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1. 8 July 2019 For private circulation only
WEEKLY DERIVATIVE REPORT
08 July 2019
Nifty Futures View Volatility FII Activity
Nifty Active Futures 11820.95 India VIX Index 13.06 INDEX FUTURES -673
Nifty Active Futures OI 18051525 Nifty ATM Call IV 8.78 INDEX OPTIONS -68
Change in OI 134550 Nifty ATM Put IV 14.88 STOCK FUTURES -67
Premium / Discount 9.80 PCR Index Options 1.09 STOCK OPTIONS -132
Inference Short Build up PCR F&O Total 0.70 FII Net Activity -940
NNiiffttyy OOppttiioonnss OOII DDiissttrriibbuuttiioonn HIGHLIGHTS: Nifty futures closed at 11820.95 on a negative
note with 0.75% increase in open interest indicating Short
Build Up. Nifty Futures closed at a premium of 10 points
compared to previous day premium of 33 points
FII's were Sellers in Index Futures to the tune of 673 crores
and were Sellers in Index Options to the tune of 68 crores,
Stock Futures were Sellers o the tune of 67 crores. FII's were
Net Sellers in derivative segment to the tune of 940 crores.
India VIX index is at 13.06 Nifty ATM call option IV is currently
at 8.78 whereas Nifty ATM put option IV is quoting at 14.88.
Index options PCR is at 1.09 and F&O Total PCR is at 0.70.
NNiiffttyy OOppttiioonnss --CChhaannggee iinn OOII
Among stock futures MFSL, MARICO, SBIN & KOTAKBANK
witnessed long build up and may show strength in coming
session.
Stock which witnessed short build up are STAR, NIITTECH,
KAJARIACER & SIEMENS witnessed short build up may
remain weak in coming session.
Nifty Put options OI distribution shows that 11500 has highest
OI concentration followed by 11300 & 11700 which may act
as support for current expiry.
Nifty Call strike 12000 followed by 12500 witnessed significant
OI concentration and may act as resistance for current expiry.
SSEECCUURRIITTIIEESS IINN BBAANN PPEERRIIOODD::
DHFL,RELCAPITAL.
__________________________________________________________________________________________________________________
SSttoocckk FFuuttuurreess -- LLoonngg BBuuiilldd
______________________________________________________________________________________________________________
SSttoocckk FFuuttuurreess -- SShhoorrtt BBuuiilldd UUpp
Symbol
Fut
Price
% Chg Open Interest % Chg
MFSL 418.05 0.14% 2412000.00 20.22%
MARICO 380.30 1.04% 8192600.00 5.28%
SBIN 371.45 0.84% 73404000.00 4.65%
KOTAKBANK 1518.95 1.03% 9330800.00 4.19%
Symbol
Fut
Price
% Chg
Open
Interest
% Chg
STAR 374.90 -4.84% 3753600.00 34.83%
NIITTECH 1317.65 -0.82% 1341750.00 19.35%
KAJARIACER 562.70 -4.16% 2421900.00 13.46%
SIEMENS 1266.40 -7.03% 1402500.00 12.43%
0
50
100
150
200
250
11400
11500
11600
11700
11800
11900
12000
12100
12200
12300
x10000
Call Put
-40
-20
0
20
40
60
80
11400
11500
11600
11700
11800
11900
12000
12100
12200
12300
x10000
Call Put

2. 8 July 2019 For private circulation only
WEEKLY DERIVATIVE REPORT
Week ended 05 July 2019
NNIIFFTTYY HHIIGGHHLLIIGGHHTTSS::
 Nifty Futures has decreased by 0.17% to close at 11,821 from previous week close of 11,842.
 Nifty annualized volatility index India Vix has decreased to 13.06% from 14.95% down by 12.62%.
 The total open interest (OI) in the Nifty stood at Rs 17,148cr.Where as stock futures OI is at 53,215cr.
 The open interest position of FII in Index Futures is at Rs 17,476Cr and in Stock futures is at Rs 84,125Cr.
Nifty PCR OI  PCR OI has come down from high of 1.49
making low of 1.09 and closed on weekly
basis at 1.09 levels.
 PCR OI currently is at 1.09 levels which is
marginally above the median line indicating
that we might see some cautiousness in Nifty
from current levels.
OOppeenn IInntteerreesstt AAnnaallyyssiiss
 Options Built up Shows that for now
nifty has strong support at 11,700
followed by 11,300 and resistance at
12,000 levels followed by 12,100.
 12,000 & 12,100 strike call and 11,700 put
followed by 11,300 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 11,700 strikes adding
5.87 and 5.96 lakh in OI respectively.
 On the Call front we have seen addition at
12,000 strike with increase in OI of 8.71 lakh
shares, while addition of 7.49 lakh shares was
witnessed in 12,100 strike.
1.00
1.10
1.20
1.30
1.40
1.50
1.60
1.70
1.80
3.00
3.50
4.00
4.50
5.00
5.50
6.00
6.50
24-Jun
25-Jun
26-Jun
27-Jun
28-Jun
1-Jul
2-Jul
3-Jul
4-Jul
5-Jul
PUTCALLRATIO
OIincr.
Call OI Put OI
0
500,000
1,000,000
1,500,000
2,000,000
2,500,000
11200
11300
11400
11500
11600
11700
11800
11900
12000
12100
12200
12300
12400
OpenInterest
Open Interest Put OI Call OI
-1,000,000
-500,000
0
500,000
1,000,000
11200
11300
11400
11500
11600
11700
11800
11900
12000
12100
12200
12300
12400
OpenInterest
Change in Open Interest Call OI Put OI

3. 8 July 2019 For private circulation only
WEEKLY DERIVATIVE REPORT
VVoollaattiilliittyy AAnnaallyyssiiss
 IV differential between call and put has
decreased from last week level, which implies
that nifty will continue to trade with current
momentum.
 Call IV’s currently at 12.50%, while Put IV’s are
at 12.22%.
 Implied Volatility of option for the July series is at
12.39% and has seen decreasing trajectory this
week.
WWeeeekkllyy PPaarrttiicciippaanntt WWiissee OOppeenn IInntteerreesstt
Participant
FUT IDX
Long
(contracts)
Net Chg
FUT IDX
Short
(contracts)
Net Chg
Client 171,036 8,670 197,566 -8,559
DII 39,761 -2,728 36,341 3,409
FII 122,242 9,652 89,057 15,604
Pro 27,896 -1,060 37,971 4,080
Participant
FUT STK
Long
(contracts)
Net Chg
FUT STK
Short
(contracts)
Net
Chg
Client 846,725 11,980 270,808 23,931
DII 8,996 2,314 929,842 7,301
FII 801,095 17,614 507,651 12,299
Pro 141,472 13,441 89,987 1,818
FFIIII IInnddeexx FFuuttuurreess
 FII activity in the index futures had been mostly
on the mixed during this week.
 FII have been net Sellers in Index future to the
tune of 348 crore during this week.
FFIIII SSttoocckk FFuuttuurreess
 FII activity in Stock futures had been on the Buy
side during the last week.
 This week FII have been net Buyers in stock future
segment to the tune 741 crore.
9.00
10.00
11.00
12.00
13.00
14.00
15.00
16.00
17.00
18.00
24-Jun-
19
25-Jun-
19
26-Jun-
19
27-Jun-
19
28-Jun-
19
1-Jul-19
2-Jul-19
3-Jul-19
4-Jul-19
5-Jul-19
Implied volatility(IV) IV Call
Iv Put Historic volatility
175,000
200,000
225,000
1-Jul 2-Jul 3-Jul 4-Jul 5-Jul
-800
-600
-400
-200
0
200
400
600
InCrores
NET AMT OI IN CONTRACT
1,275,000
1,290,000
1,305,000
1,320,000
1-Jul 2-Jul 3-Jul 4-Jul 5-Jul
-400
-300
-200
-100
0
100
200
300
400
500
600
InCrores
NET AMT OI IN CONTRACT

4. 8 July 2019 For private circulation only
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
NIITTECH 1317.65 -0.79% 1341750 65.96%
IGL 298.7 -5.74% 5989500 55.24%
STAR 374.9 -5.00% 3753600 50.24%
RELCAPITAL 52.1 -7.79% 16068000 35.90%
MFSL 418.05 1.76% 2412000 26.10%
Script ID Price % Chg OI Futures % Chg
DHFL 70.75 12.93% 21084000 -18.43%
BANKBARODA 130.55 6.66% 54324000 -17.87%
COLPAL 1179.2 4.01% 2083900 -16.31%
DLF 185.55 -1.17% 39631200 -15.82%
CESC 771.6 -2.19% 1031200 -12.31%
WWeeeekkllyy PPrriiccee GGaaiinneerr WWeeeekkllyy PPrriiccee LLoosseerr
Script ID Price % Chg OI Futures % Chg
ADANIPOWER 64 24.03% 133820000 -2.49%
IBULHSGFIN 731.25 19.67% 18850400 7.82%
DHFL 70.75 12.93% 21084000 -18.43%
DISHTV 30.5 12.13% 85946000 0.57%
INDUSINDBK 1526.65 8.20% 11630000 12.32%
Script ID Price % Chg OI Futures % Chg
YESBANK 88.6 -18.86% 132440000 19.79%
RELCAPITAL 52.1 -7.79% 16068000 35.90%
RELINFRA 48.15 -7.05% 15092000 6.94%
ENGINERSIN 114 -6.67% 8510000 16.57%
SUNPHARMA 376.65 -6.61% 54695300 0.85%
-0.24%
1.43%
2.06%
-1.06%
-0.56%
-4.10%
0.00%
-0.78%
1.66%
-4.05%
-0.48%
-0.53%
0.47%
-0.78%
-2.70%
-1.59%
-2.30%
2.24%
-0.60%
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
3.37%
2.63%
3.94%
-16.79%
2.65%
0.07%
4.61%
-0.52%
5.21%
3.90%
1.53%
-1.10%
-0.19%
4.15%
2.30%
-1.67%
-1.82%
18.75%
2.81%
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
1.18%
0.83%
1.37%
0.87%
1.51%
0.73%
2.77%
0.97%
1.27%
1.17%
1.15%
1.23%
0.59%
0.67%
1.21%
0.39%
1.57%
0.92%
1.05%
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. 8 July 2019 For private circulation only
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
YESBANK, RBLBANK and FEDERALBNK can see some NEGATIVE move in this week.
Bank Nifty has a very strong support at 31,000 with 31,000 PE strike having highest OI concentration
followed by 30,500 and on the call front 31,500 CE strike has highest OI concentration indicating strong
resistance level followed by 32,000.
AXISBANK
BANKBARODA BANKINDIA
CANBK
FEDERALBNK
HDFCBANK
ICICIBANK
IDBI
IDFCFIRSTB
INDUSINDBK, 1%
KOTAKBANK
PNB, 14%
RBLBANK
SBIN
UNIONBANK
YESBANK
47%
53%
Open Interest
Psu Bank Private Bank
0
50,000
100,000
150,000
200,000
250,000
30500
30600
30700
30800
30900
31000
31100
31200
31300
31400
31500
31600
31700
31800
31900
32000
32100
32200
32300
32400
32500
OpenInterest
Open Interest Call OI Put OI

6. 8 July 2019 For private circulation only
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).
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largest private sector bank and has its various subsidiaries engaged in businesses of Asset management, NBFC, Merchant Banking,
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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 Hiren Trivedi Research Associate hiren.trivedi@axissecurities.in
5 Kiran Gawle Associate kiran.gawle@axissecurities.in
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7. 8 July 2019 For private circulation only
WEEKLY DERIVATIVE REPORT
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