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Technical & Derivatives Report

November 25, 2016

Technical & Derivatives Report November 25, 2016 Sensex (25860) / Nifty (7965) A recent uptick in

Sensex (25860) / Nifty (7965)

A recent uptick in US Dollar index has been adversely affecting our equity markets and as a result, yesterday our benchmark index opened on a soft note. Subsequently, the index managed to give a gradual recovery post the initial trades. However, once again, the expiry factor played out heavily in the last half an hour of trade during which the index corrected sharply to close well below the 8000 mark.

Now, due to yesterday’s price action, the ‘RSI-Smoothened’ oscillator on daily chart has dropped to new low of 8.11. Although, it’s difficult to time the bounce, our conviction on expecting a small recovery has increased. We still believe that sooner or later the Nifty is likely to give a bounce towards 8150 – 8250 levels. Before that the intraday resistance zone is seen around 8024 – 8056; whereas, on the other hand, 7916 is likely to provide a strong support in the near term. Traders are repeatedly advised not to trade on the short side as the probable bounce could be much sharper.

Exhibit 1: Nifty Daily Chart

Technical & Derivatives Report November 25, 2016 Sensex (25860) / Nifty (7965) A recent uptick in

Key Levels

Support 1 – 7916

Resistance 1 – 8024

Support 2 – 7880

Resistance 2 – 8056

Nifty Bank Outlook - (18256)

On

the

F&O expiry day,

the Nifty

Bank

index opened

on

a

negative note and traded with negative bias throughout the session. The index lost another 1.54 percent over its previous session's close.

The Nifty Bank index continued with its negative momentum yesterday as the heavyweights continued to remain under pressure throughout the session. However, owing to the oversold momentum set ups, we continue to advise traders to remain light on positions on the index front and focus on stock specific moves. The intraday supports for the Nifty Bank index are placed around 18143 and 18040 whereas resistances are seen around 18415 and 18467.

Key Levels

Support 1 – 18143

Resistance 1 – 18415

Support 2 – 18040

Resistance 2 – 18467

Exhibit 2: Nifty Bank Daily Chart

Technical & Derivatives Report November 25, 2016 Sensex (25860) / Nifty (7965) A recent uptick in

Technical & Derivatives Report

November 25, 2016

Technical & Derivatives Report November 25, 2016 Comments  The Nifty futures open interest has decreased

Comments

  • The Nifty futures open interest has decreased by 30.01% BankNifty futures open interest has decreased by 29.85% as market closed at 7965.50 levels.

  • The Nifty December future closed with a premium of 47.60 against the premium of 31.40 points in last trading session. The January series closed at a premium of 79.45 points.

  • The Implied Volatility of at the money options has decreased from 18.24% to 15.88%. At the same time, the PCR-OI of Nifty has increased from 0.73 to 0.97 levels.

  • The total OI of the market is Rs. 1,85,069/- cr. and the stock futures OI is Rs. 60,864/- cr.

  • Few of the liquid counters where we have seen high cost of carry are GMRINFRA, HDFCBANK, TV18BRDCST, ADANIPOWER and NCC.

Nifty Vs OI

Technical & Derivatives Report November 25, 2016 Comments  The Nifty futures open interest has decreased

Views

OI Gainers

  • FIIs continue their selling streak in both cash market

SCRIP

OI

OI

PRICE

PRICE

segment and in Index Futures. They sold equities worth

CHG.

(%)

CHG. (%)

Rs. 2010 crores. While, in index futures, they sold to the

  • - -

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-

-

tune of Rs. 1563 with significant fall in open interest, due

 

to expiry yesterday.

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  • In Index options segment, FIIs bought marginally with fall in open interest. Being start of new series build-up is quite scattered in both call and put option. In call options, 8000-8500 strikes remained active and they also added good amount of positions. While, 7500-

 
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8000 put options added some build-up. Highest OI in December series in both call and put option is visible in

OI Losers

8000 strike.

 

OI

PRICE

  • Noverber series ended with rollovers being on the lower

 

SCRIP

OI

CHG. (%)

PRICE

CHG. (%)

side both in terms of percentage as well as open interest.

PFC

8742000

-55.06

127.10

-0.04

Most of the longs formed in last 2-3 series have been

PCJEWELLER

727500

-45.63

343.35

0.56

lighten up by FIIs, while mixed positions were formed in

CANBK

6504000

-35.63

306.90

0.39

last few trading sessions of November series. At current

PAGEIND

34300

-33.85

12496.05

-2.31

juncture, Nifty is light in terms of open interest and

CROMPGREAV

6192000

-33.51

75.05

2.32

traders should wait for any relevant build-up in either

NHPC

18144000

-32.67

26.50

1.34

direction before forming fresh trade in Index.

CEATLTD

805700

-32.57

1156.80

0.14

 

PETRONET

4090500

-31.29

371.35

-2.02

Historical Volatility

Put-Call Ratio

SCRIP

HV

SCRIP

PCR-OI

PCR-VOL

KOTAKBANK

28.50

NIFTY

0.97

0.79

TATAELXSI

59.53

 

BANKNIFTY

0.61

0.58

HINDZINC

57.22

RELIANCE

0.60

0.56

RELIANCE

22.72

 

SBIN

0.58

0.36

RELINFRA

65.02

HDFCBANK

0.76

0.50

Technical & Derivatives Report

November 25, 2016

Technical & Derivatives Report November 25, 2016 FII Statistics for November 24, 2016 Turnover on November

FII Statistics for November 24, 2016

Turnover on November 24, 2016

 

Open Interest

 

No. of

Turnover

Change

Detail

Buy

Sell

Net

Contracts

Value

(in Cr.)

 

Change

Instrument

Contracts

( in Cr. )

(%)

 

(%)

INDEX

 

INDEX

FUTURES

5569.98

7132.97

(1562.99)

137316

8564.24

(54.83)

FUTURES

587008

37624.38

53.42

INDEX

59860.35

59794.75

 

65.60

714969

42947.98

(45.88)

 

INDEX

OPTIONS

OPTIONS

9551052

622190.59

52.09

STOCK

22156.15

23308.97

(1152.82)

796464

46952.95

(18.97)

STOCK

FUTURES

FUTURES

1510982

92629.45

22.05

STOCK

3727.12

3688.57

 

38.55

3459

201.21

(97.29)

STOCK

OPTIONS

 

OPTIONS

442790

30893.09

14.48

TOTAL

91313.59

93925.25

(2611.66)

1652208

98666.38

(39.60)

TOTAL

12091832

783337.51

46.01

 

Nifty Spot = 7965.50

 

Lot Size = 75

 

Bull-Call Spreads

 

Bear-Put Spreads

 

Action

Strike

Price

Risk

Reward

BEP

Action

Strike

Price

Risk

Reward

BEP

Buy

8100

109.25

 

Buy

8100

111.50

 
  • 40.40 59.60

8140.40

 
  • 28.70 71.30

8071.30

Sell

8200

68.85

Sell

8000

82.80

Buy

8100

109.25

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Buy

8100

111.50

 

Sell

8300

40.50

  • 68.75 131.25

8168.75

Sell

7900

  • 50.05 149.95

61.45

8049.95

Buy

8200

68.85

Buy

8000

82.80

 
  • 28.35 71.65

8228.35

  • 21.35 78.65

7978.65

Sell

8300

40.50

Sell

7900

61.45

Technical & Derivatives Report November 25, 2016 FII Statistics for November 24, 2016 Turnover on November
Technical & Derivatives Report November 25, 2016 FII Statistics for November 24, 2016 Turnover on November

Note: Above mentioned Bullish or Bearish Spreads in Nifty (December Series) are given as an information and not as a recommendation.

Nifty Put-Call Analysis

Technical & Derivatives Report November 25, 2016 FII Statistics for November 24, 2016 Turnover on November

Technical & Derivatives Report

November 25, 2016

Daily Pivot Levels for Nifty Constituents

Technical & Derivatives Report November 25, 2016 Daily Pivot Levels for Nifty Constituents Scrips S2 S1
Scrips S2 S1 PIVOT R1 R2 ACC 1,260 1,293 1,314 1,346 1,368 ADANIPORTS 252 255 259
Scrips
S2
S1
PIVOT
R1
R2
ACC
1,260
1,293
1,314
1,346
1,368
ADANIPORTS
252
255
259
262
267
AMBUJACEM
189
195
201
207
213
ASIANPAINT
911
923
944
956
978
AUROPHARMA
690
700
715
725
740
AXISBANK
458
463
471
477
485
BAJAJ-AUTO
2,505
2,568
2,613
2,676
2,721
BANKBARODA
155
161
165
171
175
BHEL
122
123
125
126
127
BPCL
619
628
636
646
654
BHARTIARTL
296
299
302
305
308
INFRATEL
352
356
360
364
368
BOSCH
18,190
18,458
18,896
19,164
19,602
CIPLA
539
546
552
560
566
COALINDIA
295
298
301
304
307
DRREDDY
3,052
3,082
3,115
3,145
3,179
EICHERMOT
19,898
20,127
20,451
20,680
21,004
GAIL
394
398
405
410
417
GRASIM
794
802
811
819
828
HCLTECH
745
756
764
776
784
HDFCBANK
1,146
1,156
1,171
1,181
1,196
HDFC
1,202
1,210
1,220
1,228
1,238
HEROMOTOCO
2,937
2,994
3,031
3,089
3,126
HINDALCO
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169
175
178
184
187
HINDUNILVR
813
819
827
833
841
ICICIBANK
255
257
260
263
266
IDEA
70
71
72
73
74
INDUSINDBK
1,018
1,031
1,050
1,063
1,081
INFY
915
922
931
939
948
ITC
220
222
224
225
227
KOTAKBANK
723
733
746
756
769
LT
1,326
1,338
1,352
1,364
1,378
LUPIN
1,427
1,443
1,468
1,484
1,510
M&M
1,132
1,148
1,174
1,190
1,216
MARUTI
4,759
4,795
4,839
4,875
4,919
NTPC
153
155
157
160
162
ONGC
271
274
278
281
285
POWERGRID
177
181
184
188
191
RELIANCE
968
978
992
1,001
1,015
SBIN
251
257
260
265
268
SUNPHARMA
668
675
687
695
707
TCS
2,107
2,148
2,178
2,218
2,248
TATAMTRDVR
272
279
291
298
309
TATAMOTORS
440
446
456
463
473
TATAPOWER
68
69
69
70
71
TATASTEEL
380
389
395
404
410
TECHM
443
451
458
465
472
ULTRACEMCO
3,365
3,424
3,465
3,524
3,565
WIPRO
442
447
451
455
459
YESBANK
1,099
1,109
1,120
1,130
1,140
ZEEL
423
431
445
453
467

Technical & Derivatives Report

November 25, 2016

Technical & Derivatives Report November 25, 2016 Research Team Tel: 022 - 39357800 For Technical Queries

Research Team Tel: 022 - 39357800

For Technical Queries

For Derivatives Queries

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