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1. 14 October 2019 For private circulation only
WEEKLY DERIVATIVE REPORT
14 October 2019
Nifty Futures View Volatility FII Activity
Nifty Active Futures 11311.7 India VIX Index 17.14 INDEX FUTURES 661
Nifty Active Futures OI 14756775 Nifty ATM Call IV 14.1 INDEX OPTIONS -861
Change in OI 192000 Nifty ATM Put IV 18.24 STOCK FUTURES -681
Premium / Discount 6.65 PCR Index Options 1.14 STOCK OPTIONS 155
Inference Long Build Up PCR F&O Total 0.86 FII Net Activity -725
NNiiffttyy OOppttiioonnss OOII DDiissttrriibbuuttiioonn HIGHLIGHTS: Nifty futures closed at 11311.70 on a positive
note with 1.32% increase in open interest indicating Long Build
Up. Nifty Futures closed at a premium of 7 points compared to
previous day premium of 20 points.
FII's were Buyers in Index Futures to the tune of 661 crores
and were Sellers in Index Options to the tune of 861 crores,
Stock Futures were Sellers to the tune of 861 crores. FII's
were Net Sellers in derivative segment to the tune of 725
crores.
India VIX index is at 17.14. Nifty ATM call option IV is currently
at 14.10 whereas Nifty ATM put option IV is quoting at 18.24.
Index options PCR is at 1.14 and F&O Total PCR is at 0.86..
NNiiffttyy OOppttiioonnss --CChhaannggee iinn OOII
Among stock futures TATAGLOBAL, BANKBARODA,
IBULHSGFIN & BERGERPAINT have witnessed long build up
and may show strength in coming session. .
Stock which witnessed short build up are CENTURYTEX,
ICICIPRULI, MUTHOOTFIN & UBL may remain weak in
coming session.
Nifty Put options OI distribution shows that 11000 has highest
OI concentration followed by 11200 & 10600 which may act as
support for current expiry.
Nifty Call strike 11500 followed by 12000 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
TATAGLOBAL 273.30 2.24% 9077400.00 8.73%
BERGEPAINT 454.75 1.43% 6652800.00 8.04%
IBULHSGFIN 206.85 8.41% 28981600.00 7.22%
BANKBARODA 91.15 3.58% 72112500.00 6.71%
Symbol
Fut
Price
% Chg
Open
Interest
% Chg
CENTURYTEX 394.25 0.00% 1410000.00 39.71%
ICICIPRULI 439.00 -1.06% 6984000.00 8.25%
MUTHOOTFIN 666.95 -0.51% 1938000.00 6.78%
UBL 1268.45 -1.37% 1504300.00 6.39%
0
50
100
150
200
250
300
10900
11000
11100
11200
11300
11400
11500
11600
11700
11800
x10000
Call_oi Put_oi
-15
-10
-5
0
5
10
15
10900
11000
11100
11200
11300
11400
11500
11600
11700
11800
x10000
Call_chg Put_chg

2. 14 October 2019 For private circulation only
WEEKLY DERIVATIVE REPORT
Week ended 11 October 2019
NNIIFFTTYY HHIIGGHHLLIIGGHHTTSS::
 Nifty Futures has increased by 0.86% to close at 11,311 from previous week close of 11,215.
 Nifty annualized volatility index India Vix has decreased to 17.14% from 17.58% down by 2.50%.
 The total open interest (OI) in the Nifty stood at Rs 17,218cr.Where as stock futures OI is at 48,619cr.
 The open interest position of FII in Index Futures is at Rs 13,050Cr and in Stock futures is at Rs 88,506Cr.
Nifty PCR OI  PCR OI had risen from the low of 0.96
to high of 1.20 and closed on weekly
basis at 1.14 levels.
 PCR OI currently is at 1.14 levels which is
marginally above the median line
indicating that we will see Nifty continue
its ongoing momentum from current levels.
OOppeenn IInntteerreesstt AAnnaallyyssiiss
 Options Built up Shows that for now
nifty has strong support at 11,200
followed by 11,000 and resistance at
11,500 levels followed by 11,700.
 11,500 & 11,600 strike call and 11,200
put followed by 11,000 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 11,200 and 11,000 strikes
adding 4.25 and 2.75 lakh in OI
respectively.
 On the Call front we have seen addition at
11,300 strike with increase in OI of 3.45
lakh shares, while unwinding of 1.20 lakh
shares was witnessed in 11,500 strike.
0.80
1.00
1.20
1.40
1.60
1.80
3.00
3.50
4.00
4.50
5.00
5.50
6.00
26-Sep
27-Sep
30-Sep
1-Oct
3-Oct
4-Oct
7-Oct
9-Oct
10-Oct
11-Oct
PUTCALLRATIO
OIincr.
Call OI Put OI
0
500,000
1,000,000
1,500,000
2,000,000
2,500,000
3,000,000
10700
10800
10900
11000
11100
11200
11300
11400
11500
11600
11700
11800
11900
OpenInterest
Open Interest Put OI Call OI
-1,000,000
-500,000
0
500,000
10700
10800
10900
11000
11100
11200
11300
11400
11500
11600
11700
11800
11900
OpenInterest
Change in Open Interest Call OI Put OI

3. 14 October 2019 For private circulation only
WEEKLY DERIVATIVE REPORT
VVoollaattiilliittyy AAnnaallyyssiiss
 IV differential between call and put has
significantly increased from last week level,
which implies that nifty, might trade
cautious, with negative bias.
 Call IV’s currently at 16.52%, while Put IV’s are
at 18.12%.
 Implied Volatility of option for the current series is
at 17.26% and has seen a gradual decrease from
higher level in this week.
WWeeeekkllyy PPaarrttiicciippaanntt WWiissee OOppeenn IInntteerreesstt
Participant
FUT IDX
Long
(contracts)
Net Chg
FUT IDX
Short
(contracts)
Net Chg
Client 158,945 -5,058 154,642 -3,219
DII 60,581 -2,583 7,840 -53
FII 56,055 1,932 109,728 -4,981
Pro 20,133 -5,381 23,504 -2,837
Participant
FUT STK
Long
(contracts)
Net Chg
FUT STK
Short
(contracts)
Net
Chg
Client 846,743 6,539 221,276 28,129
DII 13,996 2,622 1,058,840 -7,715
FII 947,394 -932 602,868 -7,334
Pro 167,669 11,447 92,818 6,596
FFIIII IInnddeexx FFuuttuurreess
 FII activity in the index futures had been mostly
mixed during this week.
 FII have been net sellers in Index future to the
tune of 305 crore during this week.
FFIIII SSttoocckk FFuuttuurreess
 FII activity in Stock futures had been mostly on
the Buy side during the last week.
 This week FII have been net buyers in stock future
segment to the tune 509 crore.
14.00
16.00
18.00
20.00
22.00
24.00
26.00
28.00
30.00
32.00
26-Sep-
19
27-Sep-
19
30-Sep-
19
1-Oct-
19
3-Oct-
19
4-Oct-
19
7-Oct-
19
9-Oct-
19
10-Oct-
19
11-Oct-
19
Implied volatility(IV) IV Call Iv Put Historic volatility
140,000
145,000
150,000
155,000
160,000
165,000
170,000
175,000
04-Oct 07-Oct 09-Oct 10-Oct 11-Oct
-1,000
-500
0
500
1,000
InCrores
NET AMT OI IN CONTRACT
1,530,000
1,535,000
1,540,000
1,545,000
1,550,000
1,555,000
1,560,000
04-Oct 07-Oct 09-Oct 10-Oct 11-Oct
-1,000
-500
0
500
1,000
InCrores
NETAMT OI IN CONTRACT

4. 14 October 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
NATIONALUM 39.85 -8.18% 71090000 105.17%
TORNTPHARM 1643.85 0.67% 480000 58.42%
BERGEPAINT 454.75 7.51% 6652800 44.76%
IBULHSGFIN 206.85 -11.70% 28981600 38.50%
SIEMENS 1578.7 3.07% 1575200 28.60%
Script ID Price % Chg OI Futures % Chg
CENTURYTEX 394.25 -54.68% 1410000 -55.57%
CESC 757.5 3.14% 1182400 -21.96%
MFSL 409.5 0.39% 2557200 -17.72%
NIITTECH 1402.1 1.73% 627750 -14.77%
EQUITAS 100.1 -0.15% 10264000 -14.69%
WWeeeekkllyy PPrriiccee GGaaiinneerr WWeeeekkllyy PPrriiccee LLoosseerr
Script ID Price % Chg OI Futures % Chg
IDEA 6.05 19.80% 545076000 2.01%
BHARTIARTL 383.45 12.20% 40653513 2.96%
BRITANNIA 3079.55 7.56% 2041600 -6.81%
BERGEPAINT 454.75 7.51% 6652800 44.76%
BIOCON 246.4 6.48% 12670200 11.46%
Script ID Price % Chg OI Futures % Chg
CENTURYTEX 394.25 -54.68% 1410000 -55.57%
AUROPHARMA 440.8 -22.79% 19835000 28.00%
PEL 1324.9 -12.39% 7209948 13.41%
IBULHSGFIN 206.85 -11.70% 28981600 38.50%
RBLBANK 267 -11.50% 16263600 5.58%
0.43%
9.09%
-0.24%
-1.35%
-1.34%
1.40%
1.78%
-0.50%
-0.43%
-2.94%
0.63%
-1.70%
3.29%
0.96%
1.80%
1.09%
1.02%
1.89%
-2.63%
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
-2.64%
15.29%
-0.94%
8.63%
0.60%
3.46%
-2.62%
3.57%
2.56%
-2.25%
-0.30%
1.51%
4.21%
-0.33%
1.57%
1.99%
1.67%
-5.77%
-26.38%
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
1.22%
2.45%
1.13%
0.90%
1.02%
1.71%
0.45%
0.36%
0.49%
0.72%
0.62%
1.15%
0.94%
0.09%
1.03%
0.96%
0.70%
0.58%
0.50%
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. 14 October 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
ICICIBANK, KOTAKBANK and BANKBARODA can see some POSITIVE move in this week.
Bank Nifty has a very strong support at 28,000 with 28,000 PE strike having highest OI concentration
followed by 27,500 and on the call front 29,000 CE strike has highest OI concentration indicating strong
resistance level followed by 28,500.
AXISBANK
BANKBARODA
BANKINDIA
CANBK
FEDERALBNK
HDFCBANK
ICICIBANK
IDFCFIRSTB
INDUSINDBK
KOTAKBANK, 1%
PNB
RBLBANK, 2%
SBIN
UNIONBANK
YESBANK
35%
65%
Open Interest
Psu Bank PrivateBank
0
100,000
200,000
300,000
400,000
500,000
600,000
27000
27100
27200
27300
27400
27500
27600
27700
27800
27900
28000
28100
28200
28300
28400
28500
28600
28700
28800
28900
29000
OpenInterest
Open Interest
Call OI Put OI

6. 14 October 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).
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
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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. 14 October 2019 For private circulation only
WEEKLY DERIVATIVE REPORT
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