- Nifty futures closed slightly lower with an increase in open interest, indicating short position building. - FIIs were net buyers in the derivatives segment after selling index futures but buying index options and stock futures. - The daily report provides analysis of volatility indicators, open interest distribution in Nifty options, and stocks seeing long and short position increases.

1. DAILY DERIVATIVES 21 September 2017
Source: NSE,SeeDiff,AXISDIRECT Research
HIGHLIGHTS:Nifty Options OI Distribution
Nifty Options -Change in OI
Nifty Futures closed at 10167.55 decreased by 0.01% with 2.62%
increased in open interest indicates short buildup. Nifty futures closed
with 27 points premium compared to previous day premium of 21
point.
FII's were sellers in Index Futures to the tune of 469 crores and were
buyers in Index Options to the tune of 831 crores, Stock Futures were
bought to the tune of 129 crores. FII's were net buyers in derivative
segment to the tune of 457 crores.
India VIX index is at 11.63. Nifty ATM call option IV is currently at 11.34
whereas Nifty ATM put option IV is quoting at 10.43.
Index options PCR is at 0.98 and F&O Total PCR is at 0.88.
Among stock futures TATASTEEL, STAR, CANBK and CHOLAFIN have
witnessed long build up and may show strength in coming session.
Stocks which witnessed short build up are HINDALCO, TITAN,
HEXAWARE and INDIGO may remain weak in coming session.
Nifty put options OI distribution shows that 10000 has highest OI
concentration followed by 9900 and may act as good support for
current expiry.
Nifty call strike 10200 followed by 10300 witnessed significant OI
concentration and may act as resistance for current expiry.
BEML, DHFL, HDIL, IBREALEST, ICIL, INDIACEM, INFIBEAM, JPASSOCIAT, JSWENERGY, JUSTDIAL
Market Indsite:
SECURITIES IN BAN PERIOD
Market Indsite:
Stock Futures - Long Build Up Stock Futures - Short Build Up
Nifty Active Futures 10167.55
Nifty Active Futures OI 22498275
Change in OI 589050
Premium / Discount 26.40
Inference Short Build up
Nifty Futures View
Nifty Futures closed
at 10167.55
decreased by 0.01%
with 2.62%
increased in open
interest indicates
short buildup. Nifty
futures closed with
27 points premium
compared to
previous day
premium of 21
point.
FII's were sellers in
Index Futures to
the tune of 469
crores and were
buyers in Index
Options to the tune
of 831 crores, Stock
Futures were
bought to the tune
of 129 crores. FII's
were net buyers in
derivative segment
India VIX Index 11.63
Nifty ATM Call IV 11.34
Nifty ATM Put IV 10.43
PCR Index Options 0.98
PCR F&O Total 0.88
Volatility
INDEX FUTURES -469
INDEX OPTIONS 831
STOCK FUTURES 129
STOCK OPTIONS -33
FII Net Activity 457
FII Activity
Symbol Fut Price % Chg Open Interest % Chg
TATASTEEL 688.6 1.43 24220000 6.45
STAR 1021.5 1.04 1832000 5.41
CANBK 346.05 0.61 10149000 4.84
CHOLAFIN 1177.3 0.59 476000 4.62
Symbol Fut Price % Chg Open Interest % Chg
HINDALCO 244.9 -1.09 38020000 8.16
TITAN 633.05 -1.53 4507500 6.07
HEXAWARE 276.65 -1.02 2568000 5.55
INDIGO 1136.15 -1.36 2847000 4.72

2. Source: NSE,SeeDiff,AXISDIRECT Research
Nifty Options OI Distribution
Nifty Options -Change in OI
Market Indsite:
SECURITIES IN BAN PERIOD
Market Indsite:
Nifty Options OI Distribution
Market Indsite:
Stock OI Data
Market Indsite:
DAILY DERIVATIVES
S ector Scrip spot price % chg Futures O I (in 000's ) % chg
Others ADANIENT 129.40 -1.22 28,976 3.37
Pharma AJANTPHARM 1,204.50 0.58 855 2.25
Banking ALBK 73.10 0.21 14,090 3.00
Automobile APOLLOTYRE 262.25 1.45 12,894 5.09
Textile ARVIND 404.90 -1.41 7,122 2.65
Telecom BHARTIARTL 396.85 0.52 27,321 2.26
Oil_Gas BPCL 494.30 -2.49 17,194 3.19
Automobile CEATLTD 1,771.80 -0.41 1,896 3.59
Power CGPOW ER 81.15 -0.92 28,236 10.00
Oil_Gas CHENNPETRO 441.05 -2.23 2,379 2.06
Others CONCOR 1,365.65 0.83 1,425 3.26
Capital_Goods CUMMINSIND 926.95 -0.69 862 6.76
Cement DALMIABHA 2,762.95 -1.28 601 3.09
Media DISHTV 77.00 -0.84 18,277 1.91
Pharma DIVISLAB 942.80 9.22 10,293 1.93
Pharma DRREDDY 2,314.70 3.26 4,234 3.41
Banking FEDERALBNK 120.25 0.97 57,101 3.67
Oil_Gas GAIL 417.30 -0.84 12,748 4.29
FMCG GODREJIND 623.80 -2.43 3,008 7.33
Fertilisers GSFC 141.40 -3.05 17,775 4.14
Technology HCLTECH 889.45 -0.47 7,407 2.02
Automobile HEROMOTOCO 3,856.05 -2.24 1,596 8.92
Finance ICICIPRULI 412.10 -2.83 6,737 4.31
Textile ICIL 117.55 -0.47 13,731 3.37
Telecom IDEA 80.15 -3.67 62,755 4.17
Finance IDFC 62.50 0.64 1,57,476 2.83
Finance IFCI 24.20 1.47 80,586 2.38
Oil_Gas IGL 1,498.65 1.00 1,215 2.65
Cement INDIACEM 185.50 -2.32 30,660 9.32
Others JETAIRWAYS 547.95 -1.41 5,100 3.81
Others KAJARIACER 749.15 1.61 999 3.65
Banking KTKBANK 163.00 5.30 25,927 10.30
Finance M&MFIN 425.45 -1.60 6,440 3.37
Oil_Gas MRPL 134.40 -1.83 7,524 2.64
Finance MUTHOOTFIN 512.65 0.54 2,843 1.83
Metals NATIONALUM 82.50 2.55 22,040 11.54
Infrastructure NBCC 220.15 2.40 3,639 10.88
Infrastructure NCC 88.50 -1.50 26,568 4.40
FMCG NESTLEIND 7,203.35 -0.71 116 2.21
Power NHPC 28.10 -0.53 35,019 1.57
Technology NIITTECH 532.45 5.18 1,535 3.33
Metals NMDC 131.20 -0.91 32,136 2.47
Power NTPC 167.80 -0.71 28,448 5.99
Technology OFSS 3,568.55 -0.67 63 4.74
Oil_Gas ONGC 167.70 1.08 54,566 4.02
Banking ORIENTBANK 136.25 1.30 16,260 2.65
Pharma PEL 2,807.65 1.13 1,220 2.75
FMCG PIDILITIND 851.15 -0.60 1,038 3.18
Banking PNB 144.80 0.63 28,529 3.45
Media PVR 1,310.00 -2.08 821 4.00
Textile RAYMOND 870.05 -1.44 3,271 2.89

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