Weekly Derivatives Report :20 May 2019

20 May 2019 For private circulation only
WEEKLY DERIVATIVE REPORT
20 May 2019
Nifty Futures View Volatility FII Activity
Nifty Active Futures 11425.8 India VIX Index 28.07 INDEX FUTURES 311
Nifty Active Futures OI 16026300 Nifty ATM Call IV 33.17 INDEX OPTIONS -841
Change in OI 573150 Nifty ATM Put IV 34.59 STOCK FUTURES 592
Premium / Discount 18.65 PCR Index Options 1.36 STOCK OPTIONS -108
Inference Long Build Up PCR F&O Total 0.71 FII Net Activity -47
NNiiffttyy OOppttiioonnss OOII DDiissttrriibbuuttiioonn HIGHLIGHTS: Nifty futures closed at 11425.80 on a positive
note with 3.71% decrease in open interest indicating Long
Build Up. Nifty Futures closed at a premium of 19 points
compared to previous day premium of 28 points.
FII's were Buyers in Index Futures to the tune of 311 crores
and were Sellers in Index Options to the tune of 841 crores,
Stock Futures were Buyers to the tune of 592 crores.
FII's were Net Sellers in derivative segment to the tune of 47
crores.
India VIX index is at 28.07 Nifty ATM call option IV is currently
at 33.17 whereas Nifty ATM put option IV is quoting at 34.59.
NNiiffttyy OOppttiioonnss --CChhaannggee iinn OOII
Index options PCR is at 1.36 and F&O Total PCR is at 0.71.
Among stock futures BAJAJFINSV, GODREJIND, BAJAJ-
AUTO & BAJFINANCE have witnessed long build up and may
show strength in coming session.
Stock which witnessed short build up are IOC,
AUROPHARMA, CAILAHC & STAR witnessed short build up
may remain weak in coming session.
Nifty Put options OI distribution shows that 11000 has highest
OI concentration followed by 10500 & 11500 which may act
as support for current expiry.
Nifty Call strike 12000 followed by 11800 witnessed significant
OI concentration and may act as resistance for current expiry
SSEECCUURRIITTIIEESS IINN BBAANN PPEERRIIOODD::
JJEETTAAIIRRWWAAYYSS
__________________________________________________________________________________________________________________
SSttoocckk FFuuttuurreess -- LLoonngg BBuuiilldd
______________________________________________________________________________________________________________
SSttoocckk FFuuttuurreess -- SShhoorrtt BBuuiilldd UUpp
Symbol
Fut
Price
% Chg Open Interest % Chg
BAJAJFINSV 8024.55 4.98% 780500.00 26.99%
GODREJIND 452.55 2.25% 1566000.00 14.60%
BAJAJ-AUTO 3039.15 3.38% 3327750.00 9.78%
BAJFINANCE 3312.95 6.19% 5896750.00 7.53%
Symbol
Fut
Price
% Chg
Open
Interest
% Chg
IOC 150.00 -0.99% 42917000.00 6.74%
AUROPHARMA 670.80 -7.65% 17817000.00 6.23%
CADILAHC 249.85 -3.33% 13851200.00 4.62%
STAR 411.70 -1.51% 2511400.00 3.12%
0
100
200
300
400
11000
11100
11200
11300
11400
11500
11600
11700
11800
11900
x10000
Call Put
-40
-20
0
20
40
60
11000
11100
11200
11300
11400
11500
11600
11700
11800
11900
x10000
Call Put

Week ended 17 May 2019
NNIIFFTTYY HHIIGGHHLLIIGGHHTTSS::
 Nifty Futures has decreased by 1.05% to close at 11,425 from previous week close of 11,307.
 Nifty annualized volatility index India Vix has increased to 28.08% from 26.33% up by 6.61%.
 The total open interest (OI) in the Nifty stood at Rs 14,457cr.Where as stock futures OI is at 51,357cr.
 The open interest position of FII in Index Futures is at Rs 18,154Cr and in Stock futures is at Rs 87,616Cr.
Nifty PCR OI  PCR OI has gone well above the par
line to close at 1.36 levels.
 PCR OI currently is at 1.36 levels which is
well above the median line indicating that
we might see some cautiousness in Nifty at
current levels.
OOppeenn IInntteerreesstt AAnnaallyyssiiss
 Options Built up Shows that now for
nifty has strong support at 11,000
followed by 11,200 and resistance at
11,800 levels followed by 12,000.
 12,000 & 11,800 strike call and 11,000
put followed by 11,500 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 11,000 and 11,200 strikes
adding 6.89 and 3.65 lakh in OI
respectively.
 On the Call front we have seen addition at
11,800 strike with increase in OI of 7.08
lakh shares, while addition of 13.55 lakh
shares was witnessed in 12,000 strike.
1.00
1.20
1.40
1.60
1.80
3.00
3.50
4.00
4.50
5.00
5.50
6.00
6-May
7-May
8-May
9-May
10-
May
13-
May
14-
May
15-
May
16-
May
17-
May
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
10900
11000
11100
11200
11300
11400
11500
11600
11700
11800
11900
12000
12100
OpenInterest
Open Interest Put OI Call OI
-1,000,000
-500,000
0
500,000
1,000,000
1,500,000
10900
11000
11100
11200
11300
11400
11500
11600
11700
11800
11900
12000
12100
OpenInterest
Change in Open Interest Call OI Put OI

VVoollaattiilliittyy AAnnaallyyssiiss
 IV differential between call and put has
substantially increased from last week level
amid results of loksabha election, which
implies that nifty will continue to trade with
current momentum & wide movement will be
seen in the market.
 Call IV’s currently at 32.12%, while Put IV’s are
at 37.08%.
 Implied Volatility of option for the May series is at
34.17% and has seen increasing trajectory this
week.
WWeeeekkllyy PPaarrttiicciippaanntt WWiissee OOppeenn IInntteerreesstt
Participant
FUT IDX
Long
(contracts)
Net Chg
FUT IDX
Short
(contracts)
Net Chg
Client 121848 -13783 134595 -12869
DII 38055 7902 43178 -1507
FII 127447 -13354 102431 2285
Pro 26505 7147 33651 3
Participant
FUT STK
Long
(contracts)
Net Chg
FUT STK
Short
(contracts)
Net
Chg
Client 820640 -50970 205281 -19310
DII 18884 5170 953383 10681
FII 892804 40338 625774 15661
Pro 164584 4282 112474 -8212
FFIIII IInnddeexx FFuuttuurreess
 FII activity in the index futures had been mostly
on sell side during this week.
 FII have been net sellers in Index future to the
tune of 1,073 crore during this week.
FFIIII SSttoocckk FFuuttuurreess
 FII activity in Stock futures had been on buy side
during the last week.
 This week FII have been net buyers in stock future
segment to the tune 1,920 crore.
9.00
14.00
19.00
24.00
29.00
34.00
39.00
6-May-
19
7-May-
19
8-May-
19
9-May-
19
10-
May-19
13-
May-19
14-
May-19
15-
May-19
16-
May-19
17-
May-19
Implied volatility(IV) IV Call Iv Put Historic volatility
200,000
225,000
250,000
13-May 14-May 15-May 16-May 17-May
-1,000
-500
0
500
InCrores
NET AMT OI IN CONTRACT
1,470,000
1,485,000
1,500,000
1,515,000
1,530,000
13-May 14-May 15-May 16-May 17-May
0
400
800
InCrores
NET AMT OI IN CONTRACT

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
GODREJIND 452.55 -4.65% 1566000 51.52%
BAJAJFINSV 8024.55 7.99% 780500 38.60%
PETRONET 237.65 0.21% 12045000 35.83%
UNIONBANK 70.65 -16.34% 38234000 33.48%
MRPL 61.5 -4.13% 5215000 32.80%
KAJARIACER 597.6 1.94% 1623700 -40.55%
BATAINDIA 1373.9 1.32% 1612600 -24.39%
ICICIPRULI 337.1 -4.72% 4606500 -24.38%
EQUITAS 128.1 1.63% 8476000 -23.36%
AJANTPHARM 1028.55 -4.10% 494500 -21.88%
WWeeeekkllyy PPrriiccee GGaaiinneerr WWeeeekkllyy PPrriiccee LLoosseerr
TATAGLOBAL 234 18.63% 16019550 26.08%
SRF 2809.85 14.16% 830250 29.52%
BAJFINANCE 3312.95 12.95% 5896750 13.31%
JUSTDIAL 623.15 9.76% 2205000 7.58%
BAJAJFINSV 8024.55 7.99% 780500 38.60%
PCJEWELLER 97.85 -22.83% 11121500 -2.73%
SUZLON 5.25 -18.60% 277172000 -2.54%
YESBANK 134.4 -18.50% 121981800 -8.87%
UNIONBANK 70.65 -16.34% 38234000 33.48%
IDEA 11.9 -15.90% 594003020 6.62%
0.85%
-0.51%
1.20%
1.27%
2.00%
5.23%
1.64%
0.73%
-1.44%
0.74%
-3.08%
-0.85%
-0.86%
-4.95%
-2.88%
-1.79%
0.00%
0.00%
6.36%
Wkly Price change
Textile
Telecom
Technology
Realty
Power
Pharma
Others
Oil_Gas
Metals
Media
Infrastructure
Index
FMCG
Finance
Fertilisers
Cement
Capital_Good
s
Banking
Automobile
0.79%
-5.22%
-5.78%
0.36%
0.83%
6.04%
0.13%
-1.38%
-8.67%
-10.15%
-2.71%
6.03%
0.27%
-5.21%
-4.02%
-0.72%
-0.91%
-5.43%
4.07%
Wkly OI change
Textile
Telecom
Technology
Realty
Power
Pharma
Others
Oil_Gas
Metals
Media
Infrastructure
Index
FMCG
Finance
Fertilisers
Cement
Capital_Good
s
Banking
Automobile
2.35%
3.65%
1.65%
1.27%
1.15%
2.30%
2.32%
3.56%
1.89%
1.11%
2.47%
1.59%
1.89%
2.44%
2.92%
0.96%
2.16%
5.06%
2.54%
Wkly Roll Over change
Textile
Telecom
Technology
Realty
Power
Pharma
Others
Oil_Gas
Metals
Media
Infrastructure
Index
FMCG
Finance
Fertilisers
Cement
Capital_Good
s
Banking
Automobile

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, KOTAKBANK and SBIN can see some POSITIVE move in this week.
Bank Nifty has a very strong support at 29,000 with 29,000 PE strike having highest OI concentration
followed by 29,500 and on the call front 29,000 CE strike has highest OI concentration followed by 29,500.
ALBK
AXISBANK
BANKBARODA
BANKINDIA
CANBK
DCBBANK
FEDERALBNK
HDFCBANK
ICICIBANK
IDBI, 3%
IDFCFIRSTB
INDIANB,
0%
INDUSINDBKKOTAKBANKKTKBANKORIENTBANK
PNB
RBLBANK, 1%
SBIN
SOUTHBANK, 11%
SYNDIBANK, 3%
UNIONBANK YESBANK
36%
64%
Open Interest
Psu Bank Private Bank
0
100,000
200,000
300,000
400,000
500,000
600,000
700,000
28500
28600
28700
28800
28900
29000
29100
29200
29300
29400
29500
29600
29700
29800
29900
30000
30100
30200
30300
30400
30500
OpenInterest
Open Interest
Call OI Put OI

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Weekly Derivatives Report :20 May 2019

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