Weekly Derivative Report

25 June 2023

NIFTY HIGHLIGHTS
 Nifty futures of current expiry on Friday closed at 18705.9 on a negative note with -16.25% decrease in open interest and a price cut of -1.02% (-
193.25 points) indicating Long Unwinding.
 Nifty annualized volatility index India Vix has decreased to 11.23% from 10.84% UP by 3.64%.
 Bank Nifty futures of current expiry on Friday closed at 43671.65 on a negative note with -10.35% decrease in open interest and a price cut of -
0.84% (-370.95 points) indicating Long Unwinding.
 The total outstanding OI in Nifty futures stands at 1,11,23,350 compared to 1,17,34,750 of previous week, while in Bank Nifty it’s at 28,44,480
against 27,65,850.
 The ‘Long Short Ratio’ in the index futures for FII’s stands at 53 percent compared to 55 percent of last week indicating marginal Unwinding
in LONG POSITIONS.

Nifty PCR OI
 PCR OI during the week has made a high
Call OI Put OI PCR OI of 1.29 & low of 0.93 and closed on
23.00 1.40 weekly basis at 0.93 levels compared to
21.00 1.29 of last week.
19.00 1.30

PUT CALL RATIO

17.00 1.20  PCR OI currently is at 0.93 level which is
15.00
OI in cr.

below the median line and shows that

13.00 1.10
market participants have bought more
11.00
9.00 1.00 numbers of CALL options compared to PUT
7.00 options in the week indicating that Nifty will
0.90 continue the current trend, but with a
5.00
3.00 0.80 cautious bias.
13-Jun

14-Jun

15-Jun

19-Jun

20-Jun

22-Jun

23-Jun
12-Jun

16-Jun

21-Jun

Open Interest Analysis

Put OI Call OI  Options Built up Shows that for now Nifty
16,000 has strong support at 18,000 followed by
14,000 18,600, 18,500 and resistance at 19,000
12,000 levels followed by 18,800 & 18,700.
10,000  19,000, 18,800 & 18,900 strike CALL has
8,000 high open Interest concentration ; while in
6,000 Put strikes 18,000 followed by 18,800 &
4,000 18,700 strike has high open interest
Thousands

concentration which suggests that Nifty is

2,000
likely to trade between these levels of
0 18,800 on upside & 18,400 on downside for
18100

18200

18300

18400

18600

18700

18900

19000

19100

19200

19300
18500

18800

the coming week with 18,700 & 18,800

acting as pivotal level.

Change in Open Interest

Call OI Put OI  This week major addition in monthly expiry
14,000
was seen on the PUT front in 18,800, 18,700
12,000 and 18,400 strike adding 48.33 Lac, 46.36
10,000 Lac and 35.26 Lac shares in OI respectively;
while there were was no significant
8,000
unwinding witnessed at any strike.
6,000
 This week major addition in monthly expiry
4,000
was seen on the CALL front in 18,800,
2,000 18,900 and 18,700 strike adding 120.15 Lac,
73.00 Lac and 63.31 Lac shares in OI
Thousands

0
respectively; while there was marginal
-2,000
unwinding seen at 18,400 & 18,500 strike to
18100

18200

18300

18400

18600

18700

18900

19000

19100

19200

19300
18500

18800

the tune of 0.31Lac & 0.26Lac shares

respectively.

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Volatility Analysis

Implied volatility(IV) IV Call Iv Put Historic volatility  IV DIFFERENTIAL between CALL and PUT has
18.00 DECREASED with decrease in IVs from last week’s
17.00 level indicating that Nifty is likely to continue trade
16.00
15.00 with positive trend, while the bias is likely to be
14.00 cautious.
13.00
12.00
11.00  Call IV’s is currently at 9.69% versus 8.72% compared
10.00
9.00
to last week, while Put IV’s is at 9.72% versus 10.99%
8.00 compared to last week.
12-Jun-23

13-Jun-23

14-Jun-23

15-Jun-23

19-Jun-23

21-Jun-23

23-Jun-23
16-Jun-23

20-Jun-23

22-Jun-23
 Implied Volatility of option for the current series is at
9.71% in contrast to 9.81% of last week, while in the
coming week it’s likely to be FLAT-to-INCREASING.

Weekly Participant Wise Open Interest

FUT IDX Long FUT IDX Short FUT STK
Participant Net Chg Net Chg FUT STK Long Net
(contracts) (contracts) Participant Short Net Chg
(contracts) Chg (contracts)
Client 1,81,323 7,092 1,78,087 -6,377
Client 13,84,057 29,151 2,87,755 -4,519
DII 53,410 -1,447 44,919 -2,045
DII 77,037 2,073 14,71,272 -16,787
FII 91,127 -7,593 81,705 1,370 FII 13,41,495 -4,248 11,85,452 72,974
Pro 32,218 1,480 53,367 6,584 Pro 4,13,754 49,963 2,71,864 25,271

FII Index Futures

19-Jun 20-Jun 21-Jun 22-Jun 23-Jun  Last week FII's, No. of contracts in INDEX FUTURES
concluded at 1,72,832 compared to 1,79,055 of last
Thousands

600 180
400 178 week unwinding -6,223 contracts.
200 176
0 174
 The total open interest position of FII's in Index
-200 172 Futures is at Rs 16,142 which on weekly basis have
-400 decreased by Rs -1,037 Crs.
170
-600
168
-800 
In Crores

166 Last week FII's, No. of contracts in NIFTY OPTIONS

-1,000
-1,200 164 concluded at 18,76,379 compared to 17,53,640 of last
-1,400 162 week wherein there was addition of 1,22,739 contracts
-1,600 160 and in Bank Nifty it has reduced by -1,96,839 contracts
and ended the week with 7,32,874 contracts against
NET AMT OI_QTY
9,29,713 of last week.

FII Stock Futures

19-Jun 20-Jun 21-Jun 22-Jun 23-Jun  Last week FII's, No. of contracts in STOCK FUTURES
1,000 2,540 concluded at 25,26,947 compared to 24,58,221 of last
Thousands

500 week adding 68,726 contracts.

2,520
0
2,500
 The total open interest position of FII's in Stock
-500 Futures is at Rs 1,83,667 which on weekly basis have
-1,000 2,480 increased by Rs 2,794 Crs.
In Crores

-1,500
-2,000
2,460
 Last week FII's, No. of contracts in STOCK OPTIONS
-2,500
2,440 concluded at 3,33,003 compared to 3,16,035 of last
week adding 16,968 contracts.
-3,000 2,420
NET AMT OI_QTY

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25 June 2023

Weekly Price Change Weekly OI Change Weekly Roll Over Change

Wkly Price change Wkly OI change Wkly Roll Over change

Finance
1.32% Finance 4.97%
25.39% Finance
-3.09% Power
0.00% Power
18.89% Power
4.06% Pharma
-0.55% Pharma
21.90% Pharma
-3.21% Index
-0.65% Index Index
9.78%
-0.69% Automobile
-1.14% Automobile Automobile
Banking 25.48%
2.12%
-1.44% Banking Banking
-0.17% Technology 26.17%

-1.64% Technology Metals 24.80% Technology

0.58%

-1.81% Metals 2.51% Chemicals 24.26% Metals

-2.25% Chemicals 10.74% Telecom 22.25% Chemicals

-2.28% 0.58% Oil_Gas

Telecom 22.36% Telecom
0.89% Textile
-2.58% Oil_Gas 23.36% Oil_Gas
1.76% Capital_Goods
-2.88% Textile 24.85% Textile
-7.11% Realty
-3.01% Capital_Goods 24.03% Capital_Goods
-6.32% Cement
-3.37% Realty
28.56% Realty
2.09% Infrastructure
-3.58% 28.72% Cement
Cement 2.13% Media

-4.83% 21.92% Infrastructure

Infrastructure -2.98% FMCG

-4.89% 31.89% Media

Media

-6.86% 21.51% FMCG

FMCG

Weekly Open Interest Gainer Weekly Open Interest Loser

Script ID Price % Chg OI Futures % Chg Script ID Price % Chg OI Futures % Chg

SHRIRAMFIN 1675.9 19.00% 7932000 64.92% OFSS 3821.05 -1.80% 311400 -24.75%

COROMANDEL 925.8 -1.67% 1917300 31.30% RAIN 163.35 -5.36% 8732500 -23.40%
RBLBANK 166.2 -4.51% 63620000 28.71% L&TFH 117.9 -0.55% 82252508 -22.19%
ATUL 6916.95 -1.79% 294075 28.56% TATACHEM 974.7 1.70% 8688400 -13.23%
PEL 883.8 12.44% 10957050 27.28%
TCS 3225.95 1.11% 12651975 -11.35%

Weekly Price Gainer Weekly Price Loser

Script ID Price % Chg OI Futures % Chg Script ID Price % Chg OI Futures % Chg
SHRIRAMFIN 1675.9 19.00% 7932000 64.92% ADANIENT 2235.3 -11.08% 12579850 21.86%

PEL 883.8 12.44% 10957050 27.28% IDFC 98.25 -9.45% 196950000 3.74%
MFSL 747.9 7.80% 5659000 9.95% AMBUJACEM 425.95 -7.96% 55915200 0.34%
EXIDEIND 232.3 7.55% 21927600 1.65% BANDHANBNK 236.4 -7.11% 35434000 2.84%
HDFCAMC 2009.55 5.47% 4759500 25.71% INDIACEM 209.4 -6.83% 18316400 -4.53%

 During the week Stocks which witnessed significant OI addition along with price gains are SHRIRAMFIN, PEL,
METROPOLIS
Stock wise Open andInterest
HDFCAMC.Distribution in Banking Sector
 During the week Stocks which witnessed significant OI addition along with decrease in price are INDIAMART,
COROMANDEL, RBLBANK and ATUL.

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25 June 2023

Stock wise Open Interest Distribution in Banking Sector

3,50,000

3,00,000
Thousands

2,50,000

2,00,000

1,50,000

1,00,000

50,000

Bank Nifty Strike wise open interest distribution

Open Interest
Call OI Put OI
4,500
4,000
3,500
3,000
2,500
2,000
1,500
1,000
500
Thousands

0
42800

42900

43200

43300

43600

43900

44000

44300

44400

44600
42700

43000

43100

43400

43500

43700

43800

44100

44200

44500

Bank Nifty as per monthly expiry has a strong support at 43,500; as 43,500 Put strike is having high OI
concentration followed by 43,000 & 42,500; while on the Call front 45,000CE strike has high OI
concentration indicating strong resistance level followed by 44,000 & 44,500; with 43,700 will be acting
as a pivotal level.
Weekly Open Interest Gainer Weekly Open Interest Loser
Script ID Price % Chg OI Futures % Chg Script ID Price % Chg OI Futures % Chg

RBLBANK 166.20 -4.51% 6,36,20,000 28.71% IDFCFIRSTB 77.65 -4.08% 25,93,95,000 -8.80%

CANBK 296.80 -2.75% 4,88,99,700 13.51% KOTAKBANK 1,834.60 -1.37% 2,80,63,600 -4.86%
SBIN 555.95 -3.08% 8,56,90,500 13.00%

Weekly Price Gainer Weekly Price Loser

Script ID Price % Chg OI Futures % Chg Script ID Price % Chg OI Futures % Chg
HDFCBANK 1,644.85 2.10% 9,34,25,750 1.60% BANDHANBNK 236.40 -7.11% 3,54,34,000 2.84%

BANKBARODA 191.90 1.75% 9,62,32,500 0.73% AUBANK 736.45 -5.49% 1,19,78,000 9.36%

RBLBANK 166.20 -4.51% 6,36,20,000 28.71%

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 Weekly Derivative Report
25 June 2023

INDEX Since Inception INDEX Weekly Data

%
FINNIFTY 11-Jan-21 23-Jun-23 % Diff. FINNIFTY 16-Jun-23 23-Jun-23
Diff.
FUTURE FUTURE
PRICE
15,676.25 19,539.00 24.64%
PRICE 19,512.65 19,539.00 0.14%
OPEN - OPEN
77,880 46,200 45,720 46,200 1.05%
INTEREST 40.68% INTEREST
On the weekly basis FINNIFTY futures have seen a price Increment to the tune of 0.14% with a Increase in
Open Interest by 1.05% indicating Long Build Up.

COMPARISION TABLE

WEEKLY PRICE WEEKLY OI

SR.NO STOCKS CMP CURRENT OI OI INT
DIFF DIFF
1 AXISBANK 960.95 53199000 -1.85% -2.80% LU
2 BAJAJFINSV 1503.8 8848500 -0.60% 1.54% SB
3 BAJFINANCE 6992.5 3837625 -3.13% 2.90% SB
4 CHOLAFIN 1093.05 10551250 -3.21% -2.72% LU
5 HDFC 2723.3 26958300 2.23% -3.62% SC
6 HDFCAMC 2009.55 4759500 5.47% 25.71% LB
7 HDFCBANK 1644.85 93425750 2.10% 1.60% LB
8 HDFCLIFE 628.45 19492000 2.60% -8.06% SC
9 ICICIBANK 925.45 86669800 -1.34% 5.86% SB
10 ICICIGI 1274.85 5034850 1.13% 0.73% LB
11 ICICIPRULI 557.9 13714500 4.22% 18.22% LB
12 IEX 127.1 51266250 0.47% -5.31% SC
13 KOTAKBANK 1834.6 28063600 -1.37% -4.86% LU
14 MUTHOOTFIN 1224.8 5585250 4.39% 1.33% LB
15 PFC 200.45 66550800 1.21% 0.70% LB
16 RECLTD 156.15 68888000 1.83% 19.43% LB
17 SBICARD 859.85 8248800 -6.17% -0.49% LU
18 SBILIFE 1266.05 9785250 -0.99% 16.14% SB
19 SBIN 555.95 85690500 -3.08% 13.00% SB
19 SHRIRAMFIN 1675.9 7932000 19.00% 64.92% LB

1) Buy HDFCAMC FUT in range :-> 2010 – 1990 SL 1982 Target 2038 & 2060.

2) Sell KOTAKBANK FUT in range :-> 1835 – 1855 SL 1867 Target 1803 & 1787.

2) Buy PFC 197.50 PE in range :-> 3 – 2 SL 1 Target 6.50 & 8.80.

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25 June 2023

Disclosures:

The following Disclosures are being made in compliance with the SEBI Research Analyst Regulations 2014 (herein after referred to as the
Regulations).

1. Axis Securities Ltd. (ASL) is a SEBI Registered Research Analyst having registration no. INH000000297. ASL, the Research Entity
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one of India’s largest private sector bank and has its various subsidiaries engaged in businesses of Asset management, NBFC,
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Research Team
Sr. No Name Designation E-mail
1 Rajesh Palviya Technical & Derivative Analyst - (Head) rajesh.palviya@axissecurities.in
2 Rahil Vora Derivative Analyst rahil.vora@axissecurities.in
3 HemangGor Derivative Analyst hemang.gor@axissecurities.in

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Axis Securities Limited, SEBI Single Reg. No.- NSE, BSE & MSEI – INZ000161633, ARN No. 64610, CDSL-IN-DP-CDSL-693-2013, SEBI-
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