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Daily Derivatives

January 29, 2016

21.7
22.6
22.7
23.2
23.1
23.7
24.3
24.8
23.6
24.4
23.9
23.6
24.0
24.0
27.9
19.7

8000
7900
7800
7700
7600
7500
7400
7300
7200

6-Jan
7-Jan
8-Jan
11-Jan
12-Jan
13-Jan
14-Jan
15-Jan
18-Jan
19-Jan
20-Jan
21-Jan
22-Jan
25-Jan
27-Jan
28-Jan

OI In million

30
25
20
15
10
5
0

Nifty Futures OI

Nifty Fut Price (RHS)

Nifty Options OI Distribution
Nifty Call Put Concentration (FEB)

35
30

8.9

10.8

21.5

24.4

31.0
10.5

18.1

32.4

32.2

24.2

17.2

32.8
9.8

11.8
7.2

0

6.7

5

4.8

10

23.9

28.4

15
8.4

OI in Lacs

25
20

January 29, 2016

Nifty Snapshot & Pivot Points

Nifty Futures – OI vs. Price

Spot

Fut

COC

Future OI

PCR OI

PCR Vol

ATM IV

Current

7425

7448

3.88

19740900

0.88

1.02

17.55

Previous

7438

7433

-21.35

27934650

0.83

0.89

18.12

-0.18%

0.21%

-

-29.33%

-

-

-

Change (%)

Pivot levels (FEB)
Nifty future

S3

S2

S1

Piv

R1

R2

R3

7357

7405

7427

7453

7475

7501

7549

Source: NSE, Seediff, ICICIdirect.com Research

F&O Highlights
• The Nifty traded in a tight band amid very high volatility and finally ended the
January series expiry 11 points lower. Nifty February future started with an OI of
1.97 crore with a 24 point premium. India VIX fell 6.1% ending at 17.9
• Nifty rolls were at 70.61%, in line with 3M average of 70.21%. Market wide
rollover was at 82.48% vs. in line with 3M average of 80.78%
• Highest rollover was observed in IDFC (95%), Jain Irrigation (93%), Divis Lab
(93%), Tata Global (93%) and Bharat Forge (92%). Rollover activities were
marginally low in TVS Motors, Hexaware, Uco Bank, Voltas and MindTree
• FIIs sold | 962 crore while DIIs bought | 394 crore in the cash segment. FIIs sold
| 1598 crore in index futures and | 798 crore in index options. In stock futures,
they bought | 387 crore
• The highest Put base for the February series is at the 7200 strike with 33 lakh
shares while the highest Call base is at the 7500 strike with 32 lakh shares
Index Outlook

• Nifty Future: The Nifty is likely to open negative on the back of mixed global

Active Nifty Strike
Call (%)

Put (%)

7200

OI chg %
109.24

IV (%)
19.92

OI chg %
30.24

IV (%)
17.59

7300

85.46

18.82

28.11

16.55

7400

50.46

18.19

51.71

15.60

7500

39.92

17.45

21.95

14.25

7600

27.35

16.59

39.50

12.58

F&O Turnover

90
80
70
60

FII Activities

37.34
26.77 Intraday Recommendation*
i) TVS Motors (TVSSUZ)

(In | crore)

Segment

Buy

Sell

Net

ii) Yes Bank (YESBAN)

Buy TVSSUZ FEB Fut at 297.00-297.50

Sell YESBAN FEB Fut at 669.00-671.50
View: Bearish

OI (lots)

%Chg

View: Bullish

3335

4933

-1598

196199

-45.1

Strategy: Buy Future

Strategy: Sell Future

Index options

31490

32288

-798

796049

-51.4

Target 1: 298.9

Target 1: 666 Target 2: 662.1

-15.3

Stop Loss: 295.5

Stop Loss: 676.1

Market Lot: 2000
CMP : 294.5
Source: Company, ICICIdirect.com Research
*Call initiation message will be broadcast on iclick-2-gain”

Market Lot: 700

Stock options
Total

14933

14547

387

1013459

1931

1802

129

258

-99.7

51690

53570

-1880

2005965

-39.1

Research Analysts
Amit Gupta
amit.gup@icicisecurities.com
Nandish Patel
nandish.patel@icicisecurities.com

ICICI Securities Ltd. | Retail Equity Research

Oil_Gas

3 M AVG

Index futures
Stock futures

Capital_Goods

22168.77
535154

Power

4,65,017
1,01,48,996

Technology

Stock Options
F&O Total

Rollover (in %)

Automobile

36.39

Banking

417043

Fertilisers

76,47,814

Textile

-7.75
-2.92

Metals

25541.54
70400.75

FMCG

4,87,787
15,48,378

Finance

Stock Futures
Index Options

Cement

Index Futures

Pharma

%Chg

Media

Turnover (Cr)

Realty

50

No. of Contracts

Infrastructure

Instrument

Sectoral Rollover

100

Telecom

Strike

cues. It is likely to trade in the range of 7350-7480. Buy Nifty in the range of
7400-7410 for targets of 7440-7460, stop loss: 7385
• Bank Nifty Future: Bank Nifty rollover was in line with expectations. We saw
broader distribution of OI in the index. The 16000 Call strike still has sizeable OI
with high OI in 15000 and 15500 strike Puts. Sell Bank Nifty in the range of
15500-15550, targets: 15400-15200, stop loss: 15610
3M average rolls vs. 1M rollover

83.37
86.5
85.16
86.4
82.70
86.2
81.60
85.8
83.59
85.4
83.09
84.9
78.96
84.6
79.84
84.4
81.67
83.9
78.20
82.9
79.72
80.5
78.54
78.5
75.44
77.9
76.10
77.7
77.42
77.7
77.05
76.3
75.98
76.2

Puts

Rollover %

Calls

Target 2: 301.90

CMP : 673

Strategy Follow-up
Date
28-Jan-16
28-Jan-16

Stock
ITC
VOLTAS

View
Buy
Sell

Strategy
Long Fut
Short Fut

Reco
314.75
279.00

Target
319.50
276.90

SL
312.50
281.30

P&L
7600
-

Comment
Tgt Achieved
Not Initiated

| Retail Equity Research Page 2 . It is advisable to allocate equal amount to each recommendation Allocation Max allocation per stock Number of Calls Frontline Stocks Mid-cap stocks Daily Derivatives 5% Duration 2-3% 2 Stocks 1% 2-3% Weekly Derivatives Intraday 10% 3-5% 2 Stocks 3-5% 5-7% 1 Week High OI stock 5% 2-3% 2-3 Stocks 5-7% 7-10% 1-2 Weeks Products Pankaj Pandey Return Objective Product wise allocation Monthly Derivatives 15% 3-5% 4-7 Stocks 7-10% 10-15% 1 Month Global Derivatives 5% 2-3% 1-2 index strategy - - 1 Month Stock Trader/ Stock in Focus 15% 2-3% 5-6 Stocks 7-10% 10-15% 3 Months Alpha Trader 5% 2-3% 2-3 Alpha strategy 5% - 3 Months Volatility Insights 5% 2-3% 1-2 Strategy 8-10% 10-15% 1-2 Month Arbitrage Opportunity 5% 2-3% 2-3 Stocks > 2.5% Event Based Positional / Daily Futures 10% 2-3% 8-12 Stocks 1-3% 2-5% 1-14 days Index option & Strategy 10% 3-4% 2-5 Nifty 2-3% - 1-14 days Stock option & Strategy 5% 3-4% 2-8 Stocks - 3-5% 1-14 days Currency Futures 5% 3-4% 3-5 Calls - - Intraday Head – Research pankaj. MIDC Andheri (East).com Derivatives Desk ICICI Securities Limited. • Within each product segment it is advisable to allocate equal amount to each recommendation. Mumbai – 400 093 research@icicidirect. • Please avoid allocating the entire trading corpus to a single stock or a single product segment. Akruti Trade Centre.5% >2.pandey@icicisecurities.com ICICIdirect.Trading Portfolio allocation • It is recommended to spread out the trading corpus in a proportionate manner between the various derivatives research products. Road No 7. 1st Floor. • For example: The ‘Daily Derivatives’ product carries 2 intraday recommendations.com ICICI Securities Ltd.

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