DERIVATIVE RESEARCH July 04, 2023

Index level Nifty outlook Gift Nifty 19460 (+55)

Index Close S1 S2 R1 R2 Today the markets are likely to open on flat note. All the emerging
NIFTY 19405 19400 19300 19600 19700 markets are trading mixed. The coming session is likely to witness a
BANKNIFTY 45274 45100 44900 45500 45700 range of 19400 on declines and 19600 on advances.

Nifty snapshot

03-Jul 30-Jun
Nifty Spot 19322.55 19189.05 Stock is in ban period
Nifty Jul 19404.95 19261.25
IBULHSGFIN
Nifty Aug 19495.65 19348.90
Chg. OI (Jul) (%) 2.93 9.64
Chg. OI (Aug) (%) 4.39 13.48
50 Day SMA 18452 18435
100 Day SMA 17968 17967
Sentiment indicator
200 Day SMA 17957 17957
03-Jul 30-Jun 28-Jun 27-Jun 26-Jun
NIFTY Discount/Premium 82.40 72.20 100.35 101.90 115.10
Nifty option OI concentration COST OF CARRY% 0.70 0.66 0.66 0.65 0.65
PCR(OI) 1.36 1.34 1.27 1.37 1.44
In lakhs
lakhs
In PCR(VOL) 1.15 1.36 1.27 1.29 1.14
37.08

40.00 A/D RATIO(Nifty 50) 1.00 6.00 7.33 2.33 2.33

33.47

35.00 A/D RATIO(All FO Stock)* 0.93 2.77 2.37 1.59 3.33

26.38

IMPLIED VOLATILITY 10.13 9.60 9.96 9.87 10.51

25.65

30.00
21.75

VIX 11.54 10.80 10.89 10.78 11.40

19.91

25.00
19.37

19.25

HISTORICAL VOLATILITY 16.9 16.91 16.9 16.91 16.94

16.15
15.28

20.00
13.02

*All Future Stock

12.68
11.50

11.35

15.00
9.84
8.64
8.06

7.25

6.41
6.30

10.00
5.56
5.12

Nifty v/s OI
5.00

0.00 Date Nifty % Change Open Interest % Change

18000 18500 18700 18800 18900 19000 19100 19200 19300 19500 20000
22-Jun 18917 -0.3% 1810400 22.1%
Call Put
23-Jun 18797 -0.6% 2101250 16.1%
26-Jun 18806 0.0% 3527300 67.9%
Nifty option OI change 27-Jun 18919 0.6% 6325950 79.3%
28-Jun 19072 0.8% 9128150 44.3%
30-Jun 19261 1.0% 10007850 9.6%
In lakhs
03-Jul 19405 0.7% 10300750 2.9%
8.51

10.00

8.00

6.00
3.18
3.00

2.73
2.54

4.00 Fund flow (FII/DII)

1.56
0.56

2.00
0.10
0.09

Net investment (in cr)

0.00
FII INDEX FUTURE 434
-0.03
-0.36

-0.46

-0.49

-0.64

-0.98
-0.99

-0.99

-2.00
-1.04

-1.05
-1.40

FII INDEX OPTION 7093

-4.00
FII STOCK FUTURE 229
-3.86
- 4.65

-6.00 FII STOCK OPTION -529

18000 18500 18700 18800 18900 19000 19100 19200 19300 19500 20000 FII CASH 1,996
Call Put DII CASH -338

1
 FII’S activity in Nifty future Nifty discount / premium

In Cr.

174.15
3500 200.00

2861
3000 180.00

145.70
138.20
2500 160.00

131.60
125.10
1540
2000

115.10
140.00

101.90

100.35
1500
120.00
1000

82.40
434
370

100.00
325

263
212

72.20
500
80.00
0
60.00
-500
-248

-1000 40.00
-848

-1500 20.00
-1325

-2000 0.00
19-Jun 20-Jun 21-Jun 22-Jun 23-Jun 26-Jun 27-Jun 28-Jun 30-Jun 03-Jul 19-Jun 20-Jun 21-Jun 22-Jun 23-Jun 26-Jun 27-Jun 28-Jun 30-Jun 03-Jul

Top 10 long build up Indices to out perform

LTP % Change Open Interest % OI Change Closing % Change

IOC 96.1 4.40% 79140750 19.79% PSU BANK 4259 3.61%
HINDPETRO 285.8 3.66% 26578800 18.49% IT 29425 -0.47%
RBLBANK 185.5 1.31% 50030000 12.46% ENERGY 25021 1.31%
MGL 1089.4 3.14% 2255200 11.07% BANK 45158 0.92%
M&MFIN 345.8 2.25% 24964000 10.56% REALTY 524 0.75%
ITC 466.7 2.74% 67030400 8.53%
GRANULES 300.3 0.37% 11088000 7.34% Indices to under perform
GUJGASLTD 478.2 2.64% 7398750 7.05%
Closing % Change
LICHSGFIN 399.4 1.05% 18110000 6.54%
PHARMA 13614 -1.11%
COROMANDEL 964.6 1.79% 1717800 6.28%
FMCG 52742 1.05%
MIDCAP 10143 0.16%
METAL 6275 1.07%
Top 10 short build up MEDIA 1753 0.51%

LTP % Change Open Interest % OI Change Stocks to out perform

PERSISTENT 4859.4 -3.26% 1374625 14.07%
JKCEMENT 3352.4 -0.27% 297250 9.08% Closing % Change
BANDHANBNK 236.0 -3.06% 44650000 8.23% L&TFH 136.2 6.66%
ATUL 6866.4 -1.45% 313575 8.15% RECLTD 167.0 0.72%
CONCOR 661.8 -0.45% 5355000 6.82% M&MFIN 345.8 2.25%
LTIM 5178.2 -0.01% 2095200 6.60%
RBLBANK 185.5 1.31%
LAURUSLABS 356.2 -3.40% 11563400 6.36%
IBULHSGFIN 127.8 2.78%
UPL 681.7 -0.94% 15462200 6.08%
SRF 2286.8 -0.84% 3972750 5.76%
JUBLFOOD 496.1 -0.31% 16060000 5.68% Stocks to under perform
Closing % Change
ITC 466.7 2.74%
GODREJCP 1068.8 -1.85%
BAJFINANCE 7371.2 2.20%
BPCL 377.8 2.98%
INDUSINDBK 1386.4 0.37%

2
 Sector overview Sector overview

Scrips/Indexs OI Volume Price Remark Scrips/Indexs OI Volume Price Remark

Change Change (%) Change Change Change (%) Change
Auto 160450 -6.3% -0.6% Short Buildup Infrastructure -513000 62.8% -0.2% Long Unwinding
Auto Ancillaries -863900 -42.6% 0.1% Short Covering Media 3451500 175.3% 1.2% Long Buildup
PSU Banks 9763350 123.5% 4.2% Long Buildup Metals -3671400 90.2% 1.7% Short Covering
Private Banks 12132025 4.3% 0.5% Long Buildup
NBFC 1158691 11.1% 1.5% Long Buildup
Capital goods -197000 -31.8% -1.3% Long Unwinding
Oil & Gas 22301175 136.2% 2.6% Long Buildup
Cement -1424875 19.4% 1.8% Short Covering
Pharma 92825 -39.2% -1.0% Short Buildup
Fertilizers 960800 5.0% -0.2% Short Buildup
FMCG 5408635 31.9% 0.2% Long Buildup Power 2869500 -28.5% 0.2% Long Buildup

IT -727075 -45.9% -0.5% Long Unwinding Textile 215475 -6.2% -0.9% Short Buildup
Real Estate 885575 -27.4% 0.6% Long Buildup Telecom 2192300 -44.4% 0.3% Long Buildup

Change in sector open interest

In Lakhs

223.01
250.00

200.00
121.32

150.00
97.63

100.00
54.09

34.52

28.70

21.92
11.59

50.00
9.61

8.86

2.15
1.60

0.93

0.00
-1.97

-5.13
-7.27
-8.64

- 14.25

-50.00
Metals - 36.71
IT

Media

Oil & Gas

Pharma
Auto Ancillaries

PSU Banks

FMCG

NBFC
Auto

Cement
Capital goods

Power
Private Banks

Infrastructure
Fertilizers

Real Estate

Telecom
Textile

3
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