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

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


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.

the same may be ignored and brought to the attention of the sender. This report is not directed to. HDFC Securities Ltd and other group companies. investment banking or merchant banking. including but not restricted to. completeness or correctness. Opp. associates. its directors. hereby certify that all of the views expressed in this research report accurately reflect our views about the subject issuer(s) or securities. Office Floor 8. This document may not be reproduced. HDFC Securities or its analysts did not receive any compensation or other benefits from the companies mentioned in the report or third party in connection with preparation of the research report. have a long or short position in. reproducing or for distribution to or use by. Further Research Analyst or his relative or HDFC Securities Ltd. RETAIL RESEARCH Page |5 .hdfcsec. which could have an adverse effect on their value or price. and should not be construed as an offer or solicitation of an offer. analysts or employees do not take any responsibility. PCG) of HDFC Securities Ltd. changes in the currency rates. (a) from time to time. The information and opinions contained herein have been compiled or arrived at. (MBA). or will be directly or indirectly related to the specific recommendation(s) or view(s) in this report. HDFC Securities and its affiliated company(ies). fluctuation in the prices of shares and bonds. or its associate does not have any material conflict of interest. is made as to its accuracy. investment banking or brokerage service transactions. of the losses or the damages sustained due to the investments made or any action taken on basis of this report. INH000002475. We also certify that no part of our compensation was. Research entity has not been engaged in market making activity for the subject company. or the income derived from them. the values of which are influenced by foreign currencies effectively assume currency risk. or its Associate may have beneficial ownership of 1% or more in the subject company at the end of the month immediately preceding the date of publication of the Research Email: hdfcsecretailresearch@hdfcsec. especially. printing. Any holding in stock – No Disclaimer: This report has been prepared by HDFC Securities Ltd and is meant for sole use by the recipient and not for circulation. financial or otherwise. Research Analyst or his/her relative or HDFC Securities Ltd. investors in securities such as ADRs. Disclosure: We /I. Compensation of our Research Analysts is not based on any specific merchant banking. or perform broking. any company mentioned in this mail and/or its attachments. "Alpha". wherever mentioned. or may make sell or purchase or other deals in these securities from time to time or may deal in other securities of the companies / organizations described in this report. distributed or published for any purposes without prior written approval of HDFC Securities Ltd. reproduction. In addition. Accordingly. is. (Subash Gangadharan). neither HDFC Securities nor Research Analysts have any material conflict of interest at the time of publication of this report. to buy or sell any securities or other financial instruments. The views. Such information has not been independently verified and no guaranty. It should not be considered to be taken as an offer to sell or a solicitation to buy any security.gangadharan@hdfcsec. HDFC Securities Ltd.B. publication. express or implied. its directors. This report has been prepared by the Retail Research team of HDFC Securities Ltd. entry prices and/or other parameters mentioned in this document may or may not match or may be contrary with those of the other Research teams (Institutional. Also Research Analyst or his relative or HDFC Securities Ltd. If this report is inadvertently send or has reached any individual in such country. HDFC Securities may have issued other reports that are inconsistent with and reach different conclusion from the information presented in this HDFC Securities Ltd. estimates. All such information and opinions are subject to change without notice. their directors and employees may. corporate finance. HDFC Securities or its associates might have received any compensation from the companies mentioned in the report during the period preceding twelve months from the date of this report for services in respect of managing or co-managing public offerings. We have not received any compensation/benefits from the subject company or third party in connection with the Research Report. securities and financial instruments dealt in the report. availability or use would be contrary to law or regulation or what would subject HDFC Securities Ltd or its affiliates to any registration or licensing requirement within such jurisdiction. This document is for information purposes only. director or employee of the subject company. HDFC Securities or its associates might have managed or co-managed public offering of securities for the subject company or might have been mandated by the subject company for any other assignment in the past twelve months. downloading. Descriptions of any company or companies or their securities mentioned herein are not intended to be complete and this document is not. or intended for display. any person or entity who is a citizen or resident or located in any locality. country or other jurisdiction where such distribution. HDFC Securities Ltd may from time to time solicit from. does not have any financial interest in the subject company. authors and the names subscribed to this report. or other services for. etc. target price. state. and buy or sell the securities of the company(ies) mentioned herein or (b) be engaged in any other transaction involving such securities and earn brokerage or other compensation or act as a market maker in the financial instruments of the company(ies) discussed herein or act as an advisor or lender/borrower to such company(ies) or may have any other potential conflict of interests with respect to any recommendation and other related information and HDFC securities Limited. Kanjurmarg (East). is a SEBI Registered Research Analyst having registration no. Foreign currencies denominated securities. Research analyst has not served as an officer. I Think Techno Campus. Mumbai 400 042 Phone: (022) 3075 3400 Fax: (022) 2496 5066 Website: www. are subject to exchange rate fluctuations. brokerage services or other advisory service in a merger or specific transaction in the normal course of business. USA. employees may have various positions in any of the stocks. RETAIL RESEARCH Analyst: Subash Gangadharan (subash. representation of warranty. opinions. diminution in the NAVs. Near Kanjurmarg Station. ratings. Crompton Greaves. based upon information obtained in good faith from sources believed to be reliable. Building . reduction in the dividend or income.