Daily Derivatives October 28, 2014

Daily Derivatives
October 28, 2014
16.6
16.6
17.3
17.4
17.5
16.5
16.0
15.9
15.7
17.2
18.1
19.0
19.7
20.4
8300
8200
8100
8000
7900
7800
7700
30-S e p
1-O ct
7-O ct
8-O ct
9-O ct
10-O ct
13-O ct
14-O ct
16-O ct
17-O ct
20-O ct
21-O ct
22-O ct
27-O ct
O I In m illio n
21
19
17
15
13
11
9
7
5
N ifty F uture s O I
Nifty F ut P rice (R H S )
Call
8400
8300
8200
8100
8000
7900
7800
7700
7600
1 .9
3 1 .1
1 .6
4 0 .2
2 .3
3 9 .6
7 .3
4 5 .9
2 0 .5
5 7 .6
4 5 .4
5 0 .3
7 0 .5
8 .7
5 5 .9
4 .1
3 0 .6
3 .7
1 9 .8
1 .7
Nifty Call Put Concentration (OCT)
7500
O I in Lacs
Nifty Options OI Distribution
80
70
60
50
40
30
20
10
0
Put
Active Nifty Strike
C all (% )
S trike
IV (% )
15.67
O I chg %
-3.53
7700
7800
-32.17
16.72
-4.43
17.68
7900
-7.69
12.98
-3.91
14.85
8000
6.21
12.32
1.14
12.29
8100
10.53
12.82
-23.12
9.64
IV (% )
21.86
Index F utures
S e ll
Index futures
3243
2563
Index options
13987
13241
S tock future s
11769
11979
S tock options
2380
2525
31379
30308
T ota l
8024
10.21
19736650
0.87
1.13
11.48
-0.32%
-
3.36%
-
-
S3
-
Nifty fu tu re
7880
7949
Source: NSE, Seediff, ICICIdirect.com Research
7973
8018
8042
8087
8156
F&O Highlights
• Post a positive start, the Nifty was unable to surpass the 8050 mark. This
resulted in selling in oil & gas, FMCG, IT and a few other heavyweights. The
index finally ended 30 points lower. Nifty futures premium declined and settled
at 6 points. India VIX increased 5.07% and settled at 13.51
• FIIs bought | 49 crore while DIIs bought | 10 crore in the cash segment. FIIs
bought | 680 crore in index futures and | 746 crore in index options. In stock
futures, they sold | 210 crore
• The highest Put base is at the 7900 strike with 58 lakh shares while the highest
Call base is at the 8100 strike with 70 lakh shares. The 8000 and 8100 Calls
witnessed addition of 2.65 and 6.71 lakh shares, respectively. The 7900 and
7800 Put strikes saw reduction of 2.34 and 1.45 lakh shares, respectively
Index Outlook
• Nifty Future: The Nifty is likely to open flat to positive on the back of mixed
global cues. It is likely to trade in the 7980-8050 range. The trading strategy
would be to create shorts near 8030-8035 for targets of 8000 and 7980 with a
stop loss of 8050
• Bank Nifty Future: Futures saw long additions of over 8%. Hence, initiate long
trades at 16400-16420 for targets of 16500-16580 with a stop loss of 16360
Stocks Analysis
Airtel and Kotak Mahindra Bank while short build-up was seen in CESC, Dabur
India, Hindustan Unilever, Just Dial and Crompton Greaves
• OI shedding: We saw short covering in M&M Finance, Voltas India, Sun TV,
Apollo Hospital and Coal India whereas long closure was seen in UPL, Reliance
Power, India Cement, HDIL and Tata Motors
Intraday Strategy*
ii) Aurobindo Pharma (AURPHA)
Buy AXIBAN Oct Fut at 427.50-428.00
Sell AURPHA Oct Fut at 950.00-952.00
View: Bearish
Target 1: 430.30
Strategy: Sell Future
Target 1: 944.10
Target 2: 433.00
388462
8.6
746 1804179
-1.4
1.6
-144
81438
0.5
1071 3542277
0.7
Analyst
Amit Gupta
amit.gup@icicisecurities.com
Nandish Patel
nandish.patel@icicisecurities.com
Azeem Ahmad
azeem.ahmad@icicisecurities.com
ICICI Securities Ltd. | Retail Equity Research
CMP : 947
Open Interest Activity
IF C I
-210 1268198
Target 2: 935.50
Stop Loss: 958.30
Market Lot: 500
Market Lot: 1250
CMP : 426
-2.80
Source: Company, ICICIdirect.com Research
8.08
*Call initiation message will be broadcast on iclick-2-gain”
S ym b o l
680
8015
-0.29%
R3
O I (lots) % C hg
Net
13.72
R2
-0.63
(In | crore)
B uy
1.00
R1
Stop Loss: 424.70
FII Activities
ATM IV
0.90
P iv
Strategy: Buy Future
S tock O ptions
F &O T ota l
P C R V ol
20399650
S1
16.21
68.63
171734
COC
S2
14922.52
43300.71
13758.85
243716
PC R O I
9.59
P ivo t levels (O C T)
View: Bullish
3,73,006
61,65,059
S egm e nt
C h ang e (%)
% C hg
42,58,096
To t F u t O I
7998
P revious
T urnover (C r)
S tock F utures
Index O ptions
Fut
7992
i) Axis Bank (AXIBAN)
F&O Turnover
No. of
C ontracts
3,66,577
11,67,380
S p ot
C u rrent
• OI addition: We saw long build-up in IFCI, Yes Bank, United Breweries, Bharti
P ut (% )
O I chg %
-25.50
Instrum e nt
October 28, 2014
Nifty Snapshot & Pivot Points
Nifty Futures – OI vs. Price
O I(L o ts )
% Chg
P rice
71172000
16.95
36
Y E S B ANK
7924000
16.72
645
D AB U R
8334000
16.20
209
478000
13.95
702
5621000
13.54
722
UBL
H IND U NIL V
% C h g S ym b o l
O I(L o ts ) % C h g
P rice % C h g
0.71 M&MF IN
6901000
-7.24
290
3.76 V O L T AS
6690000
-6.93
245
1.32
7764000
-5.64
336
-0.19
2341000
-5.07
315
1.34
-5.08 AD ANIP O W 46472000
-4.58
45
-0.87
-3.20 U P L
1.65 S U NT V
4.07
Strategy Follow-up
D ate
27-O ct-14
27-O ct-14
S to ck
AS IP AI
R E L C AP
V iew S trateg y
B uy L ong F ut
S ell S hort F ut
R eco
645.00
464.00
T arg et
652.00
456.50
SL
637.80
467.50
P &L
C o m m en t
Not Initiated
7500
T arget Achieved
Trading Portfolio allocation
•
It is recommended to spread out the trading corpus in a proportionate manner between the various derivatives research
products.
•
Please avoid allocating the entire trading corpus to a single stock or a single product segment.
•
Within each product segment it is advisable to allocate equal amount to each recommendation.
•
For example: The ‘Daily Derivatives’ product carries 2 intraday recommendations. It is advisable to allocate equal amount
to each recommendation
Allocation
Max allocation
per stock
Number of Calls
Frontline
Stocks
Mid-cap
stocks
Daily Derivatives
5%
Duration
2-3%
2 Stocks
1%
2-3%
Weekly Derivatives
Intraday
10%
3-5%
2 Stocks
3-5%
5-7%
1 Week
High OI stock
5%
2-3%
2-3 Stocks
5-7%
7-10%
1-2 Weeks
Monthly Derivatives
15%
3-5%
4-7 Stocks
7-10%
10-15%
1 Month
Global Derivatives
5%
2-3%
1-2 index strategy
-
-
1 Month
Stock Trader/ Stock in Focus
15%
2-3%
5-6 Stocks
7-10%
10-15%
3 Months
Alpha Trader
5%
2-3%
2-3 Alpha strategy
5%
-
3 Months
Volatility Insights
5%
2-3%
1-2 Strategy
8-10%
10-15%
1-2 Month
Arbitrage Opportunity
5%
2-3%
2-3 Stocks
> 2.5%
>2.5%
Event Based
Positional / Daily Futures
10%
2-3%
8-12 Stocks
1-3%
2-5%
1-14 days
Index option & Strategy
10%
3-4%
2-5 Nifty
2-3%
-
1-14 days
Stock option & Strategy
5%
3-4%
2-8 Stocks
-
3-5%
1-14 days
Currency Futures
5%
3-4%
3-5 Calls
-
-
Intraday
Products
Pankaj Pandey
Return Objective
Product wise
allocation
Head – Research
pankaj.pandey@icicisecurities.com
ICICIdirect.com Derivatives 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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