ICICIdirect MonthlyTrend

May 30, 2022
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Derivatives Strategy
Derivatives Monthly Outlook Underlying
Kotak Mahindra Bank
Action
Buy
Hindustan Unilever Buy
Nifty likely to head towards 17000 on back of short Duration : 1-2 months
• PRODUCT 1
covering… Quant (Derivatives) Pick

Underlying Action
MCX Buy
ICICI Securities – Retail Equity Research

BEL Buy
Duration : 1-3 months
• PRODUCT 2
Research Analysts
Raj Deepak Singh Nandish Patel
rajdeepak.singh@icicisecurities.com nandish.patel@icicisecurities.com
Dipesh Dedhia Siddhesh Jain

dipesh.dedhia@icicisecurities.com siddhesh.jain@icicisecurities.com
What’s Covered…
• May series snapshot: Nifty loses 6.2% in May series amid high volatility
• Sectoral highlights: OI comparison at inception
• Nifty: Nifty likely to head towards 17000 on back of short covering
• Index Heavyweights: Major options concentration
• Bank Nifty: Outperformance likely to continue

• FIIs Action: No incremental shorts in index future
• Monthly Quant Pick: Tech Mahindra
• Rollover Details: Month on month comparison
May 30, 2022 ICICI Securities Ltd. | Retail Equity Research 2

Nifty loses 6.2% in May series amid high volatility…
Nifty & market rollover snapshot Expiry returns

Nifty% Rollover Broader Market% Rollover 30.0%
94 94
11.3%
93 92 92 92 92 92 93 92 92 92 20.0%
91
9.3%
8.0%
7.9%
7.5%
7.0%
5.9%
5.5%
4.1%
4.0%
3.0%
2.9%
10.0%
1.5%
83 84 84 83 83
81 82 82 82
79 78 79 0.0%
75
-0.1%
-0.5%
-0.6%
-1.3%
-1.9%
-1.9%
73 -10.0%
-5.0%
-5.1%
-6.2%
-6.5%
66 -20.0%
-30.0%
-40.0%
Aug-20
Aug-21
Dec-20
Dec-21
Mar-22
Mar-21
Jun-21
Apr-21
Apr-22
Oct-20
Oct-21
Jan-21
May-21
Jan-22
May-22
Feb-21
Feb-22
Jul-20
Jul-21
Sep-21
Sep-20
Nov-20
Nov-21
Sep
Jan
Aug
Apr
Apr
June
Dec
Feb
Mar
July
Oct
Nov
May
May

• The Nifty weakened further in the May series as the index ended with 6.2% losses. Markets have been under pressure
due to monetary tightening by central banks amid inflation fears along with the ongoing geopolitical tensions
• The Nifty broke 17000 at the beginning of the May series itself amid continued negative news flows from both domestic
as well international front. However, it was able to hold its March lows and reverted a couple of times despite continued
FIIs’ outflows and global market weakness
• FIIs’ outflows from equity markets remained unabated as they have been remained net sellers for more than a year now
in secondary markets. In the current calendar year, they have offloaded almost | 1.6 lakh crores from secondary
markets and over ~| 42000 crore in May 2022
• The largest decline was seen in metal & technology stocks while relative outperformance was seen in auto stocks
Source: Bloomberg, Seediff.com, ICICI Direct Research
Sectoral Performance
Sectoral OI Change Sectoral Price Performance
Nifty Auto -0.85%

Index 23.97%
Cement 16.35% Nifty FMCG -1.59%
Technology 11.74% Nifty Financial Services -2.88%

Power 11.14%
Nifty Bank -3.64%
FMCG 9.83%
Realty 8.35% Nifty 50 -6.23%
Infrastructure 3.04%
Nifty Pharma -6.84%
Pharma 2.64%
Banking Nifty 100 -7.23%
-4.43%

Automobile -7.04% Nifty Infrastructure -8.82%
Chemical -7.60%
NIFTY Midcap 100 -9.47%
Capital_Goods -8.78%
Others -9.98% Nifty Energy -11.31%
Finance -10.52% Nifty IT -12.48%

Metals -12.60%
Nifty Realty -14.05%
Media -12.87%
Telecom -16.89% NIFTY Smallcap 100 -16.11%
Oil_Gas -21.21%
Nifty Metal -18.04%

Stocks OI and options activity: June Series
Top 5 Stock Rollover Due to ongoing volatility in the market, primarily short
closure was experienced across FMCG stocks. Relatively
Hig h Rollover Low Rollover
St ock Rollover % St ock Rollover % higher open interest was seen in the technology space.
PIIND 98.90 TATACOMM 64.15 At the same time, stocks from the capital goods and
CUB 98.24 ZYDUSLIFE 66.00 select banking & financials stocks are starting the series
TRENT 98.16 IOC 66.70
with low leverage.
OBEROIRLTY 98.15 RECLTD 76.23
MRF 98.07 ICICIGI 77.08 Long additions/short covering: NTPC, Maruti, HDFC Bank
and Bandhan Bank
Short additions/profit taking: LTI, Infosys, Tata Steel, Bajaj
Finance and Berger Paints
Top 10 stocks options base

The options open interest bases help to identify
Scrip Call Base-I Call Base-II CMP Put base-I Put base-II the support and resistance levels for the stock
HDFC 2400 2300 2320 2200 2100
from a writer’s perspective. These levels
HDFC Bank 1500 1400 1380 1400 1300
provide good insights from a risk-reward
Hindustan Unilever 2400 2300 2290 2200 2300
perspective.
SBI 500 480 475 460 450
Infosys 1500 1600 1455 1400 1300
At the start of June series, most of technology
ITC 280 270 267 250 260
stocks are trading near their Put bases. The auto
Kotak Mahindra Bank 1900 2000 1931 1800 1700
and banking space are outperformers and
Lasren & Toubro 1660 1700 1585 1600 1500
witnessing OTM Put writing indicating limited
Reliance 2700 2600 2580 2400 2600 downsides. In the current scenario, a round of
TCS 3300 3500 3250 3200 3000 sectoral consolidation can be expected.
Sustainability above their Put bases may result

Source: Bloomberg, Seediff.com, ICICI Direct Research in a pullback in the June series.
Nifty likely to head towards 17000 on back of short
covering…
Nifty witnessing significant writing at 17000 Call strike
• Nifty rollover was around 78%, slightly below its three month’s average. Fresh OI was accumulated in June series as Nifty futures
open interest increased from 85 lakh shares to 1.12 crore shares at inception. Amid continued weakness, the major open interest
addition seen in the last week of expiry. We feel these short positions will be covered as the Nifty has crossed its May series of
VWAP level 16350
• Nifty options build-up in weekly as well as monthly started with a bit of indecisiveness, with Put concentration seen at 16000 strike
while Call build-up was seen at 17000 strikes. In the second session of the June series, the data evolved a little wherein 17000 Call
on the higher side is becoming a key hurdle level with OI of over 75 lakh shares
• As the Nifty is trading above 16350 levels, volatility continued to remain subdued on expected lines. With the current bias in the
Nifty is positive now, the lower volatility trend is likely to continue. We reaffirm our belief that trading below 22 should trigger
stronger risk aversion in the market. Hence, time value plays may continue to drive the market in coming weeks
• For investment, buying opportunity can be looked into in select technology and metal stocks, which have exhibited

underperformance in the recent market volatility from a short covering perspective
Positional support for Nifty at 15800-16000
• On the lower side, major options concentration is seen at the 16000 Put strike in weekly as well as monthly expiry. We expect the
Nifty to consolidate above these levels. In case of decline towards 16000, it should be utilised as a fresh entry opportunity
• In the June series, among sectors, technology, paint, financial and metal stocks are starting the new series with significant high
open interest whereas select BFSI, FMCG, auto seem to be continuing with long positions
• The Nifty has moved to mean-2*sigma, which is near 15800 area. Going ahead, the index is likely to consolidate above this level
and may try to recover till its mean level of 17000
• From a data perspective, FIIs’ short positioning reduced further. June series started with just 15000 net shorts against almost 1.25
lakh contracts seen in mid-May which is positive sign

Source: Bloomberg, ICICI Direct Research
F&O data suggests indices to trade in broader range
Weekly Nifty options OI build-up Nifty reverted from mean*-2 sigma

3500000 Price Mean Avg+2 Sigma Avg-2 Sigma
Call OI Put OI 20000
3000000
18000
2500000
16000
2000000
14000
1500000
12000
1000000
10000
500000
8000
0
6000
15500
15600
15700
15800
15900
16000
16100
16200
16300
16400
16500
16600
16700
16800
16900
17000
Jun-20
Jun-21
Apr-20
Apr-21
Apr-22
Oct-20
Oct-21
Dec-20
Dec-21
Aug-20
Aug-21
Feb-21
Feb-22

Nifty OI: May starts with above 10 million shares Bank Nifty OI: May starts with over 2 million shares
20000000 4000000
3500000
16000000 3000000
2500000
12000000
2000000
8000000 1500000
1000000
4000000
500000
0 0
May…
May…
Jan-21
Jan-22
Apr-21
Sep-21
Sep-20
Apr-22
Nov-20
Nov-21
Jun-21
Jun-20
Jul-20
Jul-21
Dec-20
Dec-21
Mar-21
Mar-22
Aug-20
Aug-21
Oct-20
Oct-21
Feb-21
Feb-22
May-21
May-22
Sep-20
Sep-21
Jan-21
Jan-22
Jun-20
Jun-21
Dec-20
Dec-21
Apr-21
Apr-22
Aug-20
Aug-21
Oct-20
Nov-20
Oct-21
Nov-21
Jul-20
Jul-21
Mar-21
Mar-22
Feb-21
Feb-22

Bank Nifty: Outperformance likely to continue..
• With all the volatility and selloff, the Bank Nifty was able to hold its March lows. In the last two week of May series, a sharp recovery
in leading private banks as well as PSU banks covered the recent underperformance of the banking space, to some extent. Even the
recovery in the Bank Nifty was much faster than the earlier series
• Looking at the options build-up, the Bank Nifty is likely to break the hurdle level of 36000 as Put bases are much stronger than the
Call base. We feel the key pivot for the series remains at 34000-34500 for upsides to continue as additions were seen in 37000 strike,
which is the highest Call base for the series. We feel the Bank Nifty may cross its Call base and move towards 38000 with positional
support at 34000
• The open interest in the Bank Nifty has declined marginally compared to last month. The new series OI is close to 2.3 million shares,
lower than the last series OI of 2.6 million shares. Low leverage in positions is likely to keep downsides limited
• The level of 34000 continues to remain a positional support for the index. The current price ratio of Bank Nifty/Nifty is near 2.17. We
feel the ratio will recover further from these levels while outperformance in banking stocks can be seen further once the Bank Nifty
closes above 36000. In the recent recovery, private banks are likely to see large upsides in coming weeks

Bank Nifty/ Nifty Ratio: Likely to recover Option OI buildup
3000000
2.80 2800000 Call OI Put OI
2600000
2400000
2.60 2200000
2000000
1800000
2.40 1600000
1400000
2.20 1200000
1000000
800000
2.00 600000
400000
200000
1.80 0
Sep-20
Sep-21
Jan-21
Jan-22
Jun-20
Jun-21
Dec-21
Nov-20
Dec-20
Apr-21
Nov-21
Apr-22
Aug-21
Aug-20
Oct-20
Oct-21
May-21
May-22
Jul-21
Jul-20
Mar-21
Mar-22
Feb-22
Feb-21
35100
35300
35500
35700
35900
36100
36300
36400
36600
36800
37000
35000
35200
35400
35600
35800
36000
36200
36500
36700
36900
FII action: Short covering target at 17000…
• The selling spree by FIIs continued even for the May series
FII net index futures positions
where every bounce in the indices was taken as an opportunity
to sell. The volatility remained extremely high in the expiry 180000 FII Future Index Long FII Future Index short Fut L/S Ratio 1
week where the index failed to even move above its May series 160000 0.9
VWAP 140000 0.8
120000 0.7
0.6
• For the current calendar year, FIIs’ sold the highest number of 100000
0.5
shares in equity. They remained negative by | 42274 crore for 80000
0.4
60000
May. On the F&O side, FIIs had created 1.25 lakh contracts in 40000
0.3
0.2
short index future but a huge amount of shorts got covered in 20000 0.1
the expiry week. Now for the June expiry, there short exposure 0 0
10-May-22
12-May-22
16-May-22
11-May-22
13-May-22
17-May-22
18-May-22
19-May-22
20-May-22
23-May-22
24-May-22
25-May-22
26-May-22
27-May-22
2-May-22
4-May-22
5-May-22
6-May-22
9-May-22
29-Apr-22
28-Apr-22
in the index future segment is almost zero
• Major short positions were formed in the technology and select

metal stocks followed by cash based selling in realty stocks. As

FIIs has covered their short exposure in future segment, we
believe stock specific short covering should help a few beaten FIIs in equity market
down sectors, which should help the index to test its highest
Call base of 17000 60000
40000
• Throughout the May series, the quantum of Call OI was much
higher while there was no aggressive writing blocks among the 20000
Puts. However, as the index moved above its VWAP of 16350, | crore
0
OTM Put writing is visible. We feel intermediate support for the -20000
index is now at 16000, which commands good number of
positions in Puts. Any dip towards this level would be a buying -40000
opportunity and sectors like realty, Bajaj twins, HDFC group and -60000
technology are likely to see positive price action in June
May 30, 2022 ICICI Securities Ltd. | Retail Equity Research Source: Bloomberg, Seediff.com, ICICI Direct Research 9
Buy Tech Mahindra in range of | 1122-1144; Target: | 1280;
Stop Loss: | 1038; Time frame: One month…
Snapshot
• The technology space has remained significantly negative in
terms of price performance. Stocks like Tech Mahindra have Spot Price 1283
further underperformed their peers. We believe the stock has Beta 0.87
12M Avg Price (|) 1551
significant room for upsides after a correction of almost 40% 3M Avg Roll (%) 93%
from its high. The recent short covering move is likely to HV 30 Day (% Annualised) 39.8
continue towards | 1280 and above levels
• The open interest in the stock has increased sharply in the last
two months with falling prices, which indicates short position
have been carried forward. Current OI in the stock is at a nine
month’s high. However, currently we have seen early sign of Price and Open Interest
closure suggesting ongoing short covering. We believe the

ongoing short covering should take the stock higher in the 2200
Price Open Interest
3500000
coming trading sessions 2000 3000000
• On the options front, after significant writing seen in 1100 Call, 1800
2500000
the highest Call OI base is at 1200 strike for June series. 2000000
1600
However, continued closer is visible at ATM Call strikes of 1500000
1100 and 11400 strikes. With sign of closure among Call 1400
1000000
writers, we expect the stock to be well placed to test its Call
1200 500000
base of 1200. On the other hand, writing was seen in 1100
and 1060 Put strikes that should act as support on downsides 1000 0
Aug-21
Dec-21
Dec-21
Dec-21
Mar-22
Mar-22
Apr-22
Apr-22
Oct-21
Oct-21
May-22
Feb-22
Jan-22
Jan-22
Feb-22
Sep-21
Sep-21
Nov-21
Nov-21
• Note: Call has been initiated on iClick2Gain on May 30, 2022

ICICI Securities Ltd. | Retail Equity Research 10
May 30, 2022
Rollover Details
Index
3m avg 3m avg
Scrip Price % change OI Future %change Carry cost Rollover
carry cost rollover
BANKNIFTY 35165.8 -3.56% 2379125 -32.04% 0.31 85.47 0.32 87.23
NIFTY 16168.1 -6.33% 11280950 2.51% 0.54 97.82 0.17 79.71
Auto & Auto Ancillaries

3m avg 3m avg
carry cost rollover
AMARAJABAT 493.55 -12.34% 6088000 -5.41% 0.4 95.46 0.38 96.58
APOLLOTYRE 213.75 3.04% 10797500 -22.05% 0.07 88.56 0.30 91.06
ASHOKLEY 137.95 6.90% 29943000 -10.82% 0.07 88.85 0.32 92.19
ASIANPAINT 2834.9 -12.85% 6058800 15.11% -0.36 97.72 0.15 97.40

ASTRAL 1669.9 -23.00% 620125 -5.61% 0.38 90.1 0.50 94.52
BAJAJ-AUTO 3672.25 -3.66% 2518250 -11.89% -4.67 94.82 -1.49 91.24
BALKRISIND 2200.45 2.44% 1226600 -5.57% 0.02 94.35 0.18 95.03
BHARATFORG 669.45 -7.50% 5689500 -7.17% 0.07 96.5 0.20 94.52
EICHERMOT 2726.75 1.54% 3489150 -4.01% 0.27 96.64 0.47 95.74
ESCORTS 1612.9 -0.84% 2733500 -28.67% 0.34 92.3 -3.37 86.41
HEROMOTOCO 2639.75 4.65% 3491700 2.73% -0.36 97.03 0.43 92.80
M&M 931.35 0.57% 13471500 17.60% 0.37 94.56 0.51 78.38
MARUTI 7824.4 -1.15% 3383000 18.45% -0.02 97.21 0.45 93.24
MOTHERSUMI 122.75 -10.27% 29137500 -11.07% 0.42 94.72 0.38 93.16
MRF 73413 2.61% 106960 -11.82% 0.28 96.47 -1.28 97.85
TATAMOTORS 422.25 -3.47% 66397875 -17.54% 0.45 95.27 0.22 89.16
TVSMOTOR 710.35 3.81% 7926800 0.44% 0.15 94.65 0.28 90.49
Rollover Details
Capital goods
3m avg 3m avg
carry cost rollover
BEL 227.05 -8.36% 26972400 -16.65% 0.31 91.74 0.51 94.09
BHEL 50.3 -6.94% 89691000 -14.84% 0.5 92.52 0.56 94.93
CROMPTON 330.55 -13.81% 2807200 -30.25% 0.32 94.18 0.39 96.56
CUMMINSIND 1028.25 -0.84% 1186200 -17.80% 0.19 90.76 0.01 87.54
DIXON 3341.1 -21.88% 616000 -28.34% -0.56 90.23 -0.83 92.04
HAVELLS 1169.7 -11.55% 4787000 -3.03% 0.21 95.76 0.13 92.60
INDIAMART 4133.7 -14.53% 238275 -26.76% 0.3 93.91 -0.64 91.51
LT 1571.5 -8.88% 15190925 7.23% 0.45 94.92 0.46 94.18
SIEMENS 2348.7 2.63% 1396725 -11.04% 0.38 96.25 0.36 96.98
VOLTAS 986.65 -23.02% 2549500 -35.06% -0.99 87.84 -0.08 86.61
WHIRLPOOL 1507.9 -7.13% 659250 -25.74% 0 95.5 -0.04 93.09

ABB 2197.65 4.32% 347500 -21.91% 0.18 93.24 0.14 92.92
Cement
3m avg 3m avg
carry cost rollover
ACC 2215.85 -6.96% 2179500 -18.35% 0.38 92.13 -0.55 92.28
AMBUJACEM 366.1 -5.00% 48091500 1.58% 0.16 92.03 0.36 94.39
GRASIM 1393.1 -18.94% 10462350 7.91% 0.49 97.8 0.35 97.47
INDIACEM 169.15 -18.97% 10843100 -21.63% 0.16 91.62 0.52 95.70
RAMCOCEM 654.75 -17.59% 2432700 -12.24% -1.3 97.05 -0.17 95.36
SHREECEM 21396.95 -17.45% 241000 6.09% -1.46 95.06 -0.31 91.67
ULTRACEMCO 5882.55 -11.32% 2349000 9.27% 0.47 95.91 0.43 91.78

Rollover Details
Banking
3m avg 3m avg
carry cost rollover
AUBANK 1289.95 -7.77% 2307000 -22.91% -2.26 96.06 -0.76 94.26
AXISBANK 684.25 -12.39% 57069600 -7.55% 0.46 94.74 0.41 95.36
BANDHANBNK 315.85 -6.46% 36540000 -7.26% 0.49 97.2 0.42 95.75
BANKBARODA 96.6 -16.94% 99373950 -16.58% -1.68 84.46 -0.22 91.85
CANBK 190.15 -18.95% 46677600 3.71% -2.84 89.89 -0.54 93.20
CUB 127 -9.54% 10655600 -7.69% 0.47 98.24 0.44 96.88
HDFCBANK 1367.9 0.43% 70142600 -16.44% -1.99 96.53 0.11 91.60
ICICIBANK 732.1 -2.43% 65903750 -42.18% 0.43 82.99 0.33 94.89
IDFCFIRSTB 34.5 -13.53% 209201700 -7.76% 0.42 92.34 0.57 93.30
INDUSINDBK 901.35 -9.19% 24313500 -6.80% 0.31 95.68 0.44 96.06

KOTAKBANK 1908.25 7.67% 13244800 -4.33% 0.42 96.76 0.40 94.71
PNB 29.75 -16.08% 211808000 -16.32% -1.82 89.02 -0.40 94.70
RBLBANK 111.85 -8.02% 45193600 -10.15% 0.27 93.65 0.36 96.95
SBIN 470.55 -7.14% 62127000 4.19% 0.42 93.16 0.56 93.80

Rollover Details
Finance
3m avg 3m avg
carry cost rollover
BAJAJFINSV 12539.3 -16.66% 1008200 19.30% 0.43 95.36 0.38 93.20
BAJFINANCE 5822.75 -13.76% 5007000 -1.76% 0.03 94 0.28 94.88
CANFINHOME 459.4 -27.94% 3024450 -24.67% 0.37 91.99 0.45 94.35
CHOLAFIN 640.4 -13.87% 7648750 -12.44% 0.2 94.41 0.34 92.80
HDFC 2266.35 1.99% 21617400 44.20% 0.3 95.45 -0.13 86.59
HDFCAMC 1703.75 -16.61% 4297200 11.64% -0.91 94.17 -0.71 95.26
HDFCLIFE 577.35 0.79% 22092400 -2.99% 0.43 95.51 0.17 97.02
IBULHSGFIN 116.9 -25.73% 30336600 -27.16% -0.14 95.76 0.41 86.38
ICICIGI 1269.1 -5.52% 2260150 -27.12% 0.38 96.75 0.28 89.65
ICICIPRULI 528.3 -1.42% 5856750 1.07% 0.15 77.08 0.25 92.62
L&TFH 74.3 -16.05% 44325508 -22.35% 0.12 94.82 0.10 92.41

LICHSGFIN 376.9 -2.09% 18388000 -19.81% 0.46 97.15 0.48 95.96
M&MFIN 165.95 -9.24% 21160000 -32.32% 0.52 89.25 -1.20 90.41
MANAPPURAM 90.85 -21.82% 25284000 -9.25% -4.65 81.13 0.22 93.36
MCX 1266.9 -9.02% 2827300 3.41% 0.6 97.39 0.54 94.42
MFSL 770.1 -0.02% 1649050 -18.16% -1.16 83.02 0.29 92.81
MUTHOOTFIN 1139.45 -10.97% 3415875 3.96% -2.11 98.07 0.19 91.78
NAM-INDIA 264.65 -17.68% 2820800 -22.20% 0.38 96.32 -0.44 95.26
PFC 107.25 -9.87% 33566800 -17.18% -1.3 89.32 -0.02 93.12
PIIND 2620 -9.89% 1778500 10.31% 0.27 98.9 0.34 97.73
POWERGRID 227.35 -3.69% 53058017 -3.74% -0.04 88.6 0.32 88.95
RECLTD 118.5 -7.46% 23004000 -15.18% -0.38 76.23 0.22 88.78
SBILIFE 1106.05 -1.25% 7899000 6.35% 0.42 96.39 0.41 92.89
SRTRANSFIN 1150.35 0.15% 4062400 -21.30% 0.25 95.95 0.30 94.24
SBICARD 756.8 -10.38% 7019000 -8.61% 0.4 96.49 0.52 95.70
ABCAPITAL 97.85 -20.51% 18620800 -19.39% -0.05 93.86 0.33 95.49
IDFC 47.85 -17.85% 99530000 -7.94% 1.16 91.02 0.50 93.06
Rollover Details
Consumption
3m avg 3m avg
carry cost rollover
ABFRL 257.7 -9.26% 12469600 -0.23% 0.37 96.4 0.39 96.39
BATAINDIA 1769.95 -8.93% 1362900 -6.01% 0.43 96.07 0.40 94.91
BERGEPAINT 568.4 -22.32% 5729900 36.01% -0.01 97.47 0.27 97.30
BRITANNIA 3500.4 4.28% 1697200 16.69% -1.06 87.83 -0.30 91.31
COLPAL 1615.25 -1.23% 2656150 -5.59% 0.32 97.46 -0.22 93.77
DABUR 499 -13.17% 14065000 4.38% 0.33 96.74 0.38 95.67
HINDUNILVR 2270.2 1.05% 12399900 12.47% 0.34 94.21 0.14 96.21
JUBLFOOD 488.45 -10.30% 11583750 8.66% 0.35 93.37 0.40 94.91
MARICO 530.45 -2.55% 9607000 10.57% -0.44 92.52 0.25 93.16
NESTLEIND 17681.2 -4.39% 400850 14.36% 0.47 94.97 0.29 93.09

PIDILITIND 2127.85 -13.56% 3121000 -3.08% -0.24 97.27 0.08 64.43
TATACONSUM 717.3 -11.63% 8940375 16.91% -0.52 96.62 0.18 97.76
TITAN 2142.8 -15.02% 6804750 1.38% 0.11 93.42 0.27 95.15
TRENT 1048.85 -14.60% 3429975 7.06% 0.33 98.16 0.24 95.60
UBL 1478.55 -6.03% 909300 -28.25% 0.12 95.48 0.31 92.91

Rollover Details
Pharmaceuticals
3m avg 3m avg
carry cost rollover
ABBOTINDIA 17729.55 2.15% 23800 -23.41% 0.11 89.36 0.35 93.34
ALKEM 3039.55 -8.34% 212600 -34.34% 0.33 92.01 -0.11 91.38
APLLTD 741.25 -5.66% 1193500 -21.43% 0.41 96.88 0.48 97.50
APOLLOHOSP 3666.85 -19.43% 2325250 -3.64% 0.11 94.36 0.31 95.13
AUROPHARMA 534.35 -15.92% 14992500 -2.92% -0.19 96.47 0.21 96.20
BIOCON 326.55 -13.78% 11414900 -2.67% 0.11 93.02 0.21 89.23
CIPLA 967.1 -1.91% 8425950 -7.59% 0.38 94.2 0.30 89.88
DIVISLAB 3463.35 -24.29% 3272700 47.15% 0.37 97.82 0.35 97.64
DRREDDY 4322.25 4.68% 2394750 -8.20% 0.26 91.79 0.35 93.84
GLENMARK 393.95 -10.72% 6234150 -4.27% -0.73 93.16 0.30 95.90
GRANULES 258.9 -9.52% 8576150 -21.66% 0.36 95.34 0.53 97.51

IPCALAB 918.2 -10.24% 684000 -12.14% -0.13 66.7 -0.46 90.66
ITC 266.95 2.40% 87129600 -4.44% -3.76 96.02 0.29 85.42
JKCEMENT 2352.2 -11.70% 220850 -25.90% 0.13 92.88 0.37 91.87
LALPATHLAB 1944.2 -26.00% 1134250 2.95% 0.41 94.81 -2.10 92.12
LUPIN 602.55 -19.72% 9225050 6.25% 0.25 94.74 0.35 93.90
MCDOWELL-N 762.3 -11.89% 13322500 1.57% 0.45 94 0.47 95.56
METROPOLIS 1600.3 -31.98% 532000 0.87% 0.5 92.12 -0.60 78.20
PEL 1866.8 -13.42% 2837725 -17.04% 0.06 94.57 0.31 89.46
STAR 322.05 -4.08% 3906900 -11.98% 0.51 95.43 0.53 95.32
SUNPHARMA 896.3 -2.86% 20621300 4.63% -0.04 97.24 0.33 96.76
SYNGENE 528.75 -15.51% 1008100 -4.59% 0.08 95.7 0.45 95.90
ATUL 7963.55 -9.81% 119925 -35.86% 0.12 95.94 -0.42 96.57
LAURUSLABS 562.2 -2.15% 6037200 -24.81% -2.86 95.28 0.49 96.85

Rollover Details
Media
3m avg 3m avg
carry cost rollover
PVR 1735.7 -4.85% 2061455 -23.44% 0.25 94.76 0.31 91.24
SUNTV 421.3 -14.65% 11935500 -6.33% 0.41 94.99 0.43 88.45
Infrastructure
3m avg 3m avg
carry cost rollover
ADANIENT 2054.15 -13.80% 19811500 2.68% 0.65 97.48 0.48 96.97
ADANIPORTS 702.1 -21.14% 74772500 -3.96% 0.18 96.83 0.43 97.71

CONCOR 642.8 -2.54% 6996800 -2.81% 0.37 93.93 0.39 94.52
GMRINFRA 37 -1.20% 101880000 1.43% 0.22 97.48 0.54 92.94
INDIGO 1820.4 -2.36% 2923750 18.60% -1.21 93.31 0.40 91.62
NBCC 32.1 -16.62% 23556000 -11.50% 0.14 89.49 0.56 95.28
Realty
3m avg 3m avg
carry cost rollover
DLF 320 -16.01% 41911650 -7.72% 0.49 95.02 0.48 96.63
OBEROIRLTY 769.8 -20.53% 4818100 6.14% -1.66 95.78 0.40 97.48

Rollover Details
Metal
3m avg 3m avg
carry cost rollover
COALINDIA 183.45 -3.98% 28883400 -35.26% 0.27 82.93 0.49 88.58
HINDALCO 408.05 -16.62% 42350700 -1.87% 0.49 94.07 0.45 89.68
JINDALSTEL 394.4 -27.80% 27797500 -10.71% 0.43 89.9 0.35 92.50
JSWSTEEL 553.45 -24.13% 35779050 18.49% 0.3 92.36 0.49 87.46
NATIONALUM 93.45 -13.87% 45708750 -39.49% -2.34 94.5 0.49 94.58
NMDC 126.35 -22.75% 45141250 -11.34% 0.06 78.86 0.55 91.27
SAIL 73.75 -24.94% 108494750 -18.33% 0.27 83.4 0.34 91.19
TATASTEEL 1005.6 -19.85% 35408875 24.70% -4.42 96.1 -1.15 94.59
VEDL 314.05 -23.73% 48744400 -2.53% 0.27 94.03 0.40 95.84
HINDCOPPER 96.65 -15.74% 11046700 -31.37% 0.34 95.07 0.51 93.18

Power
3m avg 3m avg
carry cost rollover
NTPC 151.1 -5.59% 87620400 1.30% 0.44 87.86 -0.23 76.85
TATAPOWER 220.65 -11.51% 84051000 -14.56% -0.14 92.47 0.29 93.53
TORNTPOWER 442.1 -19.16% 3054000 -31.82% 0.27 93.18 0.26 91.29

Rollover Details
Technology
3m avg 3m avg
carry cost rollover
COFORGE 3481.9 -15.21% 541400 -33.74% 0.28 88.98 0.45 84.63
EXIDEIND 142.5 -7.65% 19008000 -11.29% 0.32 95.53 0.37 96.22
FEDERALBNK 84.7 -13.57% 57850000 -15.19% -0.53 86.31 0.18 91.91
HCLTECH 985.1 -10.02% 22061200 0.33% -0.13 96.35 0.24 93.41
INFY 1413 -10.98% 48991200 26.05% 0.1 94.79 -0.03 94.26
IRCTC 614.85 -16.72% 12029500 -15.04% 0.08 90.81 -2.15 95.95
LTI 3874.75 -20.88% 1782000 -16.04% 0.51 95.16 0.31 94.78
LTTS 3327.6 -18.47% 934000 -10.54% 0.23 93.16 0.36 95.48
MINDTREE 2755.05 -23.86% 2454400 -9.02% 0.32 94.09 0.40 94.99
MPHASIS 2402.8 -14.36% 1695400 -2.98% 0.33 95.91 0.34 95.26
NAUKRI 3553 -23.96% 1742875 5.64% 0.48 91.97 0.35 97.27
OFSS 3095.7 -12.28% 270625 -28.31% 0.14 98.15 0.31 88.67

PERSISTENT 3459.75 -19.86% 358500 -26.82% 0.13 78.07 0.23 91.10
TECHM 1082.25 -15.25% 19487400 14.31% 0.47 96.32 0.29 95.54
FSL 102.85 -17.65% 10524800 -24.35% 0 100 0.49 94.70
INTELLECT 604.1 -26.27% 865500 -47.47% -0.83 97.02 0.40 92.64
Telecom
3m avg 3m avg
carry cost rollover
BHARTIARTL 692.85 -7.40% 55790650 -3.78% -0.01 95.73 0.25 94.22
IDEA 8.7 -9.38% 605220000 -20.63% 0.14 97.55 1.08 84.46
INDUSTOWER 203.7 -3.41% 15145200 -8.86% 0.38 95.69 0.32 77.53
TATACOMM 933.65 -14.33% 3525200 -30.49% -1.04 64.15 -0.04 84.07

Rollover Details
Chemicals
3m avg 3m avg
carry cost rollover
AARTIIND 751.85 -15.51% 2419100 -21.98% 0.4 93.4 0.38 90.00
COROMANDEL 919.5 1.78% 1196250 -22.23% 0.44 92.74 0.43 93.15
DEEPAKNTR 1847.5 -19.22% 1006250 -31.77% 0.42 87.51 0.47 93.06
NAVINFLUOR 3601.45 -9.34% 348075 -14.34% 0.18 95.76 0.40 89.66
SRF 2276.05 -9.63% 3562125 -13.53% 0.4 96.8 0.38 97.76
TATACHEM 920.2 -4.60% 4187000 -36.75% -1.15 90.88 -0.07 91.67
UPL 747.95 -9.50% 19264700 -16.93% 0.15 81.2 0.28 91.06
CHAMBLFERT 347.55 -25.06% 2808000 1.19% 0.32 87.32 0.40 90.18
GNFC 599.1 -29.24% 2580500 -47.26% 0.41 90.89 0.17 81.10
Oil&gas

3m avg 3m avg
carry cost rollover
BPCL 324.25 -12.52% 16259400 -6.01% 0.17 81.22 0.39 86.28
GAIL 150.4 -5.14% 30280400 -21.97% 0.54 93.89 0.00 92.78
GODREJCP 780.6 -3.15% 6120000 5.43% 0.44 81.18 0.36 95.10
GODREJPROP 1292.45 -18.90% 3841500 -4.00% 0.26 94.33 0.34 95.07
GUJGASLTD 543.1 5.73% 1692500 -56.12% 0.34 96.82 0.46 90.53
HINDPETRO 235.55 -16.87% 15363000 6.32% 0.16 90.69 0.41 93.04
IGL 370.45 -1.79% 11713625 -23.54% 0.44 93.21 0.40 95.88
IOC 114.2 -12.39% 34580000 -36.24% 0.33 92.04 0.20 84.35
MGL 744.35 -10.06% 2418000 -14.38% 0.23 95.63 0.45 95.60
ONGC 152.05 -8.07% 35250600 -29.11% 0.39 96.22 0.39 82.51
PETRONET 217.15 4.22% 12237000 -26.79% 0.25 94.55 -0.15 92.00
RELIANCE 2594.3 -8.18% 26743750 -30.64% 0.28 96.63 0.43 93.94
GSPL 262.15 -2.44% 1827500 -31.31% 0.33 97.18 0.22 97.15
Rollover Details
Others
3m avg 3m avg
carry cost rollover
DALBHARAT 1337.35 -13.59% 1002500 -29.82% 0.48 94.97 0.59 96.49
DELTACORP 216.2 -20.41% 11962300 -25.35% 0.35 93.17 0.39 93.97
HAL 1767.55 7.71% 2122775 -16.78% 0.38 81.09 0.47 96.29
IEX 180.8 -16.20% 38647500 -21.54% 0.44 91.24 0.46 95.03
INDHOTEL 220.35 -11.26% 21771086 -14.89% 0.38 95.6 0.31 89.29
PAGEIND 41721.2 -9.30% 86775 -2.00% 0.23 82.96 0.22 90.76
POLYCAB 2410.45 -4.63% 460200 -29.24% 0.26 89.46 0.37 93.63
TCS 3235.1 -9.62% 11370750 29.28% 0.44 93.86 0.13 90.23
TORNTPHARM 2886.3 3.13% 849000 27.43% -0.59 97.25 0.07 96.37
BSOFT 354.75 -16.78% 2939300 -20.36% 0.42 91.22 0.49 93.07

BALRAMCHIN 375.65 -18.70% 6512000 -11.25% 0.39 90.68 0.50 90.92
HONAUT 30471.65 -25.77% 10965 -10.53% -0.39 96.35 -0.37 95.80
RAIN 150.05 -13.39% 5982500 -21.64% 0.37 91.71 0.38 92.67

Derivatives Strategies: Open recommendations
Date Scrip Action Recommendation
20-May-22 Axis Bank Buy Long/Short Strategy: Buy Axis Bank June 670 Call at 27-29 & sell 720 Call at 10-11, Target: 720, Stop loss: 4.8, Time-frame: till June expiry.
23-May-22 Bajaj Finserv Buy Long/Short Strategy: Buy Bajaj Finserv June future at 12700-12760 & sell 13500 Call at 340-360, Target: 13860, Stop-loss: 12030.5, Time-frame: till June expiry.
27-May-22 Ipca Laboratries Sell Positional Future :Sell IPCLAB (IPCA LABORATORIES LTD) JUN in the range of 905-915 Target 801 and StopLoss 965.5.
27-May-22 Kotak Mahindra Bank Buy Positional Future : Buy KOTMAH (KOTAK MAHINDRA BANK LTD) JUN in the range of 1935-1945 Target 2068.5 and StopLoss 1869.5.
27-May-22 Hindustan Unilever Buy Positional Future : Buy HINLEV JUN in the range of 2290-2302 Target 2045 and StopLoss 2222

Back

Quant Picks: Open recommendations…
Date Scrip Action Price Target Stop Loss Last close Return at close Time Frame
16-May-22 BEL Buy 220-226 260 202 231 2.2% 3 months

18-May-22 MCX Buy 1260-1275 1486 1150 1262 -0.4% 3 months
20-May-22 Petronet LNG Buy 218-224 260 200 217 -2.7% 3 months
30-May-22 Tech Mahindra Buy 1122-1142 1280 1038 1142 0.0% 3 months
30-May-22 DLF Buy 327-335 385 300 335 0.0% 3 months
30-May-22 Indian Hotel Buy 227-232 267 209 232 0.0% 3 months

Back
Source: NSE, Seediff, ICICI Direct Research
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

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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. It is also confirmed that
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May 30, 2022

Other Product offerings

covering… Quant (Derivatives) Pick

ICICI Securities – Retail Equity Research

Duration : 1-3 months

Dipesh Dedhia Siddhesh Jain

• Sectoral highlights: OI comparison at inception

• Nifty: Nifty likely to head towards 17000 on back of short covering

• Index Heavyweights: Major options concentration

• Bank Nifty: Outperformance likely to continue

ICICI Securities – Retail Equity Research

• Monthly Quant Pick: Tech Mahindra

• Rollover Details: Month on month comparison

May 30, 2022 ICICI Securities Ltd. | Retail Equity Research 2

Nifty & market rollover snapshot Expiry returns

ICICI Securities – Retail Equity Research

Sectoral OI Change Sectoral Price Performance

Nifty Auto -0.85%

Technology 11.74% Nifty Financial Services -2.88%

ICICI Securities – Retail Equity Research

Finance -10.52% Nifty IT -12.48%

Source: Bloomberg, Seediff.com, ICICI Direct Research

Top 10 stocks options base

ICICI Securities – Retail Equity Research

Sustainability above their Put bases may result

ICICI Securities – Retail Equity Research

May 30, 2022 ICICI Securities Ltd. | Retail Equity Research 6

Weekly Nifty options OI build-up Nifty reverted from mean*-2 sigma

ICICI Securities – Retail Equity Research

Source: Bloomberg, Seediff.com, ICICI Direct Research

ICICI Securities – Retail Equity Research

• Major short positions were formed in the technology and select

ICICI Securities – Retail Equity Research

ICICI Securities – Retail Equity Research

coming trading sessions 2000 3000000

Source: Bloomberg, Seediff.com, ICICI Direct Research

Auto & Auto Ancillaries

ICICI Securities – Retail Equity Research

ICICI Securities – Retail Equity Research

Source: Bloomberg, Seediff.com, ICICI Direct Research

ICICI Securities – Retail Equity Research

Source: Bloomberg, Seediff.com, ICICI Direct Research

ICICI Securities – Retail Equity Research

ICICI Securities – Retail Equity Research

Source: Bloomberg, Seediff.com, ICICI Direct Research

ICICI Securities – Retail Equity Research

Source: Bloomberg, Seediff.com, ICICI Direct Research

ICICI Securities – Retail Equity Research

Source: Bloomberg, Seediff.com, ICICI Direct Research

ICICI Securities – Retail Equity Research

Source: Bloomberg, Seediff.com, ICICI Direct Research

ICICI Securities – Retail Equity Research

Source: Bloomberg, Seediff.com, ICICI Direct Research

ICICI Securities – Retail Equity Research

ICICI Securities – Retail Equity Research

Source: Bloomberg, Seediff.com, ICICI Direct Research

Date Scrip Action Recommendation

ICICI Securities – Retail Equity Research

Source: Bloomberg, ICICI Direct Research

16-May-22 BEL Buy 220-226 260 202 231 2.2% 3 months

ICICI Securities – Retail Equity Research

ICICI Securities – Retail Equity Research

Terms & conditions and other disclosures: