After a strong rally in the previous session, indices failed to carry forward the momentum on Tuesday. Indices that held firm throughout the day slipped sharply in the last hour amid a sudden bout of selling witnessed in the realty, auto, healthcare and banking stocks.

1. DAILY DERIVATIVE REPORT
27 JULY 2016
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 After a strong rally in the previous session, indices failed to carry forward the momentum on Tuesday. Indices that
held firm throughout the day slipped sharply in the last hour amid a sudden bout of selling witnessed in the realty,
auto, healthcare and banking stocks.
 BSE Finally, the BSE Sensex ended with a loss of 119 points at 27,977. The BSE Sensex opened at 28,121 touched an
intra-day high of 27,150 and low of 27,927. The NSE Nifty closed with a loss of 45 points at 8,591. The NSE Nifty
opened at 8,634 hitting a high of 8,645 and low of 8,577.
 The Nifty remained lacklustre for a major part of the day. Towards the end, it witnessed a round of profit booking
driving the Nifty to end 47 points lower. Nifty futures ended at a premium of 3 point. India VIX fell 0.7% to close at
15.6.
 FIIs bought 671 crore while DIIs sold 419 crore in the cash segment. FIIs bought 395 crore in index futures and sold
427 crore in index options. In stock futures, they sold 494 crore.
 The highest Put base at the 8400 strike with 50 lakh shares while the highest Call base is at the 8700 strike with 56
lakh shares. The 8800 and 8900 Call strikes saw additions of 13.2 and 0.5 lakh shares, respectively, while the 8500 and
8600 Put strikes saw reductions of 9.1 and 1.6 lakh shares, respectively
 Nifty Future: The Nifty is likely to open flat on the back of mixed global cues. Sell Nifty in the range of 8625-8635 for
targets of 8595-8575, stop loss: 8650.
 Bank Nifty Future: The index witnessed around 6% addition in open interest with a decline in the price. Rollover
activity is likely to pick up, which will trigger some volatility, going forward. We feel 18500 is likely to act as a strong
support. Buy Bank Nifty in the range of 18600-18650, targets: 18750-18850 stop loss: 18530
NIFTY SNAPSHOT & PIVOT POINTS
SPOT FUTURE
COST OF
CARRY
TOTAL FUT OI PCR OI PCR VOL ATM IV
CURRENT 8591 8593 4.67 34322700 1.07 0.98 15.52
PREVIOUS 8636 8640 5.71 28949700 1.10 0.99 15.73
CHANGE(%) -0.52 -0.54 18.56 - - -
PIVOT LEVELS S3 S2 S1 PIVOT R1 R2 R3
NIFTY FUTURE 8464 8536 8565 8608 8637 8680 8752
F&O HIGHLIGHTS
INDEX OUTLOOK
MARKET ROUND UP

2. DAILY DERIVATIVE REPORT
27 JULY 2016
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INTRADAY STRATEGY
i) AXIS BANK FUTURE ii BHARTI AIRTEL FUTURE
Buy future around 542-545 Sell future around 360-365
View : Bullish View : Bearish
Strategy : Buy Future Strategy : Sell Future
Target1: 549 Target 2 : 554 Target1: 355 Target 2 : 350
Stop loss : 538 Stop loss : 370
Market Lot : 1200 ,CMP : 543 Market Lot : 1500 ,CMP : 357
STOCK ANALYSIS
OPEN INTEREST ACTIVITY
LONG BUILD UP SHORT BUILD UP
SYMBOL OI (LOTS)
%
CHNG
PRICE %CHNG SYMBOL OI (LOTS)
%
CHNG
PRICE %CHNG
BPCL 11535.00 25.3 1110.00 1.60 NIITTECH 661.00 34.6 500.45 [5.0]
HINDALCO 5411.00 18.3 128.75 3.50
AMARAJA-
BAT
1555.00 24.7 837.55 [2.7]
EXIDEIND 2302.00 17.7 176.45 3.20 TATASTEEL 13607.00 23.9 310.45 [5.2]
ACC 2094.00 15.8 1616.50 1.10 TCS 14311.00 18.3 2438.00 [2.0]
DRREDDY 9130.00 12.1 3547.00 2.80 APOLLOTYRE 3061.00 14.3 150.50 [4.0]
 OI addition : We saw long build-up in Jindal Steel & Power, Canara Bank, NTPC and Bajaj Finance while short
build-up was seen in TVS Motors, Gail, CESC and Asian Paints
 OI Shedding : We saw short covering in Mind Tree, Ajanta Pharma, SAIL and SRF whereas long closure was seen in
Unitech, Ceat, NMDC and Exide.

3. DAILY DERIVATIVE REPORT
27 JULY 2016
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Instrument
Type
Symbol Expiry
Date
Option
Type
Strike
Price
LTP Traded
Volume
(Contracts)
Traded
Value
(Lakhs)
OPTSTK LUPIN 28JUL2016 CE 1,700 27.00 5,149 26,830.36
OPTSTK RELIANCE 28JUL2016 CE 1,000 13.90 2,902 14,735.05
OPTSTK LUPIN 28JUL2016 CE 1,800 9.60 2,834 15,425.86
OPTSTK LUPIN 28JUL2016 CE 1,750 16.95 2,106 11,200.87
OPTSTK SBIN 28JUL2016 CE 220 6.75 2,027 13,786.24
MOST ACTIVE CALLS
MOST ACTIVE PUTS
Instrument
Type
Symbol Expiry
Date
Option
Type
Strike
Price
LTP Traded
Volume
(Contracts)
Traded
Value
(Lakhs)
OPTSTK LUPIN 28JUL2016 PE 1,600 38.00 2,749 13,451.10
OPTSTK LUPIN 28JUL2016 PE 1,550 21.00 1,625 7,641.47
OPTSTK LUPIN 28JUL2016 PE 1,650 62.30 1,562 7,965.26
OPTSTK SBIN 28JUL2016 PE 215 5.05 1,210 8,003.42
OPTSTK LT 28JUL2016 PE 1,500 24.15 1,209 9,227.51
FII ACTIVITY (IN RS. CRORE)
BUY SELL OPEN INTEREST AT THE
END OF THE DATE
DERIVATIVE
PRODUCT
NO.OF
CON-
TRACTS
AMOUNT
IN CRORES
NO.OF
COTRACTS
AMOUNT
IN CRORES
NO. OF
CONTRACTS
AMOUNT
IN CRORES
INDEX FUTURES
17261 1137.01 21092 1358.65 237744 15148.95
INDEX OPTIONS
306266 20072.29 299589 19671.21 827968 52081.43
STOCK FUTURES 72637 4595.70 68599 4313.85 793562 49469.86
STOCK OPTIONS 37525 2410.21 38055 2439.46 57978 3672.92

4. DAILY DERIVATIVE REPORT
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PRICE VOLUME OI MARKET
RISING UP UP STRONG
RISING DOWN DOWN WEAK
DECLINING UP UP WEAK
DECLINING DOWN DOWN STRONG
GENERAL RULES FOR OPEN INTEREST & VOLUME