DERIVATIVE RESEARCH August 14, 2023

Index level Nifty outlook Gift Nifty 19430 (-74)

Index Close S1 S2 R1 R2 Today the markets are likely to open on positive note. All the emerging
NIFTY 19504 19300 19200 19500 19600 markets are trading negative. The coming session is likely to witness a
BANKNIFTY 44464 44300 44100 44700 44900 range of 19300 on declines and 19500 on advances.

Nifty snapshot

11-Aug 10-Aug
Nifty Spot 19428.30 19543.10 Stock is in ban period
Nifty Jul 19504.35 19596.80
BALRAMCHIN, CHAMBLFERT, DELTACORP, GRANULES, HINDCOPPER,
Nifty Aug 19627.65 19712.75
IBULHSGFIN, INDIACEM, MANAPPURAM, ZEEL
Chg. OI (Aug) (%) -0.48 -1.11
Chg. OI (Sep) (%) 5.36 3.90
50 Day SMA 19255 19240
100 Day SMA 18565 18551
Sentiment indicator
200 Day SMA 18283 18281
11-Aug 10-Aug 09-Aug 08-Aug 07-Aug
NIFTY Discount/Premium 76.05 53.70 57.05 40.40 63.75
Nifty option OI concentration COST OF CARRY% 0.74 0.71 0.70 0.68 0.69
PCR(OI) 1.10 1.15 1.20 1.23 1.23
In lakhs
lakhs
In PCR(VOL) 0.86 0.98 1.01 1.06 1.17
40.77

45.00
A/D RATIO(Nifty 50) 0.29 0.37 1.82 0.53 2.69
40.00 A/D RATIO(All FO Stock)* 0.40 0.30 1.47 0.89 1.77
32.31
31.28

35.00 IMPLIED VOLATILITY 9.15 9.17 9.03 9.45 9.29

25.23

30.00 VIX 11.52 11.40 11.14 11.33 11.10

20.11
19.68
19.66

19.34

25.00 HISTORICAL VOLATILITY 16.1 16.12 16.15 16.18 16.22

15.64

15.60

*All Future Stock

14.42
14.39

20.00
13.28

11.97
11.78

11.29

15.00
8.40
6.48

6.36
5.71

10.00
4.93

Nifty v/s OI
2.13

5.00

0.00 Date Nifty % Change Open Interest % Change

18000 18500 19000 19400 19500 19600 19700 19800 20000 20500 21000
03-Aug 19468 -0.7% 10996550 5.4%
Call Put
04-Aug 19576 0.6% 11403700 3.7%
07-Aug 19661 0.4% 11173750 -2.0%
Nifty option OI change 08-Aug 19611 -0.3% 11097200 -0.7%
09-Aug 19690 0.4% 11023000 -0.7%
10-Aug 19597 -0.5% 10900400 -1.1%
In lakhs
4.00 11-Aug 19504 -0.5% 10847650 -0.5%
3.26
2.74

2.60

3.00
1.91
1.70

2.00
1.23

0.82

1.00
Fund flow (FII/DII)
0.24
0.13

0.05
0.00

0.00 Net investment (in cr)

-0.02

-0.04
-0.07

FII INDEX FUTURE -100

-0.20

-0.22
-0.24

-0.27

-0.33

-0.44

-1.00
-0.83

FII INDEX OPTION 6833

-2.00
FII STOCK FUTURE -1584
-2.23

-3.00 FII STOCK OPTION -193

18000 18500 19000 19400 19500 19600 19700 19800 20000 20500 21000 FII CASH -3,073
Call Put DII CASH 500

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

In Cr.

90.15
100.00

86.50
2000 1105

79.00
90.00

76.05
636

70.00
1000 80.00

424

63.75
59.25
70.00

57.05
0

53.70
60.00
-45

-100
-323

40.40
-1000 50.00
-731

-860

-1162
40.00
-2000
30.00

-3000 20.00

10.00
-3442

-4000
0.00
31-Jul 01-Aug 02-Aug 03-Aug 04-Aug 07-Aug 08-Aug 09-Aug 10-Aug 11-Aug 31-Jul 01-Aug 02-Aug 03-Aug 04-Aug 07-Aug 08-Aug 09-Aug 10-Aug 11-Aug

Top 10 long build up Indices to out perform

LTP % Change Open Interest % OI Change Closing % Change

INDIACEM 253.9 4.59% 24751500 18.82% ENERGY 26368 -0.19%
COFORGE 5210.1 1.90% 817200 17.57% IT 30819 -0.16%
RELIANCE 2551.5 0.43% 22445000 10.45% MEDIA 2200 -1.83%
TATACOMM 1690.2 0.58% 4457000 6.86% METAL 6689 -0.51%
HAL 3796.4 0.07% 4317000 5.41% MIDCAP 10822 -0.43%
MOTHERSON 98.2 2.88% 70510100 5.32%
CANBK 333.9 0.20% 52050600 4.56% Indices to under perform
JINDALSTEL 699.1 3.15% 27513750 4.03%
Closing % Change
GMRINFRA 54.4 1.30% 127800000 3.78%
FMCG 51352 -0.73%
EXIDEIND 269.7 1.87% 16725600 3.22%
BANK 44199 -0.77%
PHARMA 15356 -1.45%
FIN SERVICE 19719 -0.87%
Top 10 short build up REALTY 531 -0.39%

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

APOLLOTYRE 396.1 -8.19% 11019400 19.88%
MFSL 837.3 -2.68% 6755200 14.40% Closing % Change
BRITANNIA 4536.5 -0.66% 2668600 8.24% INDIACEM 253.9 4.59%
JKCEMENT 3265.2 -2.61% 524000 8.04% RECLTD 221.8 3.21%
NAUKRI 4470.8 -4.39% 1380000 7.79% HDFCAMC 2539.6 -1.72%
MARICO 576.4 -0.06% 9577200 5.57%
M&MFIN 284.1 -0.99%
TORNTPHARM 2002.4 -1.80% 1829000 5.42%
COFORGE 5210.1 1.90%
MGL 997.5 -1.63% 3181600 5.07%
APOLLOHOSP 4922.3 -0.11% 2699625 4.68%
PETRONET 223.6 -0.49% 18723000 3.71% Stocks to under perform
Closing % Change
NAVINFLUOR 4465.7 0.95%
GODREJCP 1022.7 -0.61%
PIIND 3861.0 -0.59%
SUNTV 542.6 -1.34%
ASHOKLEY 186.8 -0.11%

2
 Sector overview Sector overview

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

Change Change (%) Change Change Change (%) Change
Auto -1042225 -36.7% -0.6% Long Unwinding Infrastructure 4690500 43.9% -0.7% Short Buildup
Auto Ancillaries 3071200 13.4% 1.6% Long Buildup Media -17059500 -89.0% -2.4% Long Unwinding
PSU Banks -1251250 -16.4% 0.7% Short Covering Metals 5685050 32.5% -0.4% Short Buildup
Private Banks -1894925 -15.3% -0.7% Long Unwinding
NBFC -10118140 -10.0% -0.8% Long Unwinding
Capital goods -387375 -17.6% -0.7% Long Unwinding
Oil & Gas 3836125 7.9% -0.6% Short Buildup
Cement -198775 -17.5% -0.1% Long Unwinding
Pharma -1281950 0.4% -1.6% Long Unwinding
Fertilizers 405200 -6.8% -0.3% Short Buildup
FMCG -3382960 0.0% -0.6% Long Unwinding Power -5347725 -25.9% 0.9% Short Covering

IT -2628425 63.2% 0.1% Short Covering Textile -122715 -24.5% 1.1% Short Covering
Real Estate 899500 -32.8% -1.3% Short Buildup Telecom -310250 -26.1% 0.7% Short Covering

Change in sector open interest

In Lakhs
100.00

56.85
46.91

38.36
30.71

50.00
9.00
4.05

0.00

-1.23
-1.99

-3.10
-3.87
-10.42

-12.51

-12.82
-18.95

-26.28

-50.00
-33.83

-53.48
-100.00
-101.18

-150.00
Media - 170.60

-200.00
IT

Oil & Gas

Pharma
Auto Ancillaries

PSU Banks

FMCG

NBFC
Auto

Cement

Metals
Capital goods

Power
Private Banks

Infrastructure
Fertilizers

Real Estate

Telecom
Textile

3
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