Technical & Derivatives Report
May 05, 2016
Sensex (25102) / Nifty (7707)
Exhibit 1: Nifty Daily Chart
Yesterday too our markets opened on a pessimistic note, which
was clearly a rub off effect of the global bourses. The index
traded with a negative bias throughout the session; but, the
overall intraday range was very narrow. With reference to our
prior reports, we do not want to be biased with our view; but,
honestly speaking, we are not so convinced with the down move
and thus, do not want to get carried away with it.
On the daily chart, we are observing a cluster of support within
50 points range. Firstly, the ‘Trend Line’ support at 7700 (as
shown in the exhibit) and secondly, the ’89 EMA’, which is placed
at 7655. Thus, traders holding short positions are advised to keep
booking profits and not to create fresh (short) positions at current
level. It would be a prudent strategy to wait for an appropriate
signal to form a directional view on the index. On the upside,
7750 - 7780 would now be seen as immediate hurdles for the
index.
Key Levels
Support 1 - 7700
Resistance 1 - 7750
Support 2 - 7655
Resistance 2 - 7780
Exhibit 2: Nifty Bank Daily Chart
Nifty Bank Outlook - (16274)
The Nifty Bank index continued its previous days corrective move
and ended the session with a loss of 0.70 percent over its
previous session’s close.
The bears continued their dominance on the index as there has
been no defence from the bulls to pull the index higher.
Yesterday's action just seemed to be a continuation move with
heavyweights such as ICICI Bank, SBI and Axis Bank dragging the
index lower. The immediate support for the index is placed
around 16050 (61.8% retracement of the previous upmove) and
15932 (89EMA on daily charts). From this range, we are
expecting a pullback move in the upward direction and thus, short
term traders could look to buy selectively in the mentioned range.
The immediate resistance for the index is seen around 16510 and
16700.
Key Levels
Support 1 - 16050
Resistance 1 - 16510
Support 2 - 15932
Resistance 2 - 16700
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Technical & Derivatives Report
May 05, 2016
Comments
Nifty Vs OI
The Nifty futures open interest has decreased by 2.68%
BankNifty futures open interest has decreased by 6.96%
as market closed at 7706.55 levels.
The Nifty May future closed at a premium of 26.20
points against a premium of 36.80 points. The June
series closed at a premium of 40.80 points.
The Implied Volatility of at the money options has
decreased from 16.66% to 16.13%.
The total OI of the market is Rs. 1,97,806/- cr. and the
stock futures OI is Rs. 57,710/- cr.
Few of the liquid counters where we have seen high cost
of carry are UNITECH, SOUTHBANK, JINDALSTEL,
GRANULES and SRTRANSFIN.
Views
OI Gainers
FIIs activity was subdued in equity market segment. While
OI
PRICE
in Index Futures, they sold worth Rs. 1288 crores with fall
SCRIP
OI
PRICE
CHG. (%)
CHG. (%)
in OI, indicating long unwinding in last trading session.
ICIL
313500
24.65
955.10
-10.61
In Index Options front, FIIs bought of Rs. 512 crores with
UBL
1109500
13.62
740.20
-4.77
decent rise in OI. In call options, 8100, 7800 and 8000
IOB
9660000
11.83
28.80
-5.88
strikes were active and they also added decent amount of
ADANIPORTS
33524300
11.40
208.70
-11.89
open interest. Since, IVs of call options
has decreased,
ICICIBANK
58485400
9.86
215.85
-2.99
which suggest writing in these call options. While in put
options, the overall activity was subdued. Maximum OI in
call options has shifted from 8200 to 8000 strike;
OI Losers
whereas in put options, it remained intact at 7700 strike.
OI
PRICE
SCRIP
OI
PRICE
CHG. (%)
CHG. (%)
From last four trading session, we are witnessing good
TVSMOTOR
5984000
-17.89
289.55
0.05
amount of long unwinding followed by some short
MRF
46800
-8.85
33893.15
1.15
formation in Index Futures. Currently, the Nifty is
hovering around its crucial support of 7650 - 7700
KPIT
1984000
-5.16
158.60
-1.21
zone; we advise traders to remain light in this market till
IOC
5359200
-5.04
414.00
-1.98
we see any meaningful fresh positions in either direction.
AXISBANK
27126600
-4.97
464.50
-1.53
Historical Volatility
Put-Call Ratio
SCRIP
HV
SCRIP
PCR-OI
PCR-VOL
ADANIPORTS
74.09
NIFTY
0.82
0.78
SAIL
60.14
BANKNIFTY
0.80
0.88
TATAMOTORS
50.78
ICICIBANK
0.40
0.47
UBL
36.80
RELIANCE
0.42
0.36
TATAMTRDVR
47.97
SBIN
0.56
0.41
Strategy Date
Symbol
Strategy
Status
02-05-2016
NIFTY
Long Strangle
Active
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Technical & Derivatives Report
May 05, 2016
FII Statistics for 04-May 2016
Turnover on 04-May 2016
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Value
Contracts
( in Cr. )
(%)
Contracts
Change (%)
(in Cr.)
INDEX
INDEX
1124.35
2402.26
(1277.90)
257215
14566.90
(6.38)
273120
14963.99
-30.85
FUTURES
FUTURES
INDEX
INDEX
22706.33
23218.10
(511.77)
909665
52154.98
5.87
2356678
136751.70
-29.17
OPTIONS
OPTIONS
STOCK
4287.10
4914.31
(627.22)
973443
46027.23
0.93
STOCK
FUTURES
545062
26907.69
-14.89
FUTURES
STOCK
STOCK
2430.63
2480.91
(50.28)
48171
2331.31
24.89
OPTIONS
290816
14742.18
-5.26
OPTIONS
TOTAL
30548.41
33015.58
(2467.17)
2188494
115080.42
2.41
TOTAL
3465676
193365.55
-26.16
Nifty Spot = 7706.55
Lot Size = 75
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
7800
90.00
Buy
7700
107.85
36.00
64.00
7836.00
35.10
64.90
7664.90
Sell
7900
54.00
Sell
7600
72.75
Buy
7800
90.00
Buy
7700
107.85
59.45
140.55
7859.45
59.45
140.55
7640.55
Sell
8000
30.55
Sell
7500
48.40
Buy
7900
54.00
Buy
7600
72.75
23.45
76.55
7923.45
24.35
75.65
7575.65
Sell
8000
30.55
Sell
7500
48.40
Note: Above mentioned Bullish or Bearish Spreads in Nifty (May Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Technical & Derivatives Report
May 05, 2016
Daily Pivot Levels for Nifty Constituents
Scrips
S2
S1
PIVOT
R1
R2
ACC
1,386
1,395
1,407
1,416
1,429
ADANIPORTS
187
198
216
227
245
AMBUJACEM
211
213
216
218
220
ASIANPAINT
857
865
872
880
887
AUROPHARMA
798
805
810
817
822
AXISBANK
454
458
464
468
474
BAJAJ-AUTO
2,434
2,447
2,464
2,477
2,494
BANKBARODA
144
146
150
153
157
BHEL
116
118
121
123
127
BPCL
932
940
951
958
969
BHARTIARTL
353
357
363
367
373
INFRATEL
366
370
377
381
388
BOSCH
19,073
19,179
19,357
19,463
19,641
CIPLA
522
528
535
540
547
COALINDIA
269
274
278
283
287
DRREDDY
2,898
2,916
2,937
2,955
2,976
EICHERMOT
19,339
19,550
19,819
20,030
20,300
GAIL
356
361
366
371
376
GRASIM
4,074
4,109
4,133
4,169
4,193
HCLTECH
720
729
735
743
749
HDFCBANK
1,105
1,116
1,125
1,136
1,146
HDFC
1,082
1,106
1,122
1,146
1,162
HEROMOTOCO
2,861
2,878
2,897
2,913
2,932
HINDALCO
87
89
93
94
98
HINDUNILVR
839
846
851
858
863
ICICIBANK
209
212
216
219
224
IDEA
116
118
119
121
123
INDUSINDBK
1,022
1,032
1,039
1,050
1,057
INFY
1,162
1,175
1,184
1,198
1,207
ITC
305
309
314
318
323
KOTAKBANK
697
705
713
721
728
LT
1,230
1,239
1,248
1,256
1,266
LUPIN
1,545
1,562
1,576
1,593
1,607
M&M
1,295
1,308
1,319
1,332
1,343
MARUTI
3,769
3,790
3,817
3,838
3,865
NTPC
135
137
138
140
141
ONGC
207
209
212
214
217
POWERGRID
140
141
143
145
146
RELIANCE
968
973
978
984
989
SBIN
176
178
181
183
186
SUNPHARMA
780
792
799
811
819
TCS
2,439
2,459
2,476
2,496
2,513
TATAMTRDVR
268
274
287
294
306
TATAMOTORS
364
373
389
398
415
TATAPOWER
69
70
71
72
73
TATASTEEL
315
322
334
342
354
TECHM
455
461
466
472
477
ULTRACEMCO
3,154
3,169
3,187
3,202
3,220
WIPRO
534
537
540
543
547
YESBANK
902
910
922
930
941
ZEEL
393
399
408
414
424
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Technical & Derivatives Report
May 05, 2016
Research Team Tel: 022 - 39357800
For Technical Queries
For Derivatives Queries
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