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1. 9 December 2019 For private circulation only
DAILY DERIVATIVE REPORT
09 Dec 2019
Nifty Futures View Volatility FII Activity
Nifty Active Futures 11955.7 India VIX Index 13.64 INDEX FUTURES 240
Nifty Active Futures OI 13431675 Nifty ATM Call IV 10.74 INDEX OPTIONS 2706
Change in OI 270600 Nifty ATM Put IV 14.11 STOCK FUTURES -355
Premium / Discount 34.20 PCR Index Options 1.25 STOCK OPTIONS -58
Inference Short Build up PCR F&O Total 0.98 FII Net Activity 2533
NNiiffttyy OOppttiioonnss OOII DDiissttrriibbuuttiioonn HIGHLIGHTS:
Nifty futures closed at 11955.70 on a negative note with 2.06%
increase in open interest indicating Short Build Up. Nifty
Futures closed at a premium of 34 points compared to the
previous day premium of 29 points.
BankNifty closed at 31418 on a negative note with 8.62%
decrease in open interest indication Long Unwinding.
BankNifty Futures closed at a premium of 77 points compared
to the previous day premium of 49 points.
FII's were Buyers in Index Futures to the tune of 240 crores
and were Buyers in Index Options to the tune of 2706 crores,
Stock Futures were Sellers to the tune of 355 crores. FII's
were Net Buyers in derivative segment to the tune of 2533
crores.
India VIX index is at 13.64.Nifty ATM call option IV is currently
at 10.74 whereas Nifty ATM put option IV is quoting at 14.11
NNiiffttyy OOppttiioonnss --CChhaannggee iinn OOII
Index options PCR is at 1.25 and F&O Total PCR is at 0.98.
Among stock futures EQUITAS, CENTURYTEX,
BERGERPAINT & KOTAKBANK have witnessed long build up
and may show strength in coming session.
Stock which witnessed short build up are L&TFH,
BANKBARODA, RBLBANK & CONCOR may remain weak in
coming session.
Nifty Put options OI distribution shows that 12000 has highest
OI concentration followed by 11500 & 11800 which may act as
support for current expiry.
Nifty Call strike 12000 followed by 12200 witnessed significant
OI concentration and may act as resistance for current expiry.
SSEECCUURRIITTIIEESS IINN BBAANN PPEERRIIOODD:: NNIILL
__________________________________________________________________________________________________________________
SSttoocckk FFuuttuurreess -- LLoonngg BBuuiilldd
____________________________________________________________________________________________________________
SSttoocckk FFuuttuurreess -- SShhoorrtt BBuuiilldd UUpp
Symbol Fut Price % Chg Open Interest % Chg
EQUITAS 112.90 0.44% 23680300.00 30.47%
BERGEPAINT 496.40 1.96% 10608400.00 4.74%
CENTURYTEX 488.45 2.79% 3661200.00 3.78%
KOTAKBANK 1673.00 1.42% 8760400.00 3.24%
Symbol Fut Price % Chg
Open
Interest
% Chg
L&TFH 112.35 -2.98% 24973500.00 14.09%
RBLBANK 336.55 -7.69% 17691300.00 11.10%
BANKBARODA 97.40 -5.02% 77689800.00 9.39%
CONCOR 565.45 -0.77% 7685271.00 7.78%
0
100
200
300
400
11500
11600
11700
11800
11900
12000
12100
12200
12300
12400
x10000
Call_oi Put_oi
-40
-20
0
20
40
60
80
11500
11600
11700
11800
11900
12000
12100
12200
12300
12400
x10000
Call_chg Put_chg

2. WEEKLY DERIVATIVE REPORT
Week ended 6th Dec 2019
NNIIFFTTYY HHIIGGHHLLIIGGHHTTSS::
 Nifty Futures has decreased by 1.19% to close at 11,955 from previous week close of 12,099.
 Nifty annualized volatility index India Vix has decreased to 13.64% from 13.90% down by 1.85%.
 The total open interest (OI) in the Nifty stood at Rs 11,995cr.Where as stock futures OI is at 45,321cr.
 The open interest position of FII in Index Futures is at Rs 13,155Cr and in Stock futures is at Rs 94,156Cr.
Nifty PCR OI  PCR OI has made a high of 1.54 & low
of 1.25 and closed on weekly basis at
1.25 levels.
 PCR OI currently is at 1.25 level which is
well above the median line indicating that
we might see some cautiousness in Nifty at
higher levels.
OOppeenn IInntteerreesstt AAnnaallyyssiiss
 Options Built up Shows that for now
nifty has strong support at 11,800
followed by 11,500 and resistance at
12,000 levels followed by 12,200.
 12,200 & 12,000 strike call and 12,000
put followed by 11,500 put has highest
open interest concentration which
suggests that Nifty is likely to remain
&trade between this levels, with 12000
being a pivotal level.
CChhaannggee iinn OOppeenn IInntteerreesstt
 This week major addition was seen on the
Put front with 11,800 and 11,500 strikes
adding 10.38 and 5.95 lakh in OI
respectively.
 On the Call front we have seen addition at
12,000 strike with increase in OI of 6.50
lakh shares, while addition of 6.32 lakh
shares was witnessed in 12,100 strike.
1.00
1.20
1.40
1.60
1.80
2.50
3.50
4.50
5.50
6.50
7.50
25-
Nov
26-
Nov
27-
Nov
28-
Nov
29-
Nov
2-Dec
3-Dec
4-Dec
5-Dec
6-Dec
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
11300
11400
11500
11600
11700
11800
11900
12000
12100
12200
12300
12400
12500
OpenInterest
Open Interest Put OI Call OI
-1,000,000
-500,000
0
500,000
1,000,000
1,500,000
11300
11400
11500
11600
11700
11800
11900
12000
12100
12200
12300
12400
12500
OpenInterest
Change in Open Interest Call OI Put OI

3. WEEKLY DERIVATIVE REPORT
VVoollaattiilliittyy AAnnaallyyssiiss
 IV differential between call and put has
marginally decreased from last week level,
which implies that nifty, will be cautious at
higher but might trade with positive bias.
 Call IV’s currently at 11.84%, while Put IV’s are
at 11.81%.
 Implied Volatility of option for the current series is
at 11.83% 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 132,783 -7,096 117,362 -36,492
DII 44,609 1,710 31,878 -7,851
FII 72,354 -17,068 84,117 26,344
Pro 13,329 -5,343 29,718 -9,798
Participant
FUT STK
Long
(contracts)
Net Chg
FUT STK
Short
(contracts)
Net
Chg
Client 838,048 22,211 238,776 7,217
DII 14,325 6,575 1,113,037 43,446
FII 1,006,982 -6,993 584,545 -9,372
Pro 166,570 30,521 89,567 11,023
FFIIII IInnddeexx FFuuttuurreess
 FII activity in the index futures had been Sellers
during this week.
 FII have been net Sellers in Index future to the
tune of 1836 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 1182 crore.
10.00
11.00
12.00
13.00
14.00
15.00
16.00
25-Nov-
19
26-Nov-
19
27-Nov-
19
28-Nov-
19
29-Nov-
19
2-Dec-
19
3-Dec-
19
4-Dec-
19
5-Dec-
19
6-Dec-
19
Implied volatility(IV) IV Call Iv Put Historic volatility
140,000
145,000
150,000
155,000
160,000
02-Dec 03-Dec 04-Dec 05-Dec 06-Dec
-800
-600
-400
-200
0
200
400
InCrores
NET AMT OI IN CONTRACT
1,582,000
1,584,000
1,586,000
1,588,000
1,590,000
1,592,000
1,594,000
1,596,000
1,598,000
02-Dec 03-Dec 04-Dec 05-Dec 06-Dec
-1,000
-500
0
500
1,000
1,500
2,000
2,500
InCrores
NETAMT 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
EQUITAS 112.9 6.31% 23680300 124.69%
BHEL 46.8 -12.52% 54774400 34.71%
IGL 401.95 -3.16% 6795250 31.30%
TATAELXSI 853.7 5.23% 1104600 21.60%
RBLBANK 336.55 -9.24% 17691300 21.54%
Script ID Price % Chg OI Futures % Chg
MINDTREE 743.25 5.82% 949800 -22.97%
NMDC 110.55 7.59% 17076000 -18.80%
BATAINDIA 1706.05 4.25% 1798500 -16.15%
JINDALSTEL 140.1 -13.36% 30911600 -14.52%
CADILAHC 255.7 0.04% 7612000 -12.66%
WWeeeekkllyy PPrriiccee GGaaiinneerr WWeeeekkllyy PPrriiccee LLoosseerr
Script ID Price % Chg OI Futures % Chg
NMDC 110.55 7.59% 17076000 -18.80%
EQUITAS 112.9 6.31% 23680300 124.69%
BERGEPAINT 496.4 6.02% 10608400 6.85%
MINDTREE 743.25 5.82% 949800 -22.97%
TATAELXSI 853.7 5.23% 1104600 21.60%
Script ID Price % Chg OI Futures % Chg
YESBANK 54.05 -19.51% 228577800 -0.94%
JINDALSTEL 140.1 -13.36% 30911600 -14.52%
UNIONBANK 55 -13.04% 29799000 15.12%
BHEL 46.8 -12.52% 54774400 34.71%
NCC 52.35 -12.24% 51194000 16.11%
-0.80%
-1.26%
-2.76%
-0.90%
1.64%
-4.05%
-3.93%
-2.65%
-2.71%
-10.00%
-4.43%
-2.87%
-1.02%
-3.52%
-1.99%
-3.43%
-2.30%
-2.07%
-0.80%
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
-5.14%
1.72%
-0.74%
-4.01%
-1.87%
-4.46%
1.49%
-0.87%
-1.94%
-3.36%
-1.55%
-3.28%
-1.22%
0.09%
11.24%
-1.61%
0.48%
-5.19%
-0.71%
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
0.33%
1.11%
1.83%
0.88%
0.54%
1.28%
1.32%
0.87%
0.80%
1.09%
0.76%
0.63%
0.59%
0.48%
1.16%
0.38%
1.49%
0.22%
0.31%
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
HDFCBANK, ICICIBANK and KOTAKBANK can see some POSITIVE 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
CANBK
FEDERALBNK
HDFCBANK
ICICIBANK
IDFCFIRSTB
INDUSINDBKKOTAKBANK
PNB, 11%
RBLBANK
SBIN, 9%
UNIONBANK
YESBANK
31%
69%
Open Interest
Psu Bank PrivateBank
0
50,000
100,000
150,000
200,000
250,000
300,000
350,000
400,000
30300
30400
30500
30600
30700
30800
30900
31000
31100
31200
31300
31400
31500
31600
31700
31800
31900
32000
32100
32200
32300
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
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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. WEEKLY DERIVATIVE REPORT
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