The document provides a daily derivative report and weekly derivative report with analysis of Nifty futures, BankNifty futures, and key securities. Some key points: - Nifty futures closed at 12095.9 with a short build up in open interest, while BankNifty closed at 31240 with a short build up. - In the weekly report, Nifty futures increased by 3.78% while India VIX decreased by 18.34%. FII were net buyers in index and stock futures. - Options data shows support for Nifty at 12000 and resistance at 12500. BankNifty support is at 31,000 while resistance is at 32,000.

1. 8 February 2020 For private circulation only
DAILY DERIVATIVE REPORT 10 FEB 2020
Nifty Futures View Volatility BankNifty Future View
Nifty Active Futures 12095.9 India VIX Index 13.74 BankNifty Active Futures 31240.00
Nifty Active Futures OI 13771200 Nifty ATM Call IV 8.6 BankNifty Active Futures OI 11,57,580
Change in OI 21450 Nifty ATM Put IV 14.74 Change in OI 36160
Premium / Discount -2.45 PCR Index Options 1.40 Premium / Discount 38.00
Inference Short Build up PCR F&O Total 0.92 Inference
Short
Build up
NNiiffttyy OOppttiioonnss OOII DDiissttrriibbuuttiioonn HIGHLIGHTS:
Nifty futures closed at 12095.9 on a negative note with 0.16%
increase in open interest indicating Short Build Up.
Nifty Futures closed at a discount of -2 points compared to
previous day discount of -2 points.
BankNifty closed at 31240 on a negative note with 3.22%
increase in open interest indication Short Build Up.
BankNifty Futures closed at a premium of 38 points compared
to the previous day premium of 29 points.
FII's were Sellers in Index Futures to the tune of 428 crores
and were Buyers in Index Options to the tune of 1025 crores,
Stock Futures were Buyers to the tune of 273 crores. FII's
were Net Buyers in derivative segment to the tune of 869
crores.
India VIX index is at 13.74. Nifty ATM call option IV is currently
at 8.60 whereas Nifty ATM put option IV is quoting at 14.74.
NNiiffttyy OOppttiioonnss --CChhaannggee iinn OOII
Index options PCR is at 1.40 and F&O Total PCR is at 0.92.
Among stock futures IDEA ,DIVISLAB ,APOLLOHOSP & SRF
have witnessed long build up and may show strength in
coming session.
Stock which witnessed short build up are MRF
,GODREJCP ,KOTAKBANK & DLF and may remain weak
in coming session.
Nifty Put options OI distribution shows that 12000 has highest
OI concentration followed by 11500 & 11600 which may act as
support for current expiry.
Nifty Call strike 12500 followed by 12400 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
IDEA 5.30 1.92% 473536000.00 9.37%
DIVISLAB 2074.70 2.25% 1770000.00 8.80%
APOLLOHOSP 1669.45 1.26% 1811500.00 8.47%
SRF 4098.30 2.23% 896250.00 6.32%
Symbol Fut Price % Chg
Open
Interest
% Chg
MRF 70962.80 -1.22% 21570.00 9.55%
GODREJCP 649.65 -0.76% 6480000.00 8.36%
KOTAKBANK 1660.20 -1.21% 8858800.00 6.95%
DLF 235.65 -4.27% 34409100.00 6.37%

2. WEEKLY DERIVATIVE REPORT
Week ended 7th Feb 2020
NNIIFFTTYY HHIIGGHHLLIIGGHHTTSS::
 Nifty Futures has increased by 3.78% to close at 12,095 from previous week close of 11,655.
 Nifty annualized volatility index India Vix has decreased to 13.75% from 16.83% down by 18.34%.
 The total open interest (OI) in the Nifty stood at Rs 8,345cr.Where as stock futures OI is at 47,148cr.
 The open interest position of FII in Index Futures is at Rs 14,616Cr and in Stock futures is at Rs
104,140Cr.
Nifty PCR OI  PCR OI has made a high of 1.48 & low of
0.86 and closed on weekly basis at 1.40
levels.
 PCR OI currently is at 1.40 levels which is
well above the median line indicating that we
might see some cautiousness in Nifty from
higher levels.
OOppeenn IInntteerreesstt AAnnaallyyssiiss
 Options Built up Shows that for now
nifty has strong support at 12,000
followed by 11,500 and resistance at
12,400 levels followed by 12,500.
 12,400 & 12,500 strike call and 12,200 put
followed by 11,500 put has highest open
interest concentration which suggests
that Nifty is likely to trade between this
levels.
CChhaannggee iinn OOppeenn IInntteerreesstt
 This week major addition was seen on the Put
front with 11,900 and 11,600 strikes adding
10.71 and 13.00 lakh in OI respectively.
 On the Call front we have seen addition at
12,400 strike with increase in OI of 7.34 lakh
shares and an increase of 8.35 lakh shares at
12,500 strike.
0.80
1.00
1.20
1.40
1.60
1.80
2.00
3.00
4.00
5.00
6.00
7.00
8.00
28-Jan
29-Jan
30-Jan
31-Jan
1-Feb
3-Feb
4-Feb
5-Feb
6-Feb
7-Feb
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
11500
11600
11700
11800
11900
12000
12100
12200
12300
12400
12500
12600
12700
OpenInterest
Open Interest Put OI Call OI
-1,000,000
-500,000
0
500,000
1,000,000
1,500,000
11500
11600
11700
11800
11900
12000
12100
12200
12300
12400
12500
12600
12700
OpenInterest
Change in Open Interest Call OI Put OI

3. WEEKLY DERIVATIVE REPORT
VVoollaattiilliittyy AAnnaallyyssiiss
 IV differential between call and put has
increased from last week level, which implies
that nifty is most likely to trade cautious
from the current levels, however the bias
might be positive.
 Call IV’s currently at 11.53%, while Put IV’s are
at 13.57%.
 Implied Volatility of option for the current series is
at 12.54% 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 182,190 51,721 81,128 15,911
DII 29,224 -11,225 18,451 4,995
FII 29,974 7,408 142,484 18,555
Pro 17,319 -4,064 16,644 4,379
Participant
FUT STK
Long
(contracts)
Net Chg
FUT STK
Short
(contracts)
Net
Chg
Client 792,088 16,456 235,916 82,778
DII 37,225 12,869 1,043,075 -11,611
FII 976,653 80,587 605,927 33,812
Pro 172,525 23,314 93,573 28,247
FFIIII IInnddeexx FFuuttuurreess
 FII activity in the index futures had been mostly
on the Buy side during this week.
 FII have been net Buyer in Index future to the
tune of 557 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 3812 crore.
8.50
10.50
12.50
14.50
16.50
18.50
20.50
22.50
28-Jan-
20
29-Jan-
20
30-Jan-
20
31-Jan-
20
1-Feb-
20
3-Feb-
20
4-Feb-
20
5-Feb-
20
6-Feb-
20
7-Feb-
20
Implied volatility(IV) IV Call
Iv Put Historic volatility
160,000
165,000
170,000
175,000
180,000
185,000
190,000
03-Feb 04-Feb 05-Feb 06-Feb 07-Feb
-600
-400
-200
0
200
400
600
800
InCrores
NET AMT OI IN CONTRACT
1,510,000
1,520,000
1,530,000
1,540,000
1,550,000
1,560,000
1,570,000
1,580,000
1,590,000
03-Feb 04-Feb 05-Feb 06-Feb 07-Feb
0
200
400
600
800
1,000
1,200
1,400
1,600
1,800
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
MANAPPURAM 167.6 -11.09% 35076000 90.98%
AMBUJACEM 210.5 2.38% 31827500 76.82%
HEROMOTOCO 2383.05 -2.97% 3442600 70.54%
APOLLOTYRE 164.7 -1.26% 14313000 44.27%
CHOLAFIN 340.7 3.97% 6497500 42.49%
Script ID Price % Chg OI Futures % Chg
MFSL 481.35 -5.05% 5153200 -40.26%
IOC 117.25 4.87% 54520000 -29.37%
JUBLFOOD 1905.35 1.32% 2483500 -18.13%
TORNTPHARM 2025.65 4.98% 341500 -17.21%
RBLBANK 339.35 6.43% 14268000 -14.97%
WWeeeekkllyy PPrriiccee GGaaiinneerr WWeeeekkllyy PPrriiccee LLoosseerr
Script ID Price % Chg OI Futures % Chg
SRTRANSFIN 1210.45 17.92% 5176200 8.69%
AUROPHARMA 546.75 13.57% 14781000 -2.39%
L&TFH 132 12.87% 28806400 -8.52%
JINDALSTEL 198.65 12.58% 33265000 6.50%
JSWSTEEL 279.85 11.07% 62157500 7.56%
Script ID Price % Chg OI Futures % Chg
MANAPPURAM 167.6 -11.09% 35076000 90.98%
ITC 214.2 -9.41% 141525600 10.99%
DLF 235.65 -9.37% 34409100 11.21%
EXIDEIND 182.4 -7.62% 11327400 9.23%
ZEEL 250.5 -7.12% 29557900 22.99%
1.18%
6.00%
0.79%
-9.23%
1.34%
6.86%
1.33%
0.73%
2.91%
-5.13%
0.88%
3.44%
4.47%
3.32%
-1.69%
6.36%
2.44%
2.02%
-1.39%
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
22.09%
12.80%
4.58%
0.80%
7.67%
14.41%
18.94%
9.79%
9.48%
1.25%
12.30%
5.82%
10.24%
13.59%
4.01%
15.35%
2.61%
17.17%
19.71%
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
1.11%
0.33%
1.76%
1.54%
1.32%
2.27%
1.48%
1.30%
1.72%
0.98%
1.41%
1.52%
1.17%
0.45%
1.77%
6.87%
1.87%
0.30%
0.66%
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
RBLBANK, HDFCBANK and ICICIBANK can see some POSITIVE move in this week.
Bank Nifty has a very strong support at 31,000, as 31,000 PE strike is having highest OI concentration
followed by 30,500 and on the Call front 32,000 CE strike has highest OI concentration indicating strong
resistance level followed by 31,500.
AXISBANK BANKBARODA
CANBK
FEDERALBNK
HDFCBANK
ICICIBANK
IDFCFIRSTB
INDUSINDBKKOTAKBANK
PNB, 11%
RBLBANK
SBIN, 10%
YESBANK
29%
71%
Open Interest
Psu Bank Private Bank
0
50,000
100,000
150,000
200,000
250,000
300,000
30200
30300
30400
30500
30600
30700
30800
30900
31000
31100
31200
31300
31400
31500
31600
31700
31800
31900
32000
32100
32200
OpenInterest
Open Interest Call OI Put OI

6. WEEKLY DERIVATIVE REPORT
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7. WEEKLY DERIVATIVE REPORT
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