Feb 13, 2017

RETAIL RESEARCH Daily FNO Overview

Derivative Commentary

Markets could open higher

Markets ended with marginal gains on Friday after witnessing a volatile session. There was unwinding of longs as Nifty Fut OI decreased by
119 contracts or 0.04% and the Nifty Feb Fut premium narrowed to 15.8 points from 18.45 points in the previous session. Total Nifty OI
climbed by 1.79%. Overall OI decreased by 21,753crs. to 3,09,215crs.

Nifty IV dipped to 11.62% from 12.02% indicating a drop in volatility expectations. The Nifty OI PCR was steady at 1.12. Maximum buildup
of OI was seen in the 8950-8750 Feb Puts. Combined with a fall in option prices, it indicates put writing at these strikes. Call writing was
seen in the 8850-8950 Feb Call strikes.

Long build up was seen in Grasim, Tech Mah, TCS and Adani Ports. Short build up was seen in Auro Pharma, Lupin, Dr Reddy and Cipla. The
most active Fut contracts were SBI, Infy, Bank of Baroda and Tata Steel. Sectorally, OI long build up was seen in the Cement and IT indices.
Short build up was seen in the Auto, Capital Goods, Metals, Pharma and Telecom indices.

Technically, with the Nifty ending with marginal gains and continuing to consolidate in a narrow range between the 8700 and 8825 range,
traders will need to watch for a breakout of this range in the coming sessions for further directional cues.

Market Futures and Options Data

Nifty Futures and Options Data

RETAIL RESEARCH
 Sectorally

Stock Futures trading at the widest premium to underlying spot

Symbol Price Price % Spot Basis Basis % Volume

IBREALEST 79.7 -2.03% 78.9 0.8 1.01% 407
JPASSOCIAT 13.5 -4.93% 13.4 0.1 0.75% 233
GMRINFRA 14.8 2.42% 14.7 0.1 0.68% 1,872
IDBI 82.5 -0.42% 82 0.5 0.61% 1,183
ADANIPOWER 36.8 -0.41% 36.6 0.2 0.55% 643

Stock Futures trading at the widest discount to underlying spot

Symbol Price Price % Spot Basis Basis % Volume
UNIONBANK 142.85 -3.45% 150.2 -7.35 -4.89% 2,437
OIL 335.5 0.21% 345.55 -10.05 -2.91% 286
CANBK 304 0.25% 311.05 -7.05 -2.27% 3,986
NTPC 168.4 1.20% 170.35 -1.95 -1.14% 1,611
IDEA 109.55 -0.68% 110.45 -0.9 -0.81% 3,887

Most Active Stock Futures

Symbol Price Price % Volume Volume % OI OI %

SBIN 277.35 0.36% 48,475 157.01% 25,960 7.27%
INFY 967.7 2.06% 24,980 52.75% 55,094 -4.89%
BANKBARODA 188.35 1.84% 15,246 64.29% 10,291 1.78%
TATASTEEL 469.8 1.85% 13,798 -6.50% 11,329 -1.19%

RETAIL RESEARCH
 Top Futures OI Gainers

Symbol Price Price Chg Volume Volume % OI OI %

OFSS 3,719.65 29 962 -7.41% 2,007 14.49%
POWERGRID 199.7 -2.2 3,277 3.57% 4,638 11.14%
PTC 91.65 3.25 1,802 209.09% 2,184 8.28%
SAIL 62 -3.9 5,043 64.21% 4,947 7.68%
TATACOMM 755.05 -21.55 2,869 -31.15% 4,717 7.45%

Price Gainers

Symbol Price Price % Volume Volume % OI OI %

MCDOWELL-N 2,360.80 4.10% 6,425 265.68% 10,969 3.76%
GRASIM 1,011.45 3.75% 9,566 266.51% 8,581 -5.57%
PTC 91.65 3.68% 1,802 209.09% 2,184 8.28%
TCS 2,395.95 3.07% 11,702 79.98% 22,186 0.44%
ABIRLANUVO 1,485.25 3.00% 4,155 138.66% 5,982 -9.76%

Top Volume Gainers

Symbol Price Price % Volume Volume % OI OI %

GRASIM 1,011.45 3.75% 9,566 266.51% 8,581 -5.57%
MCDOWELL-N 2,360.80 4.10% 6,425 265.68% 10,969 3.76%
TORNTPOWER 208.8 -0.22% 2,194 250.48% 1,015 -10.10%
PTC 91.65 3.68% 1,802 209.09% 2,184 8.28%
ADANIPORTS 312.45 2.22% 5,424 169.18% 6,501 1.20%

Nifty/Bank Nifty Options Top Volume Changes

Symbol PutCall Strike Price Price % Volume Volume% OI OI% IV

NIFTY P 10000 1,181.30 -0.70% 1,328 357.90% 2,600 0.80% 13.43
NIFTY C 9600 0.45 -18.20% 1,627 310.90% 840 1.50% 17.53
NIFTY P 6500 0.4 0.00% 1,063 259.10% 372 -17.90% 13.43
NIFTY C 9700 0.5 0.00% 2,413 199.00% 767 -0.90% 19.64
NIFTY C 9800 0.35 0.00% 1,113 151.20% 356 0.00% 20.69

Nifty/Bank Nifty Options Top OI Changes

Symbol PutCall Strike Price Price % Volume Volume% OI OI% IV

BANKNIFTY C 20700 58.85 -1.80% 9,468 34.30% 7,108 119.90% 13.33
BANKNIFTY C 20800 41.4 -3.30% 10,972 79.40% 8,384 118.10% 13.33
BANKNIFTY C 20900 29.25 -2.80% 6,443 54.30% 5,616 89.00% 13.44
NIFTY C 8950 18.55 -8.20% 13,480 -18.80% 6,869 83.50% 9.95
NIFTY P 8850 90.35 -12.50% 3,867 42.60% 2,316 53.50% 10.24

RETAIL RESEARCH
 Stock Options - Top Volume Changes

Symbol PutCall Strike Price Price % Volume Volume% OI OI% IV

TCS P 2350 21.4 -59.50% 1,128 5836.80% 315 570.20% 22.54
INFY P 960 14.25 -49.90% 1,063 1336.50% 454 52.90% 24.58
TCS C 2500 9.2 196.80% 1,471 900.70% 499 33.10% 22.99
M&M C 1320 9.1 -44.70% 1,414 603.50% 299 69.90% 24.75
SBIN P 280 7.9 -26.20% 5,218 511.00% 899 134.10% 30.95
BANKBARODA C 200 2.7 20.00% 2,720 445.10% 818 86.80% 48.25
TCS C 2450 18.5 200.80% 1,773 438.90% 437 -24.50% 21.84
SBIN C 305 0.55 -59.30% 1,794 412.60% 494 19.30% 33.76
BANKBARODA C 195 4.1 24.20% 1,152 398.70% 420 133.30% 48.01
SBIN C 290 2.2 -41.30% 9,870 378.70% 2,593 83.80% 31.46

Stock Options - Top OI Changes

Symbol PutCall Strike Price Price % Volume Volume% OI OI% IV

TCS P 2350 21.4 -59.50% 1,128 5836.80% 315 570.20% 22.54
BANKBARODA P 185 5.05 -24.60% 1,102 327.10% 287 170.80% 46.91
TCS P 2300 11.15 -60.30% 2,092 284.60% 827 149.90% 24.44
SBIN P 280 7.9 -26.20% 5,218 511.00% 899 134.10% 30.95
BANKBARODA C 195 4.1 24.20% 1,152 398.70% 420 133.30% 48.01
BANKBARODA P 180 3.3 -24.10% 1,542 170.50% 599 110.90% 48.01
SBIN P 260 1.1 -56.90% 6,155 356.60% 1,882 98.30% 31.32
AUROPHARMA C 700 8.85 -63.50% 2,780 190.50% 1,098 93.30% 32.79
BANKBARODA C 200 2.7 20.00% 2,720 445.10% 818 86.80% 48.25
SBIN C 290 2.2 -41.30% 9,870 378.70% 2,593 83.80% 31.46

FII Statistics (In Contracts and Crs.)

Buy Qty Buy Amt Sell Qty Sell Amt Net Qty Net Amt OI Qty OI Amt
STOCK FUTURES 108,293 7,513 106,186 7,437 2,107 76 1,049,655 70,010
STOCK OPTIONS 71,714 5,385 75,313 5,659 -3,599 -274 103,097 7,295
INDEX FUTURES 21,128 1,490 17,297 1,248 3,831 243 309,646 21,117
INDEX OPTIONS 397,145 28,601 385,987 27,749 11,158 852 1,165,756 79,262
ALL 598,280 42,989 584,783 42,093 13,497 896 2,628,154 177,684

RETAIL RESEARCH
Analyst: Subash Gangadharan (subash.gangadharan@hdfcsec.com)

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