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1. DAILY DERIVATIVES 27 September 2017
Source: NSE,SeeDiff,AXISDIRECT Research
HIGHLIGHTS:Nifty Options OI Distribution
Nifty Options -Change in OI
Nifty Futures closed at 9866.95 decreased by 0.12% with 4.94%
increased in open interest indicates short buildup. Nifty futures closed
with 4 points discount compared to previous day premium of 6 point.
FII's were sellers in Index Futures to the tune of 1263 crores and were
buyers in Index Options to the tune of 828 crores, Stock Futures were
bought to the tune of 320 crores. FII's were net buyers in derivative
segment to the tune of 98 crores.
India VIX index is at 12.92 Nifty ATM call option IV is currently at 11.15
whereas Nifty ATM put option IV is quoting at 17.09.
Index options PCR is at 0.82 and F&O Total PCR is at 0.79.
Among stock futures CONCOR, JSWSTEEL, NIITTECH and STAR have
witnessed long build up and may show strength in coming session.
Stocks which witnessed short build up are CHOLAFIN, HINDUNILVR,
SUNTV and ZEEL may remain weak in coming session.
Nifty put options OI distribution shows that 9800 has highest OI
concentration followed by 9700 and may act as good support for
current expiry.
Nifty call strike 10000 followed by 10200 witnessed significant OI
concentration and may act as resistance for current expiry.
BEML, DHFL, DLF, IBREALEST, ICIL, JPASSOCIAT, JSWENERGY, RCOM, RELCAPITAL
Market Indsite:
SECURITIES IN BAN PERIOD
Market Indsite:
Stock Futures - Long Build Up Stock Futures - Short Build Up
Nifty Active Futures 9866.95
Nifty Active Futures OI 25607475
Change in OI 1265250
Premium / Discount -4.55
Inference Short Build up
Nifty Futures View
Nifty Futures closed at
9866.95 decreased by
0.12% with 4.94%
increased in open
interest indicates short
buildup. Nifty futures
closed with 4 points
discount compared to
previous day premium
of 6 point.
FII's were sellers in
Index Futures to the
tune of 1263 crores and
were buyers in Index
Options to the tune of
828 crores, Stock
Futures were bought to
the tune of 320 crores.
FII's were net buyers in
derivative segment to
the tune of 98 crores.
India VIX index is at
12.92 Nifty ATM call
option IV is currently at
India VIX Index 12.92
Nifty ATM Call IV 11.15
Nifty ATM Put IV 17.09
PCR Index Options 0.82
PCR F&O Total 0.79
Volatility
INDEX FUTURES -1263
INDEX OPTIONS 828
STOCK FUTURES 320
STOCK OPTIONS 213
FII Net Activity 98
FII Activity
Symbol Fut Price % Chg Open Interest % Chg
CONCOR 1294.85 0.5 320625 196.00
JSWSTEEL 244.15 2.18 32481000 160.00
NIITTECH 517.15 1.76 196500 156.00
STAR 915.15 0.31 941500 138.00
Symbol Fut Price % Chg Open Interest % Chg
CHOLAFIN 1082.6 -1.92 208000 252.00
HINDUNILVR 1219.5 -2.45 3408000 274.00
SUNTV 774.9 -1.87 2531000 201.00
ZEEL 526.3 -0.34 1146600 230.00

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 OI (in 000's) % chg
Others ADANIPORTS 390.55 0.49 7,243 7.38
Banking ANDHRABANK 58.80 0.09 26,890 3.26
Textile ARVIND 370.05 1.12 7,756 3.66
FMCG ASIANPAINT 1,174.00 -1.92 3,362 2.81
Pharma AUROPHARMA 709.35 1.21 16,832 2.60
Finance BAJAJFINSV 5,170.50 1.17 714 3.01
Finance BAJFINANCE 1,840.10 2.46 5,212 3.97
FMCG BATAINDIA 690.05 -2.71 2,133 3.58
Automobile BHARATFORG 1,274.85 4.39 4,065 5.15
Pharma CADILAHC 473.80 -1.69 3,539 2.79
Oil_Gas CASTROLIND 362.75 -0.70 9,460 2.27
Power CGPOW ER 77.80 -1.52 29,952 4.92
Oil_Gas CHENNPETRO 399.90 -2.36 2,711 4.39
Pharma CIPLA 579.00 0.31 7,939 4.63
Finance DHFL 556.40 6.07 27,411 20.77
Media DISHTV 76.40 -0.39 17,710 2.35
Automobile EXIDEIND 205.60 -1.34 14,220 5.80
FMCG GODREJIND 591.05 2.62 3,360 2.75
Pharma GRANULES 117.10 -2.05 15,185 5.20
Finance HDFC 1,741.25 -0.79 11,360 3.30
Banking HDFCBANK 1,792.30 -0.41 23,267 4.87
Realty HDIL 56.05 0.36 34,656 8.82
Automobile HEROMOTOCO 3,787.75 0.85 1,876 7.40
Banking IDBI 53.50 0.66 37,032 6.12
Finance IFCI 23.40 2.86 94,644 8.94
Oil_Gas IGL 1,435.25 -1.27 1,275 6.57
Cement INDIACEM 171.60 2.45 25,459 5.77
Banking INDIANB 263.55 -0.28 5,056 2.27
Others INDIGO 1,043.05 -0.24 3,429 2.81
Banking INDUSINDBK 1,693.40 -0.49 4,631 8.57
Telecom INFRATEL 376.40 -3.82 6,025 2.40
FMCG ITC 262.45 0.08 60,110 3.48
Others JETAIRWAYS 481.55 -3.20 5,117 3.70
Others JISLJALEQS 95.15 -0.78 44,388 7.45
Realty JPASSOCIAT 16.45 -3.52 2,07,876 13.52
Others JUSTDIAL 379.65 -1.31 4,447 10.36
Banking KOTAKBANK 994.00 -0.55 7,942 7.27
Capital_Goods LT 1,162.90 -0.20 10,551 2.57
Automobile M&M 1,247.15 -1.02 5,244 3.21
Finance M&MFIN 404.70 0.22 7,083 5.95
Automobile MARUTI 7,889.90 -0.94 1,908 5.02
FMCG MCDOWELL-N 2,466.40 0.85 1,927 2.61
Automobile MOTHERSUMI 339.60 1.60 13,279 7.21
Finance MUTHOOTFIN 478.40 0.38 2,456 4.94
Power NTPC 166.95 0.42 28,320 6.12
Oil_Gas OIL 349.35 5.07 3,315 11.34
Pharma PEL 2,682.35 -0.71 1,216 2.84
FMCG PIDILITIND 792.70 -1.61 1,210 7.46
Banking PNB 136.65 -0.73 32,473 3.18
Power PTC 121.95 -0.93 17,248 4.46
Cement RAMCOCEM 695.00 -1.82 492 8.66

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