- Nifty futures closed at 10,804.45, up 0.58% from the previous week, with a decrease in open interest indicating short covering. - India VIX volatility index decreased to 15.45% down 6.14% from the previous week. - FII were net buyers in index futures to the tune of Rs. 690 crore and net sellers in stock futures of Rs. 426 crore. - Nifty options open interest distribution shows strongest support at 10,700 and resistance at 11,000 levels.

1. 25 February 2019 For private circulation only
WEEKLY DERIVATIVE REPORT
25 February 2019
Nifty Futures View Volatility FII Activity
Nifty Active Futures 10808.8 India VIX Index 15.45 INDEX FUTURES 76
Nifty Active Futures OI 20255550 Nifty ATM Call IV 11.94 INDEX OPTIONS 6
Change in OI -733050 Nifty ATM Put IV 12.07 STOCK FUTURES -1086
Premium / Discount 17.15 PCR Index Options 1.37 STOCK OPTIONS -52
Inference Short Covering PCR F&O Total 0.99 FII Net Activity -1057
NNiiffttyy OOppttiioonnss OOII DDiissttrriibbuuttiioonn HIGHLIGHTS: Nifty futures closed at 10804.45 on a positive
note with 3.61% decrease in open interest indicating Short
Covering. Nifty Futures closed at a premium of 15 points
compared to previous day premium of 16 points.
FII's were Sellers in Index Futures to the tune of 472 crores
and were Buyers in Index Options to the tune of 1563 crores,
Stock Futures were Buyers to the tune of 301 crores.
FII's were Net Buyers in derivative segment to the tune of
1231 crores.
India VIX index is at 16.05 Nifty ATM call option IV is currently
at 12.25 whereas Nifty ATM put option IV is quoting at 12.88.
NNiiffttyy OOppttiioonnss --CChhaannggee iinn OOII
Index options PCR is at 1.38 and F&O Total PCR is at 0.98.
Among stock futures RAMCOCEM, JUSTDIAL,
APOLLOHOSPITAL & ALBK have witnessed long build up and
may show strength in coming session.
Stock which witnessed short build up are TORNTPOWER,
CHOLAFIN, GODREJCP & ADANIPOWER witnessed short
build up may remain weak in coming session.
Nifty Put options OI distribution shows that 10700 has highest
OI concentration followed by 10400 & 10600 which may act
as support for current expiry.
Nifty Call strike 11000 followed by 10900 witnessed significant
OI concentration and may act as resistance for current expiry.
SSEECCUURRIITTIIEESS IINN BBAANN PPEERRIIOODD::
AADDAANNIIEENNTT,, AADDAANNIIPPOOWWEERR,, AALLBBKK,, IIDDBBII,, JJEETTAAIIRRWWAAYYSS,, JJIISSLLJJAALLEEQQ,, KKSSCCLL
__________________________________________________________________________________________________________________
SSttoocckk FFuuttuurreess -- LLoonngg BBuuiilldd
______________________________________________________________________________________________________________
SSttoocckk FFuuttuurreess -- SShhoorrtt BBuuiilldd UUpp
Symbol
Fut
Price
% Chg Open Interest % Chg
DISHTV 37.35 0.01 77104000.00 0.26
REPCOHOME 327.00 0.00 1164900.00 0.22
BEML 820.95 0.04 1533000.00 0.17
SOUTHBANK 13.60 0.02 156624366.00 0.07
Symbol
Fut
Price
% Chg
Open
Interest
% Chg
KOTAKBANK 1240.65 -0.04 15981600.00 0.83
ARVIND 75.30 -0.03 8208000.00 0.24
MRPL 63.20 -0.02 6083000.00 0.10
TORNTPHARM 1773.10 0.00 495500.00 0.10

2. 25 February 2019 For private circulation only
WEEKLY DERIVATIVE REPORT
Week ended 22 Feb 2019
NNIIFFTTYY HHIIGGHHLLIIGGHHTTSS::
 Nifty Futures has increased by 0.58% to close at 10,809 from previous week close of 10,747.
 Nifty annualized volatility index India Vix has decreased to 15.45% from 16.46% down by 6.14%.
 The total open interest (OI) in the Nifty stood at Rs 7743cr.Where as stock futures OI is at 41701cr.
 The open interest position of FII in Index Futures is at Rs 30,720Cr and in Stock futures is at Rs 92026Cr.
Nifty PCR OI  PCR OI has gone well above the par
line to close at 1.37 levels.
 PCR OI currently is at 1.37 levels which is
marginally above the dotted line indicating
that we can see some cautiousness in Nifty
from current levels.
OOppeenn IInntteerreesstt AAnnaallyyssiiss
 Options Built up Shows that now for
nifty has strong support at 10700 and
resistance at 11000 levels.
 11000 strike call and 10700 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 10800 and 10700 strikes
adding 5.90 and 3.70 lakh in OI
respectively.
 On the Call front we have seen unwinding
at 11300 strike with decrease in OI of 5 lakh
shares, while addition of 3.80 lakh shares
was witnessed in 10800 strike.
1.00
1.20
1.40
1.60
1.80
3.00
4.00
5.00
6.00
7.00
11-Feb
12-Feb
13-Feb
14-Feb
15-Feb
18-Feb
19-Feb
20-Feb
21-Feb
22-Feb
PUTCALLRATIO
OIincr.
Call OI Put OI
0
1000000
2000000
3000000
4000000
5000000
10200
10300
10400
10500
10600
10700
10800
10900
11000
11100
11200
11300
11400
11500
OpenInterest
Open Interest Put OI Call OI
-1000000
-500000
0
500000
1000000
10200
10300
10400
10500
10600
10700
10800
10900
11000
11100
11200
11300
11400
11500
OpenInterest
Change in Open Interest Call OI Put OI

3. 25 February 2019 For private circulation only
WEEKLY DERIVATIVE REPORT
VVoollaattiilliittyy AAnnaallyyssiiss
 IV differential between call and put has
decreased from last week level which implies
that nifty will continue to trade with current
momentum.
 Call IV’s currently at 12.70%, while Put IV’s are
at 14.74%.
 Implied Volatility of option for the February series
is at 13.71% and has seen declining trajectory this
week.
WWeeeekkllyy PPaarrttiicciippaanntt WWiissee OOppeenn IInntteerreesstt
Participant
FUT IDX
Long
(contracts)
Net Chg
FUT IDX
Short
(contracts)
Net Chg
Client 137162 1871 140319 8470
DII 38434 -10179 24414 -5981
FII 188416 2485 199843 -6765
Pro 27471 1054 26907 -493
Participant
FUT STK
Long
(contracts)
Net Chg
FUT STK
Short
(contracts)
Net Chg
Client 817140 18311 260899 17275
DII 32665 4369 977062 11824
FII 952773 15806 589205 9928
Pro 194798 28331 170210 27790
FFIIII IInnddeexx FFuuttuurreess
 FII activity in the index futures has seen mixed
activity during this week.
 FII have been buyers in Index future to the tune of
690 crore during this week.
FFIIII SSttoocckk FFuuttuurreess
 FII activity in Stock futures had been on sell side
during the last week.
 This week FII have been net seller in stock future
segment to the tune 426 crore
12.00
13.00
14.00
15.00
16.00
17.00
18.00
19.00
20.00
11-Feb-
19
12-Feb-
19
13-Feb-
19
14-Feb-
19
15-Feb-
19
18-Feb-
19
19-Feb-
19
20-Feb-
19
21-Feb-
19
22-Feb-
19
Implied volatility(IV) IV Call Iv Put Historic volatility
300,000
400,000
500,000
18-Feb 19-Feb 20-Feb 21-Feb 22-Feb
-1,000
-500
0
500
1,000
InCrores
NET AMT OI IN CONTRACT
1,520,000
1,525,000
1,530,000
1,535,000
1,540,000
1,545,000
18-Feb 19-Feb 20-Feb 21-Feb 22-Feb
-1200
-800
-400
0
400
InCrores
NETAMT OI IN CONTRACT

4. 25 February 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
zzScript ID Price % Chg OI Futures % Chg
KOTAKBANK 1240.65 -3.59% 15981600 81.68%
ENGINERSIN 106.6 -1.43% 15555400 60.36%
KPIT 108.2 -1.14% 4110750 46.51%
DISHTV 37.35 13.01% 77104000 38.24%
IRB 130.25 7.29% 8896000 36.74%
Script ID Price % Chg OI Futures % Chg
SREINFRA 27.85 15.08% 6624000 -25.71%
ADANIPORTS 354.45 0.95% 18285000 -17.09%
NESTLEIND 10689.2 0.99% 305350 -15.64%
SIEMENS 992.85 2.73% 1865050 -13.23%
ONGC 143.2 9.82% 45296250 -12.23%
WWeeeekkllyy PPrriiccee GGaaiinneerr WWeeeekkllyy PPrriiccee LLoosseerr
Script ID Price % Chg OI Futures % Chg
SUZLON 5.7 65.22% 2.84E+08 13.46%
JPASSOCIAT 6.2 22.77% 1.03E+08 15.60%
RCOM 6.55 18.02% 69326000 -0.20%
RELINFRA 133.85 16.09% 8819200 -10.92%
ALBK 43.15 15.37% 34372000 19.69%
Script ID Price % Chg OI Futures % Chg
KSCL 402.45 -15.96% 1867500 17.34%
INFIBEAM 35.85 -8.08% 18772000 -5.65%
TCS 1927.55 -5.45% 15723250 17.43%
OFSS 3456.55 -4.84% 163950 16.40%
REPCOHOME 327 -3.74% 1164900 6.43%
1.67
1.75
-0.95
7.67
-0.08
2.26
-1.63
1.71
-0.05
2.74
2.29
4.91
-0.86
0.08
3.85
2.79
7.49
1.56
5.53
Weekly Price Change
Infrastructure
FMCG
Reality
Finance
Cement
Automobile
Others
Telecom
Media
Capital goods
Banking
Fertilisers
Technology
Oil & Gas
Index
Metals
Textile
Power
Pharma
1.35
7.64
8.36
5.08
0.10
1.07
5.24
2.11
5.42
0.11
18.11
-0.77
-0.80
3.73
10.45
3.93
13.09
4.78
3.72
Weekly OI change
Infrastructure
FMCG
Reality
Finance
Cement
Automobile
Others
Telecom
Media
Capital goods
Banking
Fertilisers
Technology
Oil & Gas
Index
Metals
Textile
Power
Pharma
0.79
0.25
-6.06
38.15
4.81
40.14
-1.44
24.24
3.02
4.89
19.13
2.62
11.40
25.14
15.31
22.84
29.01
-3.32
8.20
Wkly PCR OI change
Infrastructure
FMCG
Reality
Finance
Cement
Automobile
Others
Telecom
Media
Capital goods
Banking
Fertilisers
Technology
Oil & Gas
Index
Metals
Textile
Power
Pharma

5. 25 February 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, INDIANB and SBIN can see some positive move in this week.
Bank Nifty has a very strong support at 26500 with 26500 PE strike having highest OI concentration and on
the call front 27500 CE strike has highest OI concentration indicating strong resistance level.
ALBK
AXISBANK
BANKBARODA
BANKINDIA
CANBK
DCBBANK
FEDERALBNK
HDFCBANK
ICICIBANK
IDBI, 2%
IDFCFIRSTB
INDIANB, 0%
INDUSINDBKKOTAKBANK KTKBANKORIENTBANK
PNB
RBLBANK, 0%
SBIN
SOUTHBANK, 14%
SYNDIBANK, 3%
UNIONBANK YESBANK
38%
62%
Open Interest
Psu Bank Private Bank
0
100,000
200,000
300,000
400,000
500,000
600,000
700,000
800,000
900,000
25900
26000
26100
26200
26300
26400
26500
26600
26700
26800
26900
27000
27100
27200
27300
27400
27500
27600
27700
27800
27900
OpenInterest
Open Interest
Call OI Put OI

6. 25 February 2019 For private circulation only
WEEKLY DERIVATIVE REPORT
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