Daring Derivatives

June 28, 2017

Index
Punters Call
Derivative Activity
Derivative Calls

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Punters Call
Selling continuous

Derivatives summary Nifty F&O snapshot

Nifty (Jun) futures closed at a Premium of 1.60 Current Previous Change %
points versus Premium of 15.10 points. Nifty (Curr. MTH) 9513 9590.05 -0.80%
Total Open interest in the market was Rs. 366,941 Nifty CoC 3.07% 9.59% -68.00%
crore and Rs.8,746 crore was added in open
OI 25425600 24118650 5.42%
interest.
Vol 25631475 11670900 119.62%
Nifty call option added 64.97 lakh shares in open
interest whereas put option sheds 22.97 lakh PCR (OI) 0.98 1.10 -10.55%
shares in open interest. PCR (VOL) 0.82 0.98 -16.18%
PETRONET (21%), BPCL (21%), KSCL (18%), M&M Avg. Call IV 17.08% 10.50% 62.58%
(14%) and PAGEIND (12%) were the top open
Avg. Put IV 16.10% 12.53% 28.48%
interest gainers in the market.
India VIX 12.51 11.61 7.75%

ABIRLANUVO (-21%), RAMOCEM (-14%),
ADANIPOWER (-13%), PVR (-12%) and TATAELXSI
(-10%) were the top open interest losers in the
market. Currency watch
Overall volumes in futures & options currently Current Previous Change %
stand at 105.62 lakhs contracts with a turnover USD vs INR 64.52 64.49 0.05%
of Rs. 826,123 crore whereas volumes in Nifty
futures was higher compared to previous trading
session.
Looking Trendy

Market commentary Monthly view on Nifty

On the global front, the US markets along with Asian Lower Range* Higher Range*
markets traded on a mixed note. Back home, the NSE
9287 9713
Nifty commenced the session on flattish to positive
note. In initial hour of trade markets continued to *On a closing basis
trade in a range of around 20 points with negative
bias. However in afternoon session markets fallen Daily view on Nifty
down from the higher levels on account of selling 5-day VWAP* Lower Range Higher Range
in front line blue chip counters such as BANK
9611 9500 9611
BARODA, ACC, ZEEL, SBIN and ULTRATECH . Gains
in FMCG were pared off by the losses in IT, banking, * Volume-weighted average price (VWAP) is the ratio of the value
traded to total volume traded over a particular time horizon. It is
auto, reality, metal and pharma stocks along with a measure of the average price a stock traded at over the trading
negative opening of European markets further horizon.
deteriorated the sentiments and pushed the Nifty to A lower range and higher range for the day is normally defined by the
support and resistance level respectively.
hit a fresh intraday low. The prime index Nifty finally
snapped the session at 9514 level with loss of 0.78%.
Advance / Decline ratio in futures

Daily view Advance 54

Decline 159
Around 13.07 lakh shares were added in open
interest with decrease in price indicating short Unchanged 2
buildup was observed by market participants in Total 215
todays trade.
AD Ratio 0.34
On the options front volatility index has increased
in todays trade by around 1 %.

June 28, 2017 2

Sharekhan Daring Derivatives

Nifty option strikes OI Nifty option strikes prices

Px CE Px PE
CE PE Strike IV
450
9000000 14.30% 13.80% 16.00%
13.30% 400
8000000 14.00%
12.21% 11.98%
7000000
350
10.75% 10.60% 12.00%
6000000 300

Implied volatility
Open interest

Closing Price
10.00%
5000000 250

384.85
8.00%
4000000 200

283.25
6.00% 150
3000000

212.45

186.15
4.00%
3199425

3500850

3379800
5133450

7026225
2851425

8361975
1404150

5387700

2871450
2000000 100
657225

831600

213600

194475

118.1

40.75

92.15
2.95

7.85

29.3

9.25

0.95

0.75
1000000 2.00% 50

2.8
0 0.00% 0
9300

9400

9500

9600

9700

9800

9900

9300

9400

9500

9600

9700

9800

9900
Strike price Strike price

Derivative Activity
Most active index call option Most active index put options
Strike Curr. IV Pre. IV (%) Curr. OI OI Chg IV Chg Strike Curr. IV Pre. IV (%) Curr. OI OI Chg IV Chg
(%) % % (%) % %
9600 C 13.42% 9.36% 7026225 35.60% 43.32% 9500 P 12.62% 10.52% 5133450 -11.79% 19.97%
9700 C 16.54% 9.89% 8361975 1.43% 67.28% 9400 P 15.19% 12.22% 3500850 9.41% 24.31%
9500 C 12.06% 9.93% 3379800 107.55% 21.40% 9600 P 11.00% 8.87% 2851425 -41.93% 23.97%
9800 C 19.33% 10.80% 5387700 -2.18% 78.89% 9300 P 18.93% 14.37% 3199425 -8.31% 31.72%
9900 C 24.04% 12.53% 2871450 -10.94% 91.87% 9200 P 22.79% 16.69% 3006475 -3.23% 36.51%
Average IV 17.08% 10.50% - - 62.58% Average IV 16.10% 12.53% - - 28.48%

Most active stock call options Most active stock put options
Strike Curr. Pre. Curr. OI Chg IV Chg Strike Curr. Pre. Curr. OI Chg IV Chg
IV (%) IV (%) OI % % IV (%) IV (%) OI % %
AXISBANK 510 C 39.98% 24.46% 1324800 16.58% 63.48% YESBANK 1400 P 34.78% 25.15% 333200 -10.44% 38.32%
SUNPHARMA 560 C 44.03% 28.36% 1511300 -3.05% 55.23% SBIN 280 P 34.58% 25.91% 2712000 -8.87% 33.44%
TATAMOTORS 450 C 37.30% 27.83% 1276500 17.22% 34.04% TATAMOTORS 440 P 32.75% 26.77% 544500 -21.26% 22.34%
RELIANCE 1440 C 29.10% 18.50% 890500 -7.43% 57.28% MARUTI 7100 P 22.60% 16.19% 92550 -10.71% 39.62%
SBIN 290 C 40.67% 23.80% 4863000 47.36% 0.00% TATASTEEL 500 P 38.74% 25.21% 1864000 4.72% 53.66%

Most active stock futures (Current Month) FIIs F&O activity (in cr) June 23, 2017
Scrips Curr. CoC Pre. CoC Curr. OI Chg. OI % Buy Sell Difference
INFY 26.58% 14.83% 22087000 -27.99% INDEX FUTURES 3384.03 2485.59 898.45
SUNPHARMA 1.68% 3.36% 18533900 -36.48% INDEX OPTIONS 46089.15 45545.65 543.50
ICICIBANK 44.37% -3.13% 71117750 -27.07% STOCK FUTURES 15266.25 15516.84 -250.59
SBIN 16.32% 16.84% 54426000 -16.82% STOCK OPTIONS 7910.03 8031.90 -121.87
HDFCBANK -42.68% -16.31% 14592500 -25.54% TOTAL 72649.46 71579.97 1069.49

Derivative Calls
Date Scrips Buy/Sell Initiation Range Stoploss Target Remark
27-Jun-2016 NIFTY PE 9600 BUY 56 34.40 85.00-105.00 BOOKED PROFIT @ 75
27-Jun-2016 NIFTY PE 9550 BUY 44.5 27.40 70.00-80.00 BOOKED PROFIT @ 61

June 28, 2017 3

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