Technical & Derivatives Report
October 27, 2016
Sensex (27837) / Nifty (8615)
Exhibit 1: Nifty Daily Chart
Yesterday's session opened on a pessimistic note owing to
negative cues from the global peers. Subsequently, we witnessed
an acceleration of the downward momentum as the day
progressed to end the session with a decent cut.
A sharp correction witnessed during yesterday's session has
proved the significance of 8745 which we have been mentioning
as a strong resistance since last few days. Going ahead, 8660 -
8700 would act as an immediate resistance zone. On the other
hand, a follow- through selling may drag the Nifty towards the
next support levels of 8580 - 8550.
Key Levels
Support 1 - 8580
Resistance 1 - 8660
Support 2 - 8550
Resistance 2 - 8700
Exhibit 2: Nifty Bank Daily Chart
Nifty Bank Outlook - (19484)
Yesterday's fall in the benchmark index was mainly led by the
banking conglomerates after posting the disappointing set of Q2
numbers by Axis Bank. The rub off effect was seen on its peer
counter ICICI Bank, which eventually had an adverse effect on the
Nifty Bank index. As a result, the index tanked by nearly one and
half percent to display weakness on daily chart.
This down move was very much on our expected lines as we had
initiated a 'Sell' position in Nifty Bank on Tuesday. Going forward,
we expect an extension of these losses towards 19300 - 19200
levels and traders are now advised to revise their stop losses tad
above 19700 for existing shorts. The intraday resistance would
now be seen in the range of 19550 - 19600 levels.
Key Levels
Support 1 - 19300
Resistance 1 - 19550
Support 2 - 19200
Resistance 2 - 19600
1
Technical & Derivatives Report
October 27, 2016
Comments
Nifty Vs OI
The Nifty futures open interest has increased by 8.18%
BankNifty futures open interest has decreased by 9.54%
as market closed at 8615.25 levels.
The Nifty October future closed with a premium of 1.50
against the premium of 9.05 points in last trading
session. The November series closed at a premium of
42.75 points.
The Implied Volatility of at the money options has
increased from 13.81% to 15.33%. At the same time, the
PCR-OI of Nifty has decreased from 0.98 to 0.90 levels.
The total OI of the market is Rs. 3,06,730/- cr. and the
stock futures OI is Rs. 88,379/- cr.
Few of the liquid counters where we have seen high cost
of carry are JINDALSTEL, TATACOMM, IBREALEST, IDBI
and TECHM.
Views
OI Gainers
Yesterday, FIIs were net sellers in both cash market and
OI
PRICE
SCRIP
OI
PRICE
CHG. (%)
CHG. (%)
index future segment. They sold equities to the tune of
DABUR
7270000
30.23
297.05
4.19
Rs. 1451 crores. While, in index futures, they sold worth
CUMMINSIND
758400
27.42
880.75
1.54
Rs. 232 crores with rise in open interest, indicating short
M&MFIN
15727500
20.68
363.85
1.95
build-up in previous trading session. www.angelbroking.com
JUSTDIAL
4563200
19.78
448.20
-0.02
On Index Options front, FIIs bought of worth Rs. 764
JPASSOCIAT
221748000
18.19
11.30
-1.31
crores with marginal change in OI. In call options, 8600
AXISBANK
45031200
17.84
487.15
-7.95
- 8700 strikes were active and added good amount of
MARUTI
2596200
14.53
5877.10
1.37
fresh positions; followed by some unwinding 8900 strike.
CADILAHC
3174400
14.35
387.90
-5.19
On the other hand, in put options, 8550 strike added
fresh longs. We also witness good amount of unwinding
in 8600-8800 put options yesterday. Maximum OI in
OI Losers
October series has been shifted to 8800 call and 8500
OI
PRICE
SCRIP
OI
PRICE
CHG. (%)
CHG. (%)
put options.
ORIENTBANK
10572000
-17.82
129.95
-2.84
As we mentioned in our previous reports that we didn’t
NCC
29904000
-17.54
92.00
-3.06
see any buying interest by FIIs in this bounce. In fact,
ARVIND
8872000
-12.81
405.60
0.55
from last two trading sessions, we are witnessing fresh
BANKINDIA
24348000
-10.79
113.45
-0.26
short addition in Index Futures. Yesterday, good amount
IGL
1915100
-10.17
857.85
-0.88
of unwinding was also visible in 8600-8700 put options
KOTAKBANK
9382400
-10.08
809.90
3.07
and we believe these are covering of shorts formed
earlier. Thus, we belive Nifty may remain under pressure
ENGINERSIN
10535000
-9.69
270.00
-1.33
and we may see October series expiry near 8550 levels.
TVSMOTOR
6858000
-9.43
399.90
-1.87
Historical Volatility
Put-Call Ratio
SCRIP
HV
SCRIP
PCR-OI
PCR-VOL
AXISBANK
50.29
NIFTY
0.90
0.76
JUBLFOOD
61.89
BANKNIFTY
0.95
0.98
KOTAKBANK
22.18
RELIANCE
0.31
0.34
CADILAHC
39.25
AXISBANK
0.44
0.59
DABUR
29.71
INFY
0.51
0.60
2
Technical & Derivatives Report
October 27, 2016
FII Statistics for 26, October 2016
Turnover on 26, October 2016
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Value
Change
Contracts
( in Cr. )
(%)
Contracts
(in Cr.)
(%)
INDEX
INDEX
6226.42
6458.60
(232.18)
290788
19395.97
4.50
380733
26211.40
19.60
FUTURES
FUTURES
INDEX
INDEX
44636.57
43872.46
764.12
1148899
76019.45
(0.33)
6427745
448148.79
41.25
OPTIONS
OPTIONS
STOCK
26034.66
26422.16
(387.51)
976567
64801.38
2.05
STOCK
FUTURES
1459192
102055.18
23.64
FUTURES
STOCK
STOCK
7746.70
7964.35
(217.65)
131473
8911.05
3.31
OPTIONS
609215
44315.50
7.94
OPTIONS
TOTAL
84644.35
84717.57
(73.22)
2547727
169127.85
1.30
TOTAL
8876885
620730.87
34.13
Nifty Spot = 8615.25
Lot Size = 75
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8600
36.80
Buy
8700
85.90
32.15
67.85
8632.15
63.15
36.85
8636.85
Sell
8700
4.65
Sell
8600
22.75
Buy
8600
36.80
Buy
8700
85.90
35.85
164.15
8635.85
81.20
118.80
8618.80
Sell
8800
0.95
Sell
8500
4.70
Buy
8700
4.65
Buy
8600
22.75
3.70
96.30
8703.70
18.05
81.95
8581.95
Sell
8800
0.95
Sell
8500
4.70
Note: Above mentioned Bullish or Bearish Spreads in Nifty (October Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
3
Technical & Derivatives Report
October 27, 2016
Daily Pivot Levels for Nifty Constituents
Scrips
S2
S1
PIVOT
R1
R2
ACC
1,528
1,536
1,542
1,550
1,556
ADANIPORTS
290
297
307
315
324
AMBUJACEM
245
247
248
250
251
ASIANPAINT
1,088
1,106
1,131
1,149
1,174
AUROPHARMA
790
798
811
819
832
AXISBANK
474
481
491
498
509
BAJAJ-AUTO
2,765
2,794
2,820
2,849
2,875
BANKBARODA
151
153
156
158
161
BHEL
137
138
140
141
143
BPCL
662
669
678
685
693
BHARTIARTL
310
314
318
322
327
INFRATEL
357
364
372
379
387
BOSCH
22,222
22,342
22,499
22,619
22,775
CIPLA
569
574
579
583
589
COALINDIA
315
317
319
322
324
DRREDDY
3,115
3,179
3,217
3,280
3,319
EICHERMOT
23,820
24,119
24,459
24,759
25,098
GAIL
426
429
433
437
441
GRASIM
953
962
975
984
997
HCLTECH
778
784
794
801
810
HDFCBANK
1,217
1,228
1,246
1,258
1,276
HDFC
1,308
1,321
1,333
1,346
1,357
HEROMOTOCO
3,334
3,376
3,413
3,455
3,492
HINDALCO
147
148
150
152
154
HINDUNILVR
818
831
839
851
859
ICICIBANK
273
275
280
283
287
IDEA
73
76
78
81
82
INDUSINDBK
1,187
1,195
1,206
1,213
1,224
INFY
1,004
1,009
1,014
1,020
1,025
ITC
229
234
238
243
247
KOTAKBANK
765
788
805
828
844
LT
1,462
1,472
1,481
1,491
1,499
LUPIN
1,477
1,492
1,515
1,531
1,554
M&M
1,277
1,293
1,309
1,325
1,341
MARUTI
5,738
5,803
5,851
5,916
5,964
NTPC
150
151
152
153
154
ONGC
283
287
290
293
296
POWERGRID
173
174
176
178
180
RELIANCE
1,048
1,051
1,055
1,058
1,063
SBIN
252
255
260
263
268
SUNPHARMA
728
734
741
746
754
TCS
2,360
2,378
2,391
2,409
2,421
TATAMTRDVR
328
336
349
357
370
TATAMOTORS
509
519
534
544
559
TATAPOWER
79
80
81
82
83
TATASTEEL
375
387
403
415
431
TECHM
414
418
427
431
440
ULTRACEMCO
3,886
3,912
3,956
3,982
4,026
WIPRO
464
468
474
478
484
YESBANK
1,267
1,279
1,296
1,308
1,325
ZEEL
505
511
515
521
525
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Technical & Derivatives Report
October 27, 2016
Research Team Tel: 022 - 39357800
For Technical Queries
For Derivatives Queries
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