Daily Derivatives

1 Daily Derivatives

Key Market Indicators Key Observations 08-June 09-June % Chg.

Nifty (Spot) 15740.10 15635.35 -0.67 Nifty made a fresh all-time high at 15800. Nifty (Future) 15768.60 15660.25 -0.69 . Nifty had a positive start to the day and made fresh highs in first hour Basis 28.50 24.90 - of trade. After the initial spurt Nifty failed to hold on the gains and in Nifty OI (Sh) 11.83 11.63 -1.68 the second half saw sharp cut in nifty due to profit booking. Nifty did Nifty Vol (mn) 5.60 10.92 94.93 manage to bounce back a little but closed the day with a loss of PCR (OI) 1.30 1.12 - 0.67%. PCR (Vol) 0.93 0.97 - . Nifty futures OI saw long liquidation to the tune of 1.68% i.e. IV’s (Jan) 14.50 14.40 - reduction of 0.20mn shares with total outstanding position currently India Vix 15.22 14.75 - at 11.63mn shares. The advance decline ratio was negative with 34 HV’s 15.10 15.20 - stocks on the gaining side against 126 stocks on the losing side. Fut Adv/Dec 80/78 34/126 - . Nifty PCR (OI) saw a down tick to close at 1.12 as compared to 1.30 NIF50 Ad/Dec 27/22 10/40 - on the previous trading session. Major writing was seen in CALL options front at 15700 and 15800 strikes with addition of more than Market Wide OI (INR In Cr) 1.41mn shares and 1.35mn shares, while on the PUT options front 15700 and 15500 strikes saw liquidation of more than 1.79mn and 08-June 09-June % Chg. 0.48mn shares respectively. IDX – Nifty 186642 182254 -2.35 IDX - Others 66856 66162 -1.04 . Top five long additions were seen in TORNTPOWER, RECL, AARTIIND, Stock Fut. 1645288 1623729 -1.31 POWERGRID, and NTPC, while top five short positions were seen in PETRONET, PFIZER, VOLTAS, MGL and GAIL. Nifty has strong support Nifty Opt. 2513325 2590944 3.09 at 15500 levels while resistance at 15800. Other –Opt. 1508009 1570282 4.13 Stock Opt. 1298881 1371135 5.56 Total 7218999 7404505 2.57 . Most active +ve stock: SBILIFE, GRANUELS, NTPC

. Most active –ve Stock: PETRONET, BAJFINANCE, SRTRANSFIN FII as % of Mkt Wide OI (INR. MN) Mkt OI FII OI % Index Fut. 248416 66359 27% Nifty Future Technical Indicators Index Opt. 4161225 516588 12% Stock Fut. 1623729 549502 34% Key Price Points 1371135 116205 8% Stock Opt. Support Pivot Resistance 5 DEMA 21 DEMA 55 DEMA 200 SMA Total 7404505 1248654 17% 15565 15690 15785 15644 15356 15013 13611

F & O Market Turnover (INR. MN) 08-June 09-June % Chg. FII Statistics Index Fut. 201494.4 343072 70.26 FII Flows (Derivatives) Stock Fut. 663207.2 854468 28.84 08-June 09-June Index Opt. 30928220 55551970 79.62 (INR Cr.) Stock Opt. 2102841.7 2652908 26.16 BUY SELL NET BUY SELL NET Total 33895764 59402418 75.25 IDX Future 2577 2644 -67.38 4869 4332 536.55 IDX Option 327797 326939 857.95 639066 646887 -7821.49 Securities in Ban Period 09-June-2021 STK Future 13759 14283 -523.92 17080 17150 -69.6 BHEL STK Option 17219 17440 -221.02 23888 24229 -340.62 CANBK Total 361351 361306 45.63 684903 692598 -7695.16 NATIONALUM SAIL SUNTV

2 Daily Derivatives

Options Statistics

NIFTY Strike Wise OI Concentration Month Maximum Call OI Maximum Put OI Max OI (Call + Put) JUNE 16000-15800-15700 15000-15500-15400 16000-15000-15700 Total NIFTY Call OI Shares Total NIFTY Put OI Shares 08-June 09-June Diff : 08-June 09-June Diff : 71282025 79503700 8221675 92429950 89039575 -3390375

Nifty Option OI Strike Wise

NIFTY OI STRIKE WISE

Call OI Put OI Total OI

12.00

10.00

8.00

OI No of Share 6.00 In Mn

4.00

2.00

0.00 15000 15100 15200 15300 15400 15500 15600 15700 15800 15900 16000 Strike Price

Source: NSEINDIA.COM

Nifty Change in OI Strike Wise

NIFTY CHANGE IN OI STRIKE WISE Call OI Put OI Total OI

2.50

2.00

1.50

1.00

OI 0.50 No of Share In Mn 0.00 15000 15100 15200 15300 15400 15500 15600 15700 15800 15900 16000 -0.50

-1.00

-1.50

-2.00 Strike Price

Source: NSEINDIA.COM

3 Daily Derivatives

Stock Future Statistics

Top 5 OI gainers (No. of shares) Top 5 OI gainers (%)

STOCK OI (MN) OI (%) LCP Price (%) STOCK OI (MN) OI (%) LCP Price (%)

PETRONET 27.57 37.4 229.1 -7.9 TORNTPOWER 4.32 60.1 472.1 1.5

BHEL 117.63 3.2 74.9 -1.4 PETRONET 27.57 37.4 229.1 -7.9

COALINDIA 51.08 5.7 157.15 0.5 RECLTD 17.98 17.4 164.7 6.1

RECLTD 17.98 17.4 164.7 6.1 PFIZER 0.32 14 5409.2 -0.9

VOLTAS 2.65 12.4 1051.05 -2.4 FEDERALBNK 74.84 3.6 84.95 -1.9

Top 5 OI loser (No. of shares) Top 5 OI losers (%)

STOCK OI (MN) OI (%) LCP Price (%) STOCK OI (MN) OI (%) LCP Price (%)

PNB 271.22 -4.2 40.7 -1.9 MPHASIS 0.37 -25.5 1910 -1.6

BANKBARODA 173.04 -6.3 82 -0.2 COFORGE 0.70 -15.4 3856.5 0.7

ITC 163.00 -4 207.85 -0.5 NAVINFLUOR 0.32 -14.6 3352.95 -2.1

SAIL 157.94 -3.8 124.65 1.9 SRF 0.31 -14.3 6993.3 -0.4 NATIONALUM 89.98 -6.3 70.35 -3.4 IBULHSGFIN 25.57 -13.4 263.5 4.6

Abbreviations : OI – Open Interest, IV- Implied Volatility, HV- Historical volatility, Fut. – Futures, Vol – Volumes, PCR – Put Call Ratio, DEMA – Daily Exponential Moving Average, DMA - Daily Moving average, SMA – Simple Moving average

4 Daily Derivatives

Research Head A. K. Prabhakar [email protected] Derivative Analyst Miraj Vora [email protected]

IDBI Capital Markets & Securities Ltd. (A wholly owned subsidiary of IDBI Bank Ltd.)

Retail Research Desk Regd. Office: 6th Floor, IDBI Tower, WTC Complex, Cuffe Parade, Colaba, Mumbai – 400 005. Phones: (91-22) 2217 1700; Fax: (91-22) 2285 0785; Email: [email protected] SEBI Registration: BSE & NSE (Cash & FO) – INZ000007237, NSDL – IN-DP-NSDL-12-96, Research – INH000002459, CIN – U65990MH1993GOI075578 Compliance Officer: Christina D’souza; Email: [email protected]; Telephone: (91-22) 2217 1700

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