RETAIL RESEARCH 23 Feb 2017

Weekly Options Report – For the week ended 22 Feb 2017

Weekly Perspective – This report examines the options data on a weekly basis. It analyzes the changes in PCR, IV, Open Interest in Nifty and
Stock options trying to identify pockets of strengths and weaknesses in the process.

Options Open Interest Activity – Overall

As on 220217 (No. of shares (‘000s) As on 150217 (No. of shares (‘000s) % Change W-o-W

Type of Call Put
Call Option Put Option Total Call Option Put Option Total Total
Option Option Option
Nifty
84,837 1,00,021 1,84,858 86,142 87,608 1,73,750 -1.51 14.17 6.39
Option
Stock
11,85,153 5,94,094 17,79,247 11,69,270 5,24,432 16,93,702 1.36 13.28 5.05
Option
Total
12,69,990 6,94,115 19,64,105 12,55,412 6,12,040 18,67,452 1.16 13.41 5.18
Option

The week ended Feb 22, 2016 saw the Nifty rallying smartly from a low of 8719. The Nifty gained a healthy 1.3% W-o-W. Total option OI
increased by 5.18% W-o-W indicating modest market participation. Examining the table above, we notice that the buildup of positions was
more in the Nifty options segment. While the stock option OI increased by 5.05% W-o-W, the Nifty option OI rose by 6.39% over the same
period. This indicates that traders were more willing to bet on the index rather than specific stocks.

The table below shows the stock options that witnessed the maximum increase in OI W-o-W. Bharti Airtel 380 Call and Powergrid 200 Puts
stole the show as there was heavy build up of OI in both of them. Combined with the rise in the option prices, it indicates heavy Call buying
in Bharti Airtel and Put buying in Powergrid. Call buying was seen in Bharti Airtel on the back of news that it had acquired a telecom firm.
LT 1460 and HPCL 480 Calls also witnessed heavy OI build up this week along with a rise in their option prices indicating call buying.

Stock Options with the biggest OI build up W-o-W

Option Price Price% spot spot% volume oi oi% iv iv%

BAIRTEL 380 C Mar 11.60 45.00 366.25 0.10 944 508300 9866.70 38.30 10.80

PGRID 200 P Mar 5.40 18.70 199.15 -1.00 65 304000 985.70 20.20 -1.10

TATASTEEL 400 C Mar 85.85 15.40 485.75 3.40 10 130000 983.30 26.20 -6.80

TATASTEEL 490 P Mar 18.95 -38.60 485.75 3.40 106 196000 9700.00 27.80 -3.30

LT 1460 C Mar 57.45 8.40 1486.60 1.10 26 16000 966.70 23.50 2.50

ASHOKLEY 92.5 C Mar 3.20 -36.60 90.55 -3.90 50 371000 960.00 36.30 3.50

HINDPETRO 480 C Mar 70.65 7.60 571.00 7.70 16 44100 950.00 45.60 -1.00

BIOCON 1200 C Mar 11.00 48.60 1111.75 1.50 14 12600 950.00 28.60 3.70

MARUTI 6200 C Mar 103.50 -13.80 6031.00 0.10 289 46050 95.50 23.20 0.10

APORTS 310 C Mar 9.20 -7.50 297.25 -0.50 83 287500 945.50 39.20 3.80

RETAIL RESEARCH Page |1

84 8.39 8.950 32.800 47.867 -19.700 28.56 8.35 8.017 -11.800 75.300 -20.278 26.767 80. In the put segment. RETAIL RESEARCH Page |2 .587 -12. maximum build up was seen in the 8850 and 8900 strikes.000 95.91 8. Unwinding was seen in the 8700-8900 call strikes as the markets rallied.700 61. RETAIL RESEARCH Nifty Index Option Activity Active Near Month Strikes Based on OI Addition (In Contracts) – Strikes Call OI % chg Call OI Strikes Put OI % chg Put OI 9.500 67.25 Nifty OI Build Up across strikes In the call segment.882 -19.373 -20.173 31.43 8.08 Active Near Month Strikes Based on OI Unwinding (In Contracts) – Strikes Call OI % chg Call OI Strikes Put OI % chg Put OI 8.850 17.17 8.080 102. the highest OI build up was seen in the 9050 and 8950 call strikes (see the first table above).20 9.93 8.900 35.88 8. Maximum Put OI is currently being seen in the 8900 and 8700 put strikes (See the red bar in the chart above) indicating strong support at the 8900-8700 levels for the near term.800 51.465 223.900 49.050 21. Maximum call OI is currently being seen in the 9000 call strikes (See the blue bar in the chart above) indicating strong resistance at these levels.407 78.

05 in the previous week. RETAIL RESEARCH Derivative Sentiment and Volatility indicators Nifty Vs. The Nifty OI PCR climbed to 1. RETAIL RESEARCH Page |3 . a bullish view is implied. HV as on February 22. indicating more puts were built in the market. 2017 Volatility expectations did not change as the Nifty IV remained steady at 13%. Given that the OI PCR is now in an uptrend and not yet overbought. 2017 Nifty IV Vs. Nifty OI PCR as on February 22. The HV declined to 12% from 13% in the previous week indicating that options have become more expensive.18 from 1.

22 1.80 52. Selling strategies may not be more suitable in such cases.85 1.46 JETAIRWAYS 39.57 JINDALSTEL 59.59 -0.61 CADILAHC 40.00 0.95 86.73 21.57 1.76 1.42 RELIANCE 29.28 0.33 1.20 69.47 36. it could also imply that these options have become expensive and thus may not be suitable for buying.39 The above two tables’ show which options have become expensive and cheaper.62 1. RETAIL RESEARCH Page |4 .52 29.13 1. it could also imply that these options have become cheaper and thus may be suitable for buying.21 0.56 MCLEODRUSS 59.61 0. We believe that stocks like Jet Airways and Reliance could provide buying opportunities. On the other hand.04 -0. RETAIL RESEARCH Liquid Options that have become expensive W-o-W Stock IV HV Current IV/HV Last week IV/HV Diff in ratio MRF 65.97 0.87 2.41 TORNTPHARM 32.50 0.16 0. Selling strategies may be more suitable in such cases.57 0.04 0.43 1.05 0.97 1.83 0.52 1.57 26. On the other hand. Options that have become cheaper indicate there is a decline in trading interest in these options and there could be less activity in the near term.33 DRREDDY 30.53 44.80 52.94 0.91 1.31 -0. Stocks that could move further and therefore suitable for buying options are MRF.25 26.30 NMDC 54.60 1.52 BRITANNIA 24.17 -0.30 Liquid Options that have become cheaper W-o-W Stock IV HV Current IV/HV Last week IV/HV Diff in ratio CASTROLIND 28.61 37.98 1.98 -0.33 1.31 IBREALEST 59.55 0. Options that have become more expensive indicate there is more trading interest in these options and there could be more activity in the near term.31 1.25 19.61 -0.47 1.

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