The weekly derivative report provides a summary of the performance of Nifty futures and options, stock futures and options, and FII activity for the week ended 22 October 2019. Some key highlights include: - Nifty futures closed at 11,670, up 2.86% for the week with a decrease in open interest indicating short covering. - FIIs were net sellers in index futures and options to the tune of Rs. 223 crores and net sellers in the derivatives segment overall. - The India VIX index is at 15.92. Nifty ATM call IV is at 12.65 and put IV is at 15.80. - In the banking sector, ICIC

1. 22 October 2019 For private circulation only
WEEKLY DERIVATIVE REPORT
22 October 2019
Nifty Futures View Volatility FII Activity
Nifty Active Futures 11670 India VIX Index 15.92 INDEX FUTURES -560
Nifty Active Futures OI 13657275 Nifty ATM Call IV 12.65 INDEX OPTIONS -377
Change in OI -402000 Nifty ATM Put IV 15.8 STOCK FUTURES 656
Premium / Discount 8.15 PCR Index Options 1.44 STOCK OPTIONS 57
Inference Short Covering PCR F&O Total 0.92 FII Net Activity -223
Nifty Options OI Distribution
HIGHLIGHTS: Nifty futures closed at 11670 on a positive
note with 2.86% decrease in open interest indicating Short
Covering.Nifty Futures closed at a premium of 8 points
compared to previous day premium of 14 points.
FII's were Sellers in Index Futures to the tune of 560 crores
and were Sellers in Index Options to the tune of 377 crores,
Stock Futures were Buyers to the tune of 656 crores. FII's
were Net Sellers in derivative segment to the tune of 223
crores.
India VIX index is at 15.92. Nifty ATM call option IV is currently
at 12.65 whereas Nifty ATM put option IV is quoting at 15.80.
Nifty Options -Change in OI
Index options PCR is at 1.44 and F&O Total PCR is at 0.92.
Among stock futures VOLTAS, CONCOR, TATAPOWER &
CASTROLIND have witnessed long build up and may show
strength in coming session.
Stock which witnessed short build up are INDIGO,
TORNTPOWER, L&TFH & HINDPETRO may remain weak in
coming session.
Nifty Put options OI distribution shows that 11000 has highest
OI concentration followed by 11400 & 11500 which may act as
support for current expiry.
Nifty Call strike 11700 followed by 12000 witnessed significant
OI concentration and may act as resistance for current expiry.
SECURITIES IN BAN PERIOD:
NIL
_________________________________________________________
Stock Futures - Long Build
_______________________________________________________
Stock Futures - Short Build Up
Symbol
Fut
Price
% Chg Open Interest % Chg
VOLTAS 695.05 2.32% 2155000.00 11.77%
CONCOR 613.95 1.97% 5986290.00 11.73%
TATAPOWER 60.20 0.25% 49104000.00 9.89%
CASTROLIND 132.60 0.15% 7439200.00 9.29%
Symbol
Fut
Price
% Chg
Open
Interest
% Chg
INDIGO 1729.45 -0.73% 3813000.00 8.32%
TORNTPOWER 285.60 -0.28% 3651000.00 7.22%
L&TFH 85.70 -0.17% 45387000.00 6.98%
HINDPETRO 314.90 -0.08% 24181500.00 5.70%

2. 22 October 2019 For private circulation only
WEEKLY DERIVATIVE REPORT
Week ended 19 October 2019
NNIIFFTTYY HHIIGGHHLLIIGGHHTTSS::
 Nifty Futures has increased by 3.17% to close at 11,670 from previous week close of 11,312.
 Nifty annualized volatility index India Vix has decreased to 15.93% from 17.14% down by 7.07%.
 The total open interest (OI) in the Nifty stood at Rs 11,140cr.Where as stock futures OI is at 50,386cr.
 The open interest position of FII in Index Futures is at Rs 11,897Cr and in Stock futures is at Rs 92,665Cr.
Nifty PCR OI  PCR OI has made a high of 1.44 & low
of 1.18 and closed on weekly basis at
1.44 levels.
 PCR OI currently is at 1.44 levels which is
well above the median line indicating that
we might see some cautiousness in Nifty
amid ongoing momentum from current
levels.
OOppeenn IInntteerreesstt AAnnaallyyssiiss
 Options Built up Shows that for now
nifty has strong support at 11,400
followed by 11,000 and resistance at
11,700 levels followed by 12,000.
 11,700 & 12,000 strike call and 11,400
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 11,500 and 11,400 strikes
adding 9.90 and 10.45 lakh in OI
respectively.
 On the Call front we have seen addition at
11,700 strike with increase in OI of 2.48
lakh shares, while addition of 2.22 lakh
shares was witnessed in 11,900 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
6.50
4-Oct
7-Oct
9-Oct
10-Oct
11-Oct
14-Oct
15-Oct
16-Oct
17-Oct
18-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
3,500,000
11000
11100
11200
11300
11400
11500
11600
11700
11800
11900
12000
12100
12200
OpenInterest
Open Interest Put OI Call OI
-1,000,000
-500,000
0
500,000
1,000,000
1,500,000
11000
11100
11200
11300
11400
11500
11600
11700
11800
11900
12000
12100
12200
OpenInterest
Change in Open Interest Call OI Put OI

3. 22 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, will be cautious
may trade with negative bias.
 Call IV’s currently at 14.53%, while Put IV’s are
at 16.58%.
 Implied Volatility of option for the current series is
at 15.51% 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 139,885 -19,060 147,999 -6,643
DII 56,425 -4,156 11,185 3,345
FII 61,199 5,144 86,049 -23,679
Pro 19,874 -259 32,150 8,646
Participant
FUT STK
Long
(contracts)
Net Chg
FUT STK
Short
(contracts)
Net
Chg
Client 808,314 -38,429 237,129 15,853
DII 21,842 7,846 1,050,929 -7,911
FII 971,071 23,677 563,166 -39,702
Pro 167,329 -340 117,332 24,514
FFIIII IInnddeexx FFuuttuurreess
 FII activity in the index futures had been Buyers
during this week.
 FII have been net Buyers in Index future to the
tune of 2361 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 3247 crore.
13.00
15.00
17.00
19.00
21.00
23.00
25.00
27.00
29.00
4-Oct-
19
7-Oct-
19
9-Oct-
19
10-Oct-
19
11-Oct-
19
14-Oct-
19
15-Oct-
19
16-Oct-
19
17-Oct-
19
18-Oct-
19
Implied volatility(IV) IV Call Iv Put Historic volatility
135,000
140,000
145,000
150,000
155,000
160,000
165,000
14-Oct 15-Oct 16-Oct 17-Oct 18-Oct
-1,000
-500
0
500
1,000
1,500
InCrores
NET AMT OI IN CONTRACT
1,520,000
1,525,000
1,530,000
1,535,000
1,540,000
1,545,000
1,550,000
1,555,000
1,560,000
14-Oct 15-Oct 16-Oct 17-Oct 18-Oct
0
200
400
600
800
1,000
1,200
1,400
InCrores
NETAMT OI IN CONTRACT

4. 22 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
INDIGO 1729.45 -1.40% 3813000 41.69%
CASTROLIND 132.6 0.00% 7439200 33.33%
MUTHOOTFIN 678.7 1.76% 2460000 26.93%
BERGEPAINT 490.1 7.77% 8404000 26.32%
PVR 1834.65 1.99% 1231600 24.91%
Script ID Price % Chg OI Futures % Chg
STAR 353.35 11.13% 1843200 -32.75%
CESC 811.55 7.14% 872800 -26.18%
HEXAWARE 379.3 3.07% 1651500 -19.81%
NIFTYIT 15418 0.97% 12300 -18.27%
TORNTPHARM 1690.05 2.81% 398000 -17.08%
WWeeeekkllyy PPrriiccee GGaaiinneerr WWeeeekkllyy PPrriiccee LLoosseerr
Script ID Price % Chg OI Futures % Chg
YESBANK 51.55 29.85% 166515800 -8.13%
ADANIENT 175.7 28.06% 32056000 21.37%
BHEL 54.55 26.13% 59430000 17.46%
PEL 1538.45 16.12% 7408966 2.76%
DLF 168.7 15.71% 40510400 -11.32%
Script ID Price % Chg OI Futures % Chg
INFY 759.95 -5.74% 50722800 12.87%
TATAPOWER 60.2 -1.87% 49104000 21.27%
AMARAJABAT 670.95 -1.50% 1554700 -4.92%
INDIGO 1729.45 -1.40% 3813000 41.69%
M&MFIN 319.6 -1.28% 13450000 -2.24%
2.78%
0.46%
4.56%
15.75%
2.72%
4.83%
4.80%
3.29%
2.65%
12.12%
5.96%
5.20%
4.57%
3.64%
3.41%
3.23%
5.03%
2.36%
2.85%
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
-2.54%
5.06%
-0.55%
2.62%
2.22%
2.33%
3.63%
16.96%
5.45%
15.30%
13.53%
4.23%
5.04%
2.07%
8.87%
4.54%
7.94%
-0.16%
11.11%
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
1.77%
2.74%
3.72%
1.15%
1.60%
4.10%
1.92%
1.42%
1.90%
2.79%
3.21%
2.63%
3.20%
1.50%
2.93%
1.67%
1.67%
1.44%
1.58%
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. 22 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 SBIN can see some POSITIVE move in this week.
Bank Nifty has a very strong support at 28,500 with 28,500 PE strike having highest OI concentration
followed by 29,000 and on the call front 30,000 CE strike has highest OI concentration indicating strong
resistance level followed by 29,500.
AXISBANK
BANKBARODA
BANKINDIA
CANBK
FEDERALBNK
HDFCBANK
ICICIBANK
IDFCFIRSTB
INDUSINDBK
KOTAKBANK, 1%
PNB
RBLBANK, 1%
SBIN
UNIONBANK
YESBANK
34%
66%
Open Interest
Psu Bank PrivateBank
0
50,000
100,000
150,000
200,000
250,000
300,000
350,000
400,000
28100
28200
28300
28400
28500
28600
28700
28800
28900
29000
29100
29200
29300
29400
29500
29600
29700
29800
29900
30000
30100
OpenInterest
Open Interest
Call OI Put OI

6. 22 October 2019 For private circulation only
WEEKLY DERIVATIVE REPORT
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7. 22 October 2019 For private circulation only
WEEKLY DERIVATIVE REPORT
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