65 0.35 0.26 74.43 0.08

LT 1693.65 3.53 2.10 59.68 1.06 BATAINDIA 1093.20 0.62 0.38 61.14 0.14

HEXAWARE 314.40 6.45 1.27 19.67 0.67 SYNDIBANK 101.00 4.76 1.38 28.97 0.55

UPL 440.75 2.75 1.47 53.46 0.84 ZEEL 341.60 3.13 2.08 66.46 0.93

AXISBANK 553.45 11.74 4.95 42.15 2.99

RELINFRA 426.45 2.68 0.78 28.98 0.39

*Please note: Volume/Delivery is the sum of NSE EQ & BSE EQ

Abbreviations : OI – Open Interest, IV- Implied Volatility, HV- Historical volatility, Fut. – Futures, Vol – Volumes, PCR – Put Call Ratio, DEMA –

Daily Exponential Moving Average, DMA - Daily Moving average, SMA – Simple Moving average

Institutional Equity Derivative Desk: 91-22-66322213/16, 66322470/78

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d-plus 30-03-15

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