For February 06, 2015 A Sharekhan derivative research newsletter Punter’s Call Market upside down Derivatives summary z z z z z z Nifty (February) futures closed at a premium of 39.60 points versus a premium of 52.65 points in the previous trading session. The total open interest in the market was Rs211,913 crore and Rs549 crore were added in open interest. Nifty call options added 1.36 lakh shares in open interest whereas put options added 16.74 lakh shares in open interest. Jubilant FoodWorks (14%), Aurobindo Pharma (10%), Tata Power (8%), Divis Laboratories (6%) and UCO Bank (6%) were the top open interest gainers in the market. Wockhardt (-23%), Coal India (-14%), Shriram Transport Finance Company (-12%), UPL (-10%) and Glenmark Pharmaceuticals (-10%) were the top open interest gainers in the market. The overall volume in futures & options currently stand at 82.24 lakh contracts with a turnover of Rs208,617 crore whereas the volume in Nifty futures was significantly higher compared with the previous trading session. Market commentary Tracing Singapore, the Nifty and other global indices, back home in the Indian markets, witnessed a flat to positive opening. After a flat opening further Nifty continued to march upwards and made a new high for the market. During mid afternoon the market showed sharp upside due to gains in large-cap stocks like BPCL, HCL Technologies, Wipro, Infosys and TCS along with other index components. During the last hour of trade, the market took a sudden u-turn from the day’s high and nosedived due to a sudden broadbased selling across the market and sectorial indices. Further, negative opening of the European markets pushed Nifty towards a fresh intra-day low. With all possible pain, the Nifty shut shop lower at 8751.30 with a loss of around 0.40%. Nifty F&O snapshot Current Previous Change % 8751.3 8776.35 -0.29% 7.54% 9.58% -21.26% OI 25624600 26019950 -1.52% Vol 14744175 10177075 44.88% PCR (OI) 0.89 0.86 3.49% PCR (VOL) 0.97 0.92 5.43% Avg. Call IV 17.20% 16.99% 1.23% Avg. Put IV 18.47% 18.37% 0.57% 20.62 20.05 2.84% Current Previous % Change 61.76 61.67 0.15% Nifty (Curr. MTH) Nifty CoC India VIX Currency watch USD vs INR Looking Trendy Monthly view on Nifty Lower Range* Higher Range* 8655 9346 *On a closing basis Daily view on Nifty 5-day VWAP* Lower Range Higher Range 8830 8655 8900 * Volume-weighted average price (VWAP) is the ratio of the value traded to total volume traded over a particular time horizon. It is a measure of the average price a stock traded at over the trading horizon. A lower range and higher range for the day is normally defined by the support and resistance level respectively. Advance 29 Around 3.95 lakh shares were shed in open interest with a decrease in price, indicating long unwinding was observed by the market participants in today’s trade. Decline 119 On the options front, the volatility index has increased marginally by 200-300 basis points. Total Daily view z z Unchanged AD Ratio visit us at sharekhan.com 3 151 0.24 Daring Derivatives — February 06, 2015 — 1 For Private Circulation only Advance / Decline ratio in futures Nifty option strikes OI Nifty option strikes prices Derivative Activity Most active index call options Most active index put options Strike Curr. IV Pre. IV Curr. OI Chg OI % Chg IV % Strike Curr. IV 9000 C 16.95% 16.81% 5082500 Pre. IV Curr. OI Chg OI % -5.44% 0.83% 8600 P 18.52% 18.49% 2698900 8900 C 17.26% 16.87% 9100 C 17.02% 16.78% 3288275 2.78% 2.30% 8700 P 17.90% 17.86% 2722825 7.02% 0.21% 3057550 1.29% 0.00% 8500 P 19.13% 18.93% 2977375 -0.31% 1.10% 8800 C 17.53% 17.49% 9200 C 17.24% 17.01% 2773975 9.65% 0.00% 8800 P 17.16% 17.09% 2412650 2.86% 0.42% 3301700 -1.76% 1.39% 8400 P 19.63% 19.45% 2181650 16.51% 0.93% Average IV 17.20% 16.99% - - 1.23% Average IV 18.47% 18.37% - - 0.57% Most active stock call options Curr. Pre. Curr. OI IV (%) IV (%) OI Chg % Strike IV Chg % Strike Chg IV % 6.12% 0.15% Most active stock put options Curr. Pre. Curr. OI IV (%) IV (%) OI Chg % IV Chg % INFY 2300 C 23.53% 25.29% 169500 -3.28% -6.96% INFY 2100 P 24.08% 24.65% 129000 20.28% -2.31% ICICIBANK 380 C 40.45% 37.77% 2047500 7.06% 7.11% ALBK 105 P 50.71% 54.70% 270000 159.62% -7.29% ALBK 120 C 49.59% 54.20% 804000 65.43% -8.51% TATAMOTORS 580 P 39.84% 40.14% 475500 69.22% -0.76% UNITECH 20 C 84.75% 72.26% 15606000 12.89% 17.29% AXISBANK 570 P 38.45% 39.99% 201000 29.26% -3.85% RELIANCE 960 C 27.20% 27.15% 6.75% 0.18% RCOM 70 P 54.37% 52.39% 706000 105.23% 3.78% 688250 Most active stock futures (Current Month) Scrips FIIs’ F&O activity (in cr) Feb 06, 2015 Curr. CoC Pre. CoC Curr. OI Chg. OI % Buy Sell Difference AXISBANK -3.52% 7.24% 27044000 -5.11% INDEX FUTURES 1430.16 1209.63 220.53 HDFCBANK 8.71% 8.84% 43932000 -0.52% INDEX OPTIONS 9982.27 9696.90 285.37 SBIN 8.84% 12.18% 73437500 -2.87% STOCK FUTURES 3224.88 4101.83 -876.95 TATAMOTORS 11.97% 12.08% 21840000 3.53% STOCK OPTIONS ICICIBANK 11.12% 10.13% 72397500 2.32% TOTAL 1866.78 1862.82 3.97 16504.09 16871.17 -367.08 Derivative Calls Date Scrips Buy/Sell Initiation Range Stoploss Target Remark 5-Feb-15 NIfty 8900 CE Buy 95.50 68.40 140.00 Booked Profit @ 105.05 4-Feb-15 Tatamotors 640 CE Buy 9.30 0.01® 14.00-16.00 Exit @ 6.10 2 — Daring Derivatives — February 06, 2015 visit us at sharekhan.com For Private Circulation only Disclaimer This document has been prepared by Sharekhan Ltd. (SHAREKHAN) and is intended for use only by the person or entity to which it is addressed to. 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