February 28, 2020

Other Product offerings

Derivatives Strategy
Underlying Action
Ashok Leyland Buy
Derivatives Weekly View Britannia Sell

Reduced selling by FIIs holds key for market stability above Duration : 1-2 months
• PRODUCT 1
11000 Click here to see open calls

Quant (Derivatives) Pick

ICICI Securities – Retail Equity Research

Underlying Action
Hcl Tech Buy
Tech Mahindra Buy
United Breweries Buy
Duration : 1-3 months

PRODUCT
Click here to see• open calls 2

Research Analysts
Amit Gupta Raj Deepak Singh
amit.gup@icicisecurities.com rajdeepak.singh@icicisecurities.com

Nandish Patel Dipesh Dedhia

nandish.patel@icicisecurities.com dipesh.dedhia@icicisecurities.com
Weekly Recommendation

Weekly future recommendation:

Due to increased market volatility, we would be releasing the positional future recommendation during market hours.

Derivatives View
Recommendation follow up
Underlying View Strategy Reco Target Stoploss Profit/Loss Comment
SBI Bullish Long Futures 327 347 317 Not Initiated

ICICI Securities – Retail Equity Research

Source: Bloomberg, ICICI Direct Research
February 28, 2020 2
ICICI Securities Ltd. | Retail Equity Research
Reduced selling by FIIs holds key for market stability above
11000

• In line with global peers, the Nifty extended its bearish trend and moved below its sizeable Put base of 11500 last week. Broad based
selling was seen throughout the week with the Nifty falling more than 7%
• The Nifty started the March series with a higher OI base whereas rollovers were at 77%, which is much higher than its three months’
average rollover. During the week, the Nifty turned into a discount of 40 points, which is clearly pointing towards aggressive short
formation
• During the week, FIIs remained negative and increased their cash based selling. In the index future segment, they have an open
short exposure of 1.34 lakh contracts, which is likely to keep the index up move in check
• The rupee was showing resilience near 71.70 levels due to declining crude oil prices and profit booking in the Dollar Index. However,
last Friday, the US$INR future moved towards 72.5, which is likely to keep the mood of traders negative
• The 11000 strike Put holds the highest OI for coming week whereas positions are also seen in 10800 and 10700 strikes indicating a
move below 11000 would open more downsides

ICICI Securities – Retail Equity Research

Nifty options OI build-up
25
Call OI Put OI

20

15
OI in Lacs

10

0
11200 11300 11400 11500 11600 11700 11800 11900 12000

Source: Bloomberg, ICICI Direct Research

February 28, 2020 ICICI Securities Ltd. | Retail Equity Research 3
Bank Nifty: Choppiness likely to extend till index trades below
30000…
• The Bank Nifty breached its October 2019 levels as more and more countries were detected with the Coronavirus, which created
panic across global equities. Both private and PSU banks saw aggressive profit booking

• Despite the Dollar Index reverting from 100 levels, the rupee did not see any respite. It continued to depreciate and moved
towards 71.35 levels as selling emerged in equities amid cash based selling. This has triggered negative sentiment

• The Bank Nifty started the March series with a higher OI base along with a sharp fall in the rollover spread indicating short
rollover. We feel these short positions will dominate the market for a few days. Unless we see closure of these positions, the
choppiness will continue

• The IVs moved above 23 levels for the first time in the last year. The highest Put base for the coming week is at 29000. Below
this, additions are seen in 28500 strike. The Bank Nifty has slipped towards its sizeable Put base of 29000. A close below these
levels would open more downsides. However, Call OI blocks in 29500 and 30000 strikes are likely to keep the index up move in

ICICI Securities – Retail Equity Research

check
Bank Nifty options OI build-up
600
Put OI Call OI
500

400
OI in Thousands

300

200

100

0
28800

28900

29000

29100

29200

29300

29400

29500

29600

29700

29800

29900

30000
Source: Bloomberg, ICICI Direct Research
February 28, 2020 ICICI Securities Ltd. | Retail Equity Research 4
FII outflows resume as Coronavirus spreads outside China…

• Global markets witnessed one of the worst corrections in equities in more than two years as money started flowing back from risky
assets. FIIs have remained largely negative last week as concerns over global growth came in the limelight as the shutdown
continued in China while countries like South Korea, Italy, Iran and Japan announced a higher state of emergency

• Almost all emerging markets saw outflows with highest outflows seen from South Korea and Taiwan to the tune of $469 and $842
million, respectively. India also saw outflows of $436 million in the week while rest of the markets also saw outflows

• The Nifty witnessed its worst decline in a session since 2015 as it lost more than 415 points in Friday’s session eroding more than
1200 points from January highs. Despite continued buying from domestic funds, FIIs have remained negative. FIIs sold almost
| 5800 crore last week resulting in almost 800 points decline. In the F&O space also, they sold stock futures worth $460 million
suggesting fresh short additions while they sold index futures to the tune of $451 million last week

• Brent has almost tested its lows of 2018 around $50 as crude demand is likely to be hit due to the Chinese slowdown and virus

ICICI Securities – Retail Equity Research

spreading in the other countries. We do not expect Brent to witness any major upsides from current levels. It is likely to consolidate
before witnessing any meaningful reversal

FII/DII buying in equities (in $million)

FII DII
Date Index Fut Stock Fut Index Opt Cash Cash
24-Feb -173.0 -138.4 251.2 -139.9 72.1
25-Feb 205.4 -217.0 -182.6 -253.5 218.7
26-Feb -176.4 -206.5 243.2 -421.8 389.3
27-Feb -307.5 101.5 961.7 0.0 488.7

Source: Bloomberg, ICICI Direct Research

February 28, 2020 ICICI Securities Ltd. | Retail Equity Research 5
Rupee to remain in depreciation mode though move likely to be
slow…
• The rupee has finally moved beyond 72 as support from FIIs was
missing in equity markets. Considering risk-off trades seen in the
EM, DM currency vs. US$…
recent weeks, further weakness in the currency cannot be ruled cmp pvs week change % Status
Dollar index 98.51 99.26 -0.76 Depreciated
out Euro € 1.1001 1.0847 1.42 Appreciated
Japanese ¥ 109.59 111.61 -1.81 Appreciated
• Depreciation in Dollar index was seen last week. It fell to 98.1 from
UK £ 1.2887 1.2964 -0.59 Depreciated
almost 100 levels seen last week. This was mainly on account of Australian $ 0.6569 0.6627 -0.88 Depreciated
Canadian $ 1.3391 1.3225 1.26 Depreciated
the expectation of a rate cut by the US Fed in the March meeting Swiss franc 0.9677 0.9782 -1.07 Appreciated
• Safe haven buying in the US dollar has discontinued while Emerging currencies v/s US$
Indian rupee 72.09 71.60 0.69 Depreciated
Japanese Yen has moved to 108 levels from 112 and is expected Chinese yuan 7.00 7.03 -0.32 Appreciated
to reach 106 in coming weeks Brazilian real 4.49 4.39 2.34 Depreciated
Russian rubble 66.28 63.95 3.63 Depreciated
• The recent decline in crude oil prices is also reflecting the South african rand 15.48 15.01 3.19 Depreciated
Indonesian rupee 14025 13760 1.93 Depreciated
concerns about global growth S.korean won 1217 1209 0.67 Depreciated

ICICI Securities – Retail Equity Research

Brent moves to critical resistance of $60… US$INR options build-up
90

80 200 Call OI Put OI

70

In 000's
Brent Oil $/bl

150
60

50

US$INR Options OI
100
40

30 50
Sep-18

Sep-19
Dec-18

Dec-19
Feb-19

Feb-20
Jan-19

Jan-20
Oct-18

Oct-19
Jun-19
May-19

Jul-19

Aug-19
Nov-18

Nov-19
Mar-19

Apr-19

73.5
70.00

70.50

71.00

71.50

72.00

72.50

73.00
Source: Bloomberg, ICICI Direct Research
February 28, 2020 ICICI Securities Ltd. | Retail Equity Research 6
Forthcoming Events…

India:

• 02 March : PMI Data

Japan:

• 02 March : Vehicle Sales

• 03 March : Monetary Base
• 06 March : Leading Index

US:

• 02 March : PMI Data and Construction Spending's

ICICI Securities – Retail Equity Research

• 04 March : MBA Mortgage Applications, ADP Employment Change
• 05 March : Initial Jobless Claims and Continuing Claims, Factory Order and Durable Goods Orders
• 06 March : Trade Balance and Nonfarm payrolls
• 06 March : Wholesale Inventories

Euro zone:

• 02 March : Markit Eurozone Manufacturing PMI

• 03 March : CPI and PPI data
• 03 March : Unemployment rate
• 04 March : Retail Sales

Source: Bloomberg, ICICI Direct Research

February 28, 2020 ICICI Securities Ltd. | Retail Equity Research 7
Derivatives Strategies: Open recommendations

Date Scrip Action Recommendation

24-Feb-20 Ashok Leyland Buy Long/Short Strategy : Buy Ashok Leyland Mar 90 Call at 2.5-2.7 and Sell 95 Call at 1.5-1.7, Target: 95, (time frame: till March expiry)
25-Feb-20 Britannia Sell Positional Futures: Sell Britannia Mar futures 3040-3060, Target: 2810, Stop-loss: 3192, Time-frame: till February expiry

ICICI Securities – Retail Equity Research

Back

Source: Bloomberg, ICICI Direct Research

February 28, 2020 ICICI Securities Ltd. | Retail Equity Research 8
Quant Picks: Open recommendations…

Date Scrip Action Buy Price Target SL CMP %Ret Time Frame
23-Jan-20 HCL Tech Buy 582-594 690 535 539 -9.3% 3 months
23-Jan-20 Petronet LNG Buy 270-276 320 251 248 -10.1% 3 months
03-Feb-20 Nestle India Buy 15500-15900 18600 14200 15745 -0.3% 3 months
05-Feb-20 Chola Finance Buy 331-339 395 303 307 -9.4% 3 months
06-Feb-20 Tech Mahindra Buy 800-820 955 725 746 -9.0% 3 months
06-Feb-20 United Breweries Buy 1305-1335 1550 1200 1245 -6.7% 3 months
19-Feb-20 Manappuram Finance Buy 171-174 204 155 164 -5.9% 3 months
20-Feb-20 Torrent Power Buy 310-317 370 282 304 -4.2% 3 months

Yearly Quant Picks

ICICI Securities – Retail Equity Research

13-Dec-19 Wipro Buy 232-242 298 204 222 -8.1% 12 Months

Back
Source: NSE, Seediff, ICICI Direct Research
February 28, 2020 ICICI Securities Ltd. | Retail Equity Research 9
 Pankaj Pandey Head – Research pankaj.pandey@icicisecurities.com
ICICI Direct Research Desk,
ICICI Securities Limited,
1st Floor, Akruti Trade Centre,
Road no.7, MIDC
Andheri (East)
Mumbai – 400 093
research@icicidirect.com

ICICI Securities – Retail Equity Research

Source: Bloomberg, ICICI Direct Research
February 28, 2020 ICICI Securities Ltd. | Retail Equity Research 10
Disclaimer

We /I, Amit Gupta B.E, MBA (Finance), Raj Deepak Singh BE, MBA (Finance), Nandish Patel BCOM, Dipesh Dedhia BCOM, MBA (Finance), Research Analysts, authors and the names subscribed to this report, hereby certify that all of the views expressed in this
research report accurately reflect our views about the subject issuer(s) or securities. We also certify that no part of our compensation was, is, or will be directly or indirectly related to the specific recommendation(s) or view(s) in this report. Analysts are not registered
as research analysts by FINRA and are not associated persons of the ICICI Securities Inc. It is also confirmed that above mentioned Analysts of this report have not received any compensation from the companies mentioned in the report in the preceding twelve
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February 28, 2020 ICICI Securities Ltd. | Retail Equity Research 11