Axis Direct presents daily derivatives report presenting recommendations based on technical analysis. For trading in derivatives visit https://simplehai.axisdirect.in/offerings/products/derivatives

1. 4 January 2020 For private circulation only
DAILY DERIVATIVE REPORT
06 Jan 2020
Nifty Futures View Volatility FII Activity
Nifty Active Futures 12256.45 India VIX Index 12.69 INDEX FUTURES -846
Nifty Active Futures OI 11880825 Nifty ATM Call IV 8.61 INDEX OPTIONS 1263
Change in OI -565950 Nifty ATM Put IV 13.5 STOCK FUTURES -17
Premium / Discount 29.80 PCR Index Options 1.37 STOCK OPTIONS 43
Inference Long Unwinding PCR F&O Total 1.14 FII Net Activity 444
NNiiffttyy OOppttiioonnss OOII DDiissttrriibbuuttiioonn HIGHLIGHTS:
Nifty futures closed at 12256.45 on a negative note with -
4.55% decrease in open interest indicating Long Unwinding.
Nifty Futures closed at a premium of 30 points compared to
previous day premium of 57 points.
BankNifty closed at 32161 on a negative note with 3.34%
decrease in open interest indication Long Unwinding.
BankNifty Futures closed at a premium of 92 points compared
to the previous day premium of 135 points.
FII's were Sellers in Index Futures to the tune of 846 crores
and were Buyers in Index Options to the tune of 1263 crores,
Stock Futures were Sellers to the tune of 17 crores. FII's
were Net Buyers in derivative segment to the tune of 444
crores.
India VIX index is at 12.69.Nifty ATM call option IV is currently
at 8.61 whereas Nifty ATM put option IV is quoting at 13.50
NNiiffttyy OOppttiioonnss --CChhaannggee iinn OOII
Index options PCR is at 1.37 and F&O Total PCR is at 1.14.
Among stock futures MINDTREE, CUMMINSIND, ONGC &
MFSL have witnessed long build up and may show strength in
coming session.
Stock which witnessed short build up are BEL, ZEEL,
GLENMARK & CHOLAFIN and may remain weak in coming
session.
Nifty Put options OI distribution shows that 12000 has highest
OI concentration followed by 11500 & 12200 which may act as
support for current expiry.
Nifty Call strike 12500 followed by 12200 witnessed significant
OI concentration and may act as resistance for current expiry.
SSEECCUURRIITTIIEESS IINN BBAANN PPEERRIIOODD::
__________________________________________________________________________________________________________________
SSttoocckk FFuuttuurreess -- LLoonngg BBuuiilldd
____________________________________________________________________________________________________________
SSttoocckk FFuuttuurreess -- SShhoorrtt BBuuiilldd UUpp
Symbol Fut Price % Chg Open Interest % Chg
MINDTREE 811.80 0.68% 1336800.00 12.45%
CUMMINSIND 575.80 0.57% 1922400.00 11.72%
ONGC 128.50 0.27% 40467000.00 8.15%
MFSL 567.35 1.92% 11182600.00 7.03%
Symbol Fut Price % Chg
Open
Interest
% Chg
BEL 101.60 -1.98% 33096000.00 8.95%
ZEEL 275.15 -5.35% 30775100.00 8.66%
GLENMARK 354.05 -0.62% 5899600.00 8.30%
CHOLAFIN 304.95 -2.07% 4255000.00 7.59%
0
100
200
300
400
500
11800
11900
12000
12100
12200
12300
12400
12500
12600
12700
x10000
Call_oi Put_oi
-20
-10
0
10
20
30
40
11800
11900
12000
12100
12200
12300
12400
12500
12600
12700
x10000
Call_chg Put_chg

2. WEEKLY DERIVATIVE REPORT
Week ended 3rd Jan 2020
NNIIFFTTYY HHIIGGHHLLIIGGHHTTSS::
 Nifty Futures has decreased by 0.51% to close at 12,256 from previous week close of 12,319.
 Nifty annualized volatility index India Vix has increased to 12.69% from 10.52% up by 20.62%.
 The total open interest (OI) in the Nifty stood at Rs 12,246cr.Where as stock futures OI is at 44,733cr.
 The open interest position of FII in Index Futures is at Rs 10,445Cr and in Stock futures is at Rs 98,198
Cr.
Nifty PCR OI  PCR OI has made a high of 1.47 & low of
1.12 and closed on weekly basis at 1.37
levels.
 PCR OI currently is at 1.37 levels which is
well above the median line indicating that we
will see some cautiousness in Nifty from the
current levels.
OOppeenn IInntteerreesstt AAnnaallyyssiiss
 Options Built up Shows that for now
nifty has strong support at 12,200
followed by 12,000 and resistance at
12,300 levels followed by 12,500.
 12,200 & 12,500 strike call and 12,200 put
followed by 12,000 put has highest open
interest concentration which suggests
that Nifty is likely to remain &trade
between this levels.
CChhaannggee iinn OOppeenn IInntteerreesstt
 This week major addition was seen on the Put
front with 11,900 and 12,000 strikes adding
5.79 and 5.69 lakh in OI respectively.
 On the Call front we have seen addition at
12,400 strike with increase in OI of 6.33 lakh
shares, while addition of 7.23 lakh shares was
witnessed in 12,600 strike.
VVoollaattiilliittyy AAnnaallyyssiiss
1.00
1.10
1.20
1.30
1.40
1.50
1.60
1.70
1.80
2.50
3.00
3.50
4.00
4.50
5.00
5.50
6.00
6.50
7.00
20-
Dec
23-
Dec
24-
Dec
26-
Dec
27-
Dec
30-
Dec
31-
Dec
1-Jan
2-Jan
3-Jan
PUTCALLRATIO
OIincr.
Call OI Put OI
0
500,000
1,000,000
1,500,000
2,000,000
2,500,000
3,000,000
3,500,000
4,000,000
4,500,000
11600
11700
11800
11900
12000
12100
12200
12300
12400
12500
12600
12700
12800
OpenInterest
Open Interest Put OI Call OI
-1,000,000
-500,000
0
500,000
1,000,000
11600
11700
11800
11900
12000
12100
12200
12300
12400
12500
12600
12700
12800
OpenInterest
Change in Open Interest Call OI Put OI

3. WEEKLY DERIVATIVE REPORT
 IV differential between call and put has
significantly increased from last week level,
which implies that nifty is most likely to be
cautious from current levels & may trade
with negative bias.
 Call IV’s currently at 9.93%, while Put IV’s are
at 11.29%.
 Implied Volatility of option for the current series is
at 10.65% and has seen downward trajectory in
this week.
WWeeeekkllyy PPaarrttiicciippaanntt WWiissee OOppeenn IInntteerreesstt
Participant
FUT IDX
Long
(contracts)
Net Chg
FUT IDX
Short
(contracts)
Net Chg
Client 117,793 -7,246 113,091 -19,503
DII 44,660 6,553 35,658 1,903
FII 61,479 -13,188 58,713 7,748
Pro 13,649 -2,486 30,119 -6,515
Participant
FUT STK
Long
(contracts)
Net Chg
FUT STK
Short
(contracts)
Net
Chg
Client 717,492 4,644 208,157 3,083
DII 19,258 3,717 1,094,169 20,482
FII 982,020 9,859 475,101 17,437
Pro 135,417 10,762 76,760 -12,020
FFIIII IInnddeexx FFuuttuurreess
 FII activity in the index futures had been mostly
on the sell side during this week.
 FII have been net Sellers in Index future to the
tune of 1818 crore during this week.
FFIIII SSttoocckk FFuuttuurreess
 FII activity in Stock futures had been on the Sell
side during the last week.
 This week FII have been net Sellers in stock future
segment to the tune 704 crore.
8.50
9.50
10.50
11.50
12.50
13.50
14.50
20-Dec-
19
23-Dec-
19
24-Dec-
19
26-Dec-
19
27-Dec-
19
30-Dec-
19
31-Dec-
19
1-Jan-
20
2-Jan-
20
3-Jan-
20
Implied volatility(IV) IV Call
Iv Put Historic volatility
114,000
115,000
116,000
117,000
118,000
119,000
120,000
121,000
122,000
30-Dec 31-Dec 01-Jan 02-Jan 03-Jan
-1,000
-800
-600
-400
-200
0
200
400
InCrores
NET AMT OI IN CONTRACT
1,400,000
1,410,000
1,420,000
1,430,000
1,440,000
1,450,000
1,460,000
30-Dec 31-Dec 01-Jan 02-Jan 03-Jan
-1,500
-1,000
-500
0
500
1,000
InCrores
NET AMT OI IN CONTRACT

4. WEEKLY DERIVATIVE REPORT
SSeeccttoorr WWiissee OOppeenn IInntteerreesstt AAnndd PPrriiccee DDaattaa
WWeeeekkllyy PPrriiccee CChhaannggee WWeeeekkllyy OOII CChhaannggee WWeeeekkllyy PPCCRR CChhaannggee
WWeeeekkllyy OOppeenn IInntteerreesstt GGaaiinneerr WWeeeekkllyy OOppeenn IInntteerreesstt LLoosseerr
Script ID Price % Chg OI Futures % Chg
PVR 1882.2 -0.35% 1319600 32.28%
SUNTV 431.8 -4.39% 4902000 27.38%
RAMCOCEM 765.75 1.25% 1249600 26.07%
JUBLFOOD 1683.4 2.77% 2633500 25.82%
CUMMINSIND 575.8 2.16% 1922400 25.13%
Script ID Price % Chg OI Futures % Chg
NTPC 119.1 2.14% 30801600 -9.65%
SAIL 46.8 10.25% 82079600 -9.09%
GAIL 125.4 5.38% 50347626 -8.72%
APOLLOHOSP 1493.05 4.97% 1557000 -8.41%
ESCORTS 621.6 -0.95% 5117200 -8.33%
WWeeeekkllyy PPrriiccee GGaaiinneerr WWeeeekkllyy PPrriiccee LLoosseerr
Script ID Price % Chg OI Futures % Chg
IBULHSGFIN 328 10.55% 21594000 -3.90%
SAIL 46.8 10.25% 82079600 -9.09%
NCC 58.35 9.27% 43506000 -3.03%
NBCC 37.1 8.16% 37380200 -6.41%
TATAMOTORS 191.75 7.97% 67329400 4.41%
Script ID Price % Chg OI Futures % Chg
ZEEL 275.15 -8.63% 30775100 11.83%
DISHTV 12.75 -6.25% 92315700 -7.09%
BAJAJ-AUTO 3085.55 -5.57% 2534750 8.23%
PEL 1526.05 -5.20% 4274397 16.57%
EICHERMOT 21313.8 -4.76% 308460 10.80%
-0.61%
-1.26%
-0.92%
-2.13%
1.21%
2.69%
0.44%
1.93%
-0.52%
8.33%
-1.06%
-0.39%
-0.85%
-2.11%
0.86%
3.00%
-0.23%
0.48%
-0.68%
Wkly Price change
Textile
Fertilisers
Oil_Gas
Cement
Capital_Good
s
Media
FMCG
Pharma
Automobile
Infrastructure
Finance
Others
Power
Metals
Technology
Realty
Banking
Telecom
Index
-5.98%
-0.05%
-2.19%
-4.79%
6.34%
5.70%
4.93%
4.12%
0.66%
8.60%
2.73%
3.09%
1.23%
7.42%
4.80%
3.41%
-0.33%
-0.74%
7.57%
Wkly OI change
Textile
Fertilisers
Oil_Gas
Cement
Capital_Good
s
Media
FMCG
Pharma
Automobile
Infrastructure
Finance
Others
Power
Metals
Technology
Realty
Banking
Telecom
Index
0.36%
0.37%
0.83%
0.27%
0.71%
0.90%
0.95%
0.77%
0.54%
0.43%
0.55%
0.37%
0.29%
0.28%
0.70%
0.19%
0.94%
0.19%
0.28%
Wkly Roll Over change
Textile
Fertilisers
Oil_Gas
Cement
Capital_Good
s
Media
FMCG
Pharma
Automobile
Infrastructure
Finance
Others
Power
Metals
Technology
Realty
Banking
Telecom
Index

5. WEEKLY DERIVATIVE REPORT
SSttoocckk wwiissee OOppeenn IInntteerreesstt DDiissttrriibbuuttiioonn iinn BBaannkkiinngg SSeeccttoorr
BBaannkk NNiiffttyy OOppeenn IInntteerreesstt ffoorr PPSSUU BBaannkkss VV//ss PPrriivvaattee BBaannkkss
BBaannkk NNiiffttyy SSttrriikkee wwiissee ooppeenn iinntteerreesstt ddiissttrriibbuuttiioonn
ICICIBANK, SBIN and INDUSINDBK can see some POSITIVE move in this week.
Bank Nifty has a very strong support at 31,500, as 31,500 PE strike is having highest OI concentration
followed by 31,000 and on the Call front 32,500 CE strike has highest OI concentration indicating strong
resistance level followed by 33,000.
AXISBANK
BANKBARODA
CANBK
FEDERALBNK
HDFCBANK
ICICIBANK
IDFCFIRSTB
INDUSINDBK
KOTAKBANK
PNB, 10%
RBLBANK
SBIN, 10%
YESBANK
29%
71%
Open Interest
Psu Bank Private Bank
0
100,000
200,000
300,000
400,000
500,000
600,000
31000
31100
31200
31300
31400
31500
31600
31700
31800
31900
32000
32100
32200
32300
32400
32500
32600
32700
32800
32900
33000
OpenInterest
Open Interest Call OI Put OI

6. WEEKLY DERIVATIVE REPORT
Disclosures:
The following Disclosures are being made in compliance with the SEBI Research Analyst Regulations 2014 (herein after referred to as the
Regulations).
1. Axis Securities Ltd. (ASL) is a SEBI Registered Research Analyst having registration no. INH000000297. ASL, the Research Entity (RE) as
defined in the Regulations, is engaged in the business of providing Stock broking services, Depository participant services & distribution
of various financial products. ASL is a subsidiary company of Axis Bank Ltd. Axis Bank Ltd. is a listed public company and one of India’s
largest private sector bank and has its various subsidiaries engaged in businesses of Asset management, NBFC, Merchant Banking,
Trusteeship, Venture Capital, Stock Broking, the details in respect of which are available on www.axisbank.com.
2. ASL is registered with the Securities & Exchange Board of India (SEBI) for its stock broking & Depository participant business activities
and with the Association of Mutual Funds of India (AMFI) for distribution of financial products and also registered with IRDA as a
corporate agent for insurance business activity.
3. ASL has no material adverse disciplinary history as on the date of publication of this report.
4. I/We, authors (Research team) and the name/s subscribed to this report, hereby certify that all of the views expressed in this research
report accurately reflect my/our views about the subject issuer(s) or securities. I/We also certify that no part of my/our compensation was,
is, or will be directly or indirectly related to the specific recommendation(s) or view(s) in this report. I/we or my/our relative or ASL does
not have any financial interest in the subject company. Also I/we or my/our relative or ASL or its Associates may have beneficial
ownership of 1% or more in the subject company at the end of the month immediately preceding the date of publication of the Research
Report. Since associates of ASL are engaged in various financial service businesses, they might have financial interests or beneficial
ownership in various companies including the subject company/companies mentioned in this report. I/we or my/our relative or ASL or its
associate does not have any material conflict of interest. I/we have not served as director / officer, etc. in the subject company in the last 12-
month period.
Research Team
Sr. No Name Designation E-mail
1 Rajesh Palviya Technical & DerivativeAnalyst - (Head) rajesh.palviya@axissecurities.in
2 Vaishnavi Jagtap Technical Analyst vaishnavi.jagtap@axissecurities.in
3 Hemang Gor Derivative Analyst hemang.gor@axissecurities.in
4 Rahil.vora Derivative Analyst Rahil.vora@axissecurities.in
5 Hiren Trivedi Research Associate hiren.trivedi@axissecurities.in
6 Kiran Gawle Associate kiran.gawle@axissecurities.in
5. ASL has not received any compensation from the subject company in the past twelve months. ASL has not been engaged in market
making activity for the subject company.
6. In the last 12-month period ending on the last day of the month immediately preceding the date of publication of this research report,
ASL or any of its associates may have:
i. Received compensation for investment banking, merchant banking or stock broking services or for any other services from the
subject company of this research report and / or;
ii. Managed or co-managed public offering of the securities from the subject company of this research report and / or;
iii. Received compensation for products or services other than investment banking, merchant banking or stock broking services
from the subject company of this research report;
ASL or any of its associates have not received compensation or other benefits from the subject company of this research report or any other
third-party in connection with this report
Term& Conditions:
This report has been prepared by ASL and is meant for sole use by the recipient and not for circulation. The report and information
contained herein is strictly confidential and may not be altered in any way, transmitted to, copied or distributed, in part or in whole, to any
other person or to the media or reproduced in any form, without prior written consent of ASL. The report is based on the facts, figures and
information that are considered true, correct, reliable and accurate. The intent of this report is not recommendatory in nature. The
information is obtained from publicly available media or other sources believed to be reliable. Such information has not been independently
verified and no guaranty, representation of warranty, express or implied, is made as to its accuracy, completeness or correctness. All such
information and opinions are subject to change without notice. The report is prepared solely for informational purpose and does not
constitute an offer document or solicitation of offer to buy or sell or subscribe for securities or other financial instruments for the clients.
Though disseminated to all the customers simultaneously, not all customers may receive this report at the same time. ASL will not treat
recipients as customers by virtue of their receiving this report.

7. WEEKLY DERIVATIVE REPORT
Disclaimer:
Nothing in this report constitutes investment, legal, accounting and tax advice or a representation that any investment or strategy is suitable
or appropriate to the recipient’s specific circumstances. The securities and strategies discussed and opinions expressed, if any, in this report
may not be suitable for all investors, who must make their own investment decisions, based on their own investment objectives, financial
positions and needs of specific recipient.
This report may not be taken in substitution for the exercise of independent judgment by any recipient. Each recipient of this report should
make such investigations as it deems necessary to arrive at an independent evaluation of an investment in the securities of companies
referred to in this report (including the merits and risks involved), and should consult its own advisors to determine the merits and risks of
such an investment. Certain transactions, including those involving futures, options and other derivatives as well as non-investment grade
securities involve substantial risk and are not suitable for all investors. ASL, its directors, analysts or employees do not take any
responsibility, financial or otherwise, of the losses or the damages sustained due to the investments made or any action taken on basis of this
report, including but not restricted to, fluctuation in the prices of shares and bonds, changes in the currency rates, diminution in the NAVs,
reduction in the dividend or income, etc. Past performance is not necessarily a guide to future performance. Investors are advise necessarily
a guide to future performance. Investors are advised to see Risk Disclosure Document to understand the risks associated before investing in
the securities markets. Actual results may differ materially from those set forth in projections. Forward-looking statements are not
predictions and may be subject to change without notice.
ASL and its affiliated companies, their directors and employees may; (a) from time to time, have long or short position(s) in, and buy or sell
the securities of the company(ies) mentioned herein or (b) be engaged in any other transaction involving such securities or earn brokerage or
other compensation or act as a market maker in the financial instruments of the company(ies) discussed herein or act as an advisor or
investment banker, lender/borrower to such company(ies) or may have any other potential conflict of interests with respect to any
recommendation and other related information and opinions. Each of these entities functions as a separate, distinct and independent of each
other. The recipient should take this into account before interpreting this document.
ASL and / or its affiliates do and seek to do business including investment banking with companies covered in its research reports. As a
result, the recipients of this report should be aware that ASL may have a potential conflict of interest that may affect the objectivity of this
report. Compensation of Research Analysts is not based on any specific merchant banking, investment banking or brokerage service
transactions. ASL may have issued other reports that are inconsistent with and reach different conclusion from the information presented in
this report.
Neither this report nor any copy of it may be taken or transmitted into the United State (to U.S. Persons), Canada, or Japan or distributed,
directly or indirectly, in the United States or Canada or distributed or redistributed in Japan or to any resident thereof. If this report is
inadvertently sent or has reached any individual in such country, especially, USA, the same may be ignored and brought to the attention of
the sender. This report is not directed or intended for distribution to, or use by, any person or entity who is a citizen or resident of or located
in any locality, state, country or other jurisdiction, where such distribution, publication, availability or use would be contrary to law,
regulation or which would subject ASL to any registration or licensing requirement within such jurisdiction. The securities described herein
may or may not be eligible for sale in all jurisdictions or to certain category of investors.
The Disclosures of Interest Statement incorporated in this document is provided solely to enhance the transparency and should not be
treated as endorsement of the views expressed in the report. The Company reserves the right to make modifications and alternations to this
document as may be required from time to time without any prior notice. The views expressed are those of the analyst(s) and the Company
may or may not subscribe to all the views expressed therein.
Copyright in this document vests with Axis Securities Limited.
Axis Securities Limited, SEBI Single Reg. No.- NSE, BSE & MSEI – INZ000161633, ARN No. 64610, CDSL-IN-DP-CDSL-693-2013, SEBI-
Research Analyst Reg. No. INH 000000297, SEBI Portfolio Manager Reg. No.- INP000000654, Main/Dealing off.- Unit No. 2, Phoenix Market
City, 15, LBS Road, Near Kamani Junction, Kurla (west), Mumbai-400070, Tel No. – 18002100808, Reg. off.- Axis House, 8th Floor, Wadia
International Centre, Pandurang Budhkar Marg, Worli, Mumbai – 400 025.Compliance Officer: Anand Shaha, E-Mail ID:
compliance.officer@axisdirect.in,Tel No: 022-42671582.