Technical & Derivatives Report
May 24, 2016
Sensex (25230) / Nifty (7731)
Exhibit 1: Nifty Daily Chart
We witnessed a gap up opening to start the week on a positive
note. However, this lead was very short lived as we witnessed a
decent correction in the initial hours. This was followed by yet
another attempt to conquer the 7820 mark post the mid-session;
but, once again bears showed their dominance to pull the index
significantly lower to close convincingly below 7750.
Despite this tail-end weakness, we would like to stick to our stance
and thus, expect 7700 - 7680 to act as a strong support zone. As
mentioned in our earlier report, the Nifty has now entered the 9th
time zone of ‘34 Days’.
We would hope this 'Time Zone' to turn positive for our markets.
On the upside, 7820 - 7880 levels are seen as intraday hurdles
for the index.
Key Levels
Support 1 - 7700
Resistance 1 - 7820
Support 2 - 7680
Resistance 2 - 7880
Exhibit 2: Nifty Bank Hourly Chart
Nifty Bank Outlook - (16408)
Yesterday, the Nifty Bank index opened with gains of around half
a percent and started correcting from initial trades. However, post
the first half; we witnessed a good buying interest in the banking
index and as a result, the Nifty Bank bounced by around 180
points. But, this up move immediately got sold into in the
concluding hour. Eventually, the Nifty Bank index ended the
session with a loss of 0.45 percent over its previous close.
The banking index has breached its previous swing low of
16431.65 on hourly chart and thus formed ‘Lower Highs Low
Lows’ on intra day chart. But, at the same time, we are witnessing
a formation of ‘Bullish AB=CD’ pattern on hourly chart around
16370 levels, which depicts a possibility of a healthy bounce in
the index. Additionally, the ‘RSI’ oscillator is also showing positive
divergence on hourly chart. Going forward, we may see a bounce
back in the banking index up to 16635 and 16700 levels. The
mentioned view will get negates below 16250.
Key Levels
Support 1 - 16250
Resistance 1 - 16635
Support 2 - 16180
Resistance 2 - 16700
1
Technical & Derivatives Report
May 24, 2016
Comments
Nifty Vs OI
The Nifty futures open interest has increased by 9.49%
BankNifty futures open interest has decreased by 1.18%
as market closed at 7731.05 levels.
The Nifty May future closed at a premium of 13.80
points against a premium of 13.65 points. The June
series closed at a premium of 19.85 points.
The Implied Volatility of at the money options has
increased from 14.65% to 15.21%.
The total OI of the market is Rs. 2,53,505/- cr. and the
stock futures OI is Rs. 65,317/- cr.
Few of the liquid counters where we have seen high cost
of carry are UNITECH, JPASSOCIAT, STAR, GMRINFRA
and PTC.
Views
OI Gainers
Yesterday, the FIIs activity in equity cash segment
OI
PRICE
remained subdued. While, they bought index future
SCRIP
OI
PRICE
CHG. (%)
CHG. (%)
worth Rs. 326 with rise in OI, indicating long formation.
AMARAJABAT
902400
42.02
919.40
-3.12
In Index Options front, FIIs were net buyer worth
JUSTDIAL
2899800
30.97
682.50
-5.41
Rs. 1213 crores with fall in OI. In call options, 7750 -
IDFC
83440500
30.11
47.00
-1.36
7800 strikes were active and added fresh positions; while
unwinding was seen in 7900 to 8200 strikes. Whereas,
CASTROLIND
9940200
22.05
370.40
-1.13
in put options, some OI addition was seen in 7650 and
POWERGRID
22392000
19.62
148.25
2.38
7750 strikes; followed by unwinding in 7800 and 7500
strikes. Considering rise in IVs, it seems that the call
OI Losers
writers of higher strike price are booking profit.
OI
PRICE
SCRIP
OI
PRICE
Maximum OI in current series is seen at 8000 call and
CHG. (%)
CHG. (%)
7700 put options.
UNITECH
205106000
-10.05
4.00
0.00
Though, FIIs were buyer in index future in yesterday’s
GMRINFRA
239181000
-9.27
11.00
-2.65
session, we would like to wait for follow-up buying from
ORIENTBANK
14370000
-7.81
78.25
-1.01
them to initiate any fresh trade in index. Rollover in Nifty
SRF
781200
-6.64
1186.10
-1.46
and BankNifty are 23.72% and 12.79% respectively.
CADILAHC
3738000
-6.42
325.00
1.01
Historical Volatility
Put-Call Ratio
SCRIP
HV
SCRIP
PCR-OI
PCR-VOL
BRITANNIA
49.41
NIFTY
0.83
0.73
ITC
38.68
BANKNIFTY
0.75
0.76
DISHTV
51.01
SBIN
0.36
0.34
AMARAJABAT
26.00
RELIANCE
0.39
0.63
POWERGRID
22.15
ICICIBANK
0.44
0.53
Strategy Date
Symbol
Strategy
Status
02-05-2016
NIFTY
Long Strangle
Active
09-05-2016
RELIANCE
Long Put
Loss Booked on May 17, 2016
16-05-2016
LT
Short Strangle
Active
23-05-2016
RCOM
Long Straddle
Active
2
Technical & Derivatives Report
May 24, 2016
FII Statistics for 23-May 2016
Turnover on 23-May 2016
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Value
Contracts
( in Cr. )
(%)
Contracts
Change (%)
(in Cr.)
INDEX
INDEX
4055.69
3729.77
325.92
277828
15765.37
5.05
373570
20798.66
33.24
FUTURES
FUTURES
INDEX
INDEX
40348.25
39134.95
1213.30
1252081
71689.68
(2.87)
5433893
312586.21
21.64
OPTIONS
OPTIONS
STOCK
15124.06
14738.26
385.79
1078033
50381.00
2.05
STOCK
FUTURES
1028262
48931.44
67.61
FUTURES
STOCK
STOCK
2990.23
3220.16
(229.93)
102181
4835.39
6.19
OPTIONS
392117
19183.91
-3.85
OPTIONS
TOTAL
62518.23
60823.14
1695.09
2710123
142671.44
0.15
TOTAL
7227842
401500.21
24.80
Nifty Spot = 7731.05
Lot Size = 75
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
7700
71.55
Buy
7800
75.75
48.60
51.40
7748.60
48.15
51.85
7751.85
Sell
7800
22.95
Sell
7700
27.60
Buy
7700
71.55
Buy
7800
75.75
66.65
133.35
7766.65
67.70
132.30
7732.30
Sell
7900
4.90
Sell
7600
8.05
Buy
7800
22.95
Buy
7700
27.60
18.05
81.95
7818.05
19.55
80.45
7680.45
Sell
7900
4.90
Sell
7600
8.05
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
3
Technical & Derivatives Report
May 24, 2016
Daily Pivot Levels for Nifty Constituents
Scrips
S2
S1
PIVOT
R1
R2
ACC
1,374
1,396
1,412
1,434
1,450
ADANIPORTS
176
179
181
183
185
AMBUJACEM
207
210
212
214
216
ASIANPAINT
934
940
950
957
966
AUROPHARMA
739
749
765
775
791
AXISBANK
479
483
489
493
499
BAJAJ-AUTO
2,376
2,399
2,431
2,454
2,487
BANKBARODA
128
130
133
135
138
BHEL
117
118
119
120
121
BPCL
901
911
922
932
943
BHARTIARTL
338
342
345
349
353
INFRATEL
370
377
382
389
394
BOSCH
20,578
20,818
21,106
21,345
21,634
CIPLA
486
491
501
507
516
COALINDIA
277
279
280
282
283
DRREDDY
3,004
3,017
3,032
3,045
3,060
EICHERMOT
18,063
18,165
18,303
18,405
18,543
GAIL
361
366
373
378
385
GRASIM
4,153
4,182
4,220
4,250
4,288
HCLTECH
727
730
735
738
743
HDFCBANK
1,123
1,130
1,140
1,147
1,157
HDFC
1,140
1,150
1,169
1,179
1,197
HEROMOTOCO
2,851
2,869
2,887
2,905
2,923
HINDALCO
85
86
87
88
89
HINDUNILVR
807
813
819
826
832
ICICIBANK
218
220
222
223
225
IDEA
108
109
110
111
112
INDUSINDBK
1,033
1,044
1,062
1,074
1,092
INFY
1,173
1,180
1,193
1,200
1,213
ITC
332
339
347
354
362
KOTAKBANK
695
699
705
709
715
LT
1,221
1,231
1,248
1,259
1,276
LUPIN
1,405
1,435
1,481
1,511
1,556
M&M
1,268
1,276
1,289
1,297
1,310
MARUTI
3,859
3,886
3,927
3,955
3,996
NTPC
134
135
136
137
139
ONGC
203
206
210
213
217
POWERGRID
143
146
147
150
151
RELIANCE
917
924
932
939
947
SBIN
165
167
170
171
174
SUNPHARMA
771
778
786
792
800
TCS
2,440
2,466
2,506
2,532
2,572
TATAMTRDVR
255
257
262
264
269
TATAMOTORS
374
378
384
388
394
TATAPOWER
70
70
71
71
72
TATASTEEL
304
309
317
322
331
TECHM
469
473
477
481
485
ULTRACEMCO
3,083
3,103
3,130
3,149
3,176
WIPRO
535
537
541
543
547
YESBANK
969
973
979
984
990
ZEEL
428
432
438
442
448
4
Technical & Derivatives Report
May 24, 2016
Research Team Tel: 022 - 39357800
For Technical Queries
For Derivatives Queries
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