Weekly Derivatives Synopsis - Investmentz

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May 28, 2018 - UNIONBANK, and IDBI saw long build up, while PNB,. BANKBARODA, INDIANB, ORIENTBANK, and FEDERALBNK saw sh
Weekly Derivatives Synopsis 28-05-2018 PARTICULARS

Last Closing

Previous Week

% Change

NIFTY SPOT

10,605

10,596

0.1

NIFTY FUTURES

10,602

10,597

0.1

BANKNIFTY SPOT

26274

25876

1.5

BANKNIFTY FUTURES

26242

25878

1.4

NIFTY PCR

1.47

1.36

8.1

NIFTY PCR-VOL

1.07

0.92

16.3

NIFTY OI(In Mn)

24.7

25.5

-3.1

BANKNIFTY OI(In Mn)

3.22

3.03

6.3

INDIA VIX

12.64

14.15

-10.7

NIFTY HV

12.9

11.83

9.0

Nifty Basis Points

-2.8

0.6

-566.7

Derivatives: After early weakness, the Indian stock market managed to regain its losing steam, which helped Nifty close above the 10600 mark. Sentiment was boosted after Brent Crude nosedived nearly 2% to below $78/bbl and USDINR slipped 54bps at 67.80, thanks to favorable macro and micro factors. Finally, Nifty Futures closed flat (0.1% WoW) at 10602 with unwinding of 3.1% (WoW). Nifty VIX for the week closed on a weaker note at 12.64, down 10.7% (WoW) indicating drop in volatility. On the options front, Nifty Put call ratio currently stands at 1.47, up 8.1% (WoW). On the technical front, index on the daily scale has confirmed a bullish harami candlestick pattern, which indicates bullish reversal for the short term. Moreover, the stock has sustained above its 50DSMA as well as 100DSMA indicating strength. As long as the index sustained above 10500, an upmove until 10700-10750 can be possible. On the higher side, 10800 and 11000 will act as hurdle whereas 10500 will act as key support on downside. Going forward, global cues, quarterly results, FII flows, Dollar movement, and crude oil price movement will be the key market triggers.

10,700

,25

10,600

,20

10,500

,15

10,400

,10

10,300

,5

10,200

,0

Nifty OI

Nifty Future

,1.95 ,1.85 ,1.75 ,1.65 ,1.55 ,1.45 ,1.35 ,1.25 ,1.15 ,1.05 ,0.95

Nifty

PCR

Sectoral Activity

15

Sectors 10 Open Interest %

11400 11200 11000 10800 10600 10400 10200 10000 9800 9600

PCR

,30

11-Apr 13-Apr 15-Apr 17-Apr 19-Apr 21-Apr 23-Apr 25-Apr 27-Apr 29-Apr 1-May 3-May 5-May 7-May 9-May 11-May 13-May 15-May 17-May 19-May 21-May 23-May 25-May

,35

Nifty

10,900 10,800

Nifty Open Interest (Mn.)

Nifty Fut. Vs. Pcr

23-Apr 24-Apr 25-Apr 26-Apr 27-Apr 30-Apr 2-May 3-May 4-May 7-May 8-May 9-May 10-May 11-May 14-May 15-May 16-May 17-May 18-May 21-May 22-May 23-May 24-May 25-May

Nifty Future

Nifty OI Trend

1. Last week, Textile, FMCG, Cement, Oil & Gas, Media, and Metals stocks saw Open Interest addition. Top names included PAGEIND, ARVIND, BERGEPAINT, COLPAL, ACC, ULTRACEMCO, IGL, ONGC, TV18BRDCST, PVR, TATASTEEL, and HINDZINC. 2. Telecom and Realty stocks saw Open Interest unwinding on the back of short covering, especially in BHARTIARTL, TATACOMM, IDEA, and DLF.

5

Textile FMCG Cement Oil_Gas Media Metals Power Cap Goods Pharma Finance Infra Banking Auto Fertilisers Techo Realty Index Telecom

0

-5

Index Outlook

-10

ACMIIL | Retail Research | Weekly Derivatives Synopsis

3. In the Banking space, CANBK, SBINALBK, ANDHRABANK, UNIONBANK, and IDBI saw long build up, while PNB, BANKBARODA, INDIANB, ORIENTBANK, and FEDERALBNK saw short covering. 4. This week, some buying can be seen in M&M, COLPAL, POWERGRID, CIPLA, and CADILAHC, while selling pressure can be seen in ADANIPORTS and ACC. 5. From sector space, Banking, AutoMedia, Pharma, and Telecom stocks are likely to remain in focus in the forthcoming week. www.investmentz.com

Weekly Derivatives Synopsis 28-05-2018 Stocks to Watch Out (Weekly) Long Build-up Symbol

Long Unwinding

Price

OI Change

Price Change

Symbol

Price

OI Change

Price Change

297.20

56%

6%

RCOM

14.45

-14%

-6%

COLPAL

1,244.90

48%

2%

BEML

955.75

-13%

-7%

PIDILITIND

1,140.70

44%

5%

MGL

793.05

-8%

-8%

PAGEIND

24,600.05

42%

6%

RAMCOCEM

788.00

-8%

-6%

BERGEPAINT

Short Build-up Symbol

Short covering

Price

OI Change

Price Change

Symbol

Price

OI Change

Price Change

ACC

1,325.30

28%

-4%

NIITTECH

1,123.55

-24%

8%

IGL

257.90

25%

-3%

STAR

417.75

-19%

8%

ADANIPOWER

20.10

21%

-5%

NHPC

27.20

-15%

4%

ONGC

175.60

19%

-5%

SRTRANSFIN

1,502.25

-15%

6%

Weekly Recommendation CADILAHC (383.35) - The stock has seen Open Interest addition of 6.35% along with positive price action indicating long build up. The stock can be bought in the range of 374-378 with a stop loss of 359 on closing basis for a target of 395-400. Target: 400 Stop Loss: 359 ULTRACEMCO (3695.80) - The stock has seen Open Interest addition of 12.73% along with negative price action indicating short build up. Technically, the stock has broken previous support with volumes. The stock can be sold in the range of 3720-3760 with a stop loss of 3820 on closing basis for a target of 3620-3600. Target: 3600 Stop Loss: 3820

Nifty Options Snapshot 80

67

70 60

53

1

2

3

10200

10300

20

13

6

26

19 8

2

4 11000

19

40

34

10900

35 31

27

30

10

36

36

40

10100

10800

10700

10500 CE

10600

0

10400

Open Interest (In Lakh)

50

From the OI Concentration (May Series), maximum addition of Open Interest on the call options front exists at the strike prices of 10800 and 11000 (with nearly 52.96 lacs and 40.27 lacs shares outstanding respectively). This indicates these levels would act as the resistance zone on the upside. On the Put options front, maximum addition of Open Interest is at the strike prices of 10500 and 10400 (with nearly 67.37 lacs and 36.35 lacs shares outstanding respectively), indicating a stronger support zone on the downside.

PE

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Weekly Derivatives Synopsis 28-05-2018 FII Stats (5 Days Trend) (Rs. Cr.)

25-May

24-May

23-May

22-May

21-May

INDEX FUTURES

-1434

-30

-637

660

201

INDEX OPTIONS

-827

2692

2271

2867

-1359

STOCK FUTURES

-240

-244

-397

-145

118

STOCK OPTIONS

-62

33

-22

134

6

FII Open Interest Activity (Long& Short Ratio) Date

Index Fut: Long/Short

Index Option: Long /Short

Index put: long /Short

Stock Fut Long/Short

18-May

1.16

2.26

2.40

1.29

21-May

1.08

2.23

2.68

1.28

22-May

1.00

2.11

2.79

1.28

23-May

1.41

2.65

2.29

1.31

24-May

0.83

2.12

2.69

1.28

25-May

0.88

2.23

2.64

1.31

NIFTY VS INDIA VIX (Last 30 Days Trend) 10,900

,22 ,21

10,800

,20 ,19

10,700

,18 ,17 ,16 ,15

10,500

,14

10,400

,13

10,300

,11

VIX

Nifty Spot

10,600

,12 ,10 ,9

13-Apr 14-Apr 15-Apr 16-Apr 17-Apr 18-Apr 19-Apr 20-Apr 21-Apr 22-Apr 23-Apr 24-Apr 25-Apr 26-Apr 27-Apr 28-Apr 29-Apr 30-Apr 1-May 2-May 3-May 4-May 5-May 6-May 7-May 8-May 9-May 10-May 11-May 12-May 13-May 14-May 15-May 16-May 17-May 18-May 19-May 20-May 21-May 22-May 23-May 24-May 25-May

10,200

Nifty Spot

VIX

Observation: Any rise in India Vix this week would lead to either side movement in the index. As per the above chart, India Vix has strong support at around 12.00 and resistance stands at 15.00.

Weekly Advance Decline Ratio (Nifty Stocks) Advances

17

Declines

22

Unchanged

11

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