Technical & Derivatives Report
January 01, 2016
Sensex (26118) / Nifty (7946)
Exhibit 1: Nifty Daily Chart
Yesterday, our markets opened marginally higher as indicated
by the SGX Nifty. The index consolidated for the major part of
the session. However, a good up move in the final hour added
half a percent gains to its previous day's close.
Despite being a derivatives series expiry day, we witnessed no
volatility in the market. The Nifty showed a sharp up move
towards the 7950 mark. The index is now nearing our
mentioned resistance zone of 7950 - 7970. We maintain our
view that traders should keep booking profits around these
levels. This resistance zone coincides with the recent high and
the daily ’89 EMA’ and thus, a slightly cautious approach is
required. On the flipside, 7890 - 7852 would now be seen as
an immediate support zone for the index.
Key Levels
Support 1 - 7890
Resistance 1 - 7970
Support 2 - 7852
Resistance 2 - 8000
Exhibit 2: Bank Nifty Daily Chart
Bank Nifty Outlook - (16922)
In spite of the F&O expiry session, the Nifty Bank index traded
in a narrow range and ended the session on a flat note. As we
have been mentioning since last couple of days, the index it’s
trading near its resistance zone and for any further upside
momentum, the index needs to cross the 17045 - 17100
resistance zone. The individual stocks from the index are not
showing any signs of big up move from their current prices.
Hence it is advisable to stay cautious and wait for further
developments in the price structure. Failure to cross the
mentioned resistance zone may lead to an immediate
correction towards 16760.
Key Levels
Support 1 - 16760
Resistance 1 - 17045
Support 2 - 16600
Resistance 2 - 17100
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Technical & Derivatives Report
January 01, 2016
Comments
Nifty Vs OI
The Nifty futures open interest has decreased by 21.77%
BankNifty futures open interest has decreased by 30.41%
as market closed at 7946.35 levels.
The Nifty January future closed at a premium of 5.70
points against a premium of 28.80 points. The February
series closed at a premium of 26.10 points.
The Implied Volatility of at the money options has
increased from 11.94% to 12.43 %.
The total OI of the market is Rs. 1,59,138/- cr. and the
stock futures OI is Rs. 60,861/- cr.
Few of the liquid counters where we have seen high cost
of carry are GMRINFRA, JPASSOCIAT, UNITECH,
PIDILITIND and NCC.
OI Gainers
Views
OI
PRICE
SCRIP
OI
PRICE
CHG. (%)
CHG. (%)
FIIs bought significantly in cash market segment to the
CADILAHC
10254000
67.38
329.15
-14.85
tune of Rs. 1123 crores. In Index Futures, they sold of
KSCL
3520500
37.13
351.75
11.95
worth Rs. 630 crores with considerable fall in open
INDIACEM
29076000
10.26
97.20
6.17
interest, which was due to expiry yesterday.
ENGINERSIN
2169200
2.71
242.55
2.97
In Index Options front, FIIs were net buyers of worth Rs.
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JISLJALEQS
43440000
0.67
69.50
2.89
2468 crores with fall in open interest. Being start of new
series the over-all build-up in options is quite scattered.
OI Losers
In call options, we saw OI addition in the range of 7900-
OI
PRICE
8200 strikes. While, in put options, 7500-8000 strikes
SCRIP
OI
PRICE
CHG. (%)
CHG. (%)
were active and added some OI. Maximum build-up in
OIL
1053600
-77.14
371.15
-3.20
January series is witnessed in 8200 call and 7800 put
RECLTD
11890000
-46.69
226.50
0.58
options.
ARVIND
4654600
-42.44
354.70
1.01
Rollover for Nifty and BankNifty is more or less in line at
BPCL
4250400
-41.13
893.80
-0.14
74.89 and 70.58 percent respectively.
HEROMOTOCO
1197800
-39.54
2707.05
-0.83
Historical Volatility
Put-Call Ratio
SCRIP
HV
SCRIP
PCR-OI
PCR-VOL
CADILAHC
79.87
NIFTY
0.77
0.84
NHPC
37.55
BANKNIFTY
1.06
0.93
INDIACEM
55.07
SBIN
0.44
0.33
HDIL
57.52
LT
0.70
0.67
ANDHRABANK
32.36
RELIANCE
0.59
0.52
Strategy Date
Symbol
Strategy
Status
November 30, 2015
LT
Long Put
Profit Booked on Dec 11, 2015
December 07, 2015
BANKNIFTY
Raito Bear Put Spread
Profit on Expiry
December 14, 2015
HINDALCO
Long Call
Profit Booked on Dec 23, 2015
December 21, 2015
RELIANCE
Raito Bull Call Spread
Profit on Expiry
December 28, 2015
MARUTI
Raito Bear Put Spread
Marginal Loss on Expiry
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Technical & Derivatives Report
January 01, 2016
FII Statistics for 31-December 2015
Turnover on 31-December 2015
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Value
Change
Contracts
( in Cr. )
(%)
Contracts
(in Cr.)
(%)
INDEX
INDEX
3034.75
3664.90
(630.15)
244203
14261.32
(28.85)
384607
21942.04
39.85
FUTURES
FUTURES
INDEX
INDEX
17267.95
14799.27
2468.67
586603
34855.35
(55.03)
5789117
337421.41
40.81
OPTIONS
OPTIONS
STOCK
STOCK
12261.44
12458.16
(196.72)
975740
48875.09
(15.75)
FUTURES
1299446
66028.20
20.45
FUTURES
STOCK
717.71
612.55
105.16
2235
107.96
(97.45)
STOCK
OPTIONS
370728
19702.23
34.38
OPTIONS
TOTAL
33281.85
31534.88
1746.97
1808781
98099.72
(37.48)
TOTAL
7843898
445093.88
37.04
Nifty Spot = 7946.35
Lot Size = 75
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8000
88.85
Buy
7900
90.80
38.00
62.00
8038.00
31.60
68.40
7868.40
Sell
8100
50.85
Sell
7800
59.20
Buy
8000
88.85
Buy
7900
90.80
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61.95
138.05
8061.95
53.40
146.60
7846.60
Sell
8200
26.90
Sell
7700
37.40
Buy
8100
50.85
Buy
7800
59.20
23.95
76.05
8123.95
21.80
78.20
7778.20
Sell
8200
26.90
Sell
7700
37.40
Note: Above mentioned Bullish or Bearish Spreads in Nifty (Jan. Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Technical & Derivatives Report
January 01, 2016
Daily Pivot Levels for Nifty 50 Stocks
Scrips
S2
S1
PIVOT
R1
R2
ACC
1,333
1,347
1,358
1,372
1,384
ADANIPORTS
257
259
261
263
265
AMBUJACEM
200
202
204
205
207
ASIANPAINT
870
877
882
889
894
AXISBANK
443
446
451
454
459
BAJAJ-AUTO
2,485
2,509
2,527
2,551
2,569
BANKBARODA
152
154
157
159
162
BHARTIARTL
329
335
338
344
348
BHEL
166
168
169
170
172
BOSCHLTD
18,456
18,552
18,646
18,742
18,836
BPCL
876
884
893
901
910
CAIRN
135
137
138
139
140
CIPLA
643
646
651
654
658
COALINDIA
319
325
328
334
337
DRREDDY
3,060
3,084
3,120
3,144
3,179
GAIL
359
367
373
380
386
GRASIM
3,692
3,723
3,743
3,774
3,793
HCLTECH
828
841
851
864
874
HDFC
1,217
1,240
1,257
1,281
1,298
HDFCBANK
1,071
1,076
1,081
1,086
1,091
HEROMOTOCO
2,644
2,669
2,696
2,721
2,748
HINDALCO
82
83
84
86
87
HINDUNILVR
845
854
860
869
875
ICICIBANK
258
260
262
263
265
IDEA
138
141
143
146
148
INDUSINDBK
959
964
968
973
977
INFY
1,078
1,092
1,101
1,115
1,124
ITC
320
324
327
331
334
KOTAKBANK
699
710
717
727
734
LT
1,264
1,270
1,278
1,284
1,292
LUPIN
1,806
1,822
1,833
1,849
1,861
M&M
1,246
1,259
1,269
1,282
1,291
MARUTI
4,538
4,580
4,608
4,651
4,679
NTPC
143
145
146
147
149
ONGC
232
237
240
245
249
PNB
114
115
116
117
119
POWERGRID
139
140
141
142
143
RELIANCE
991
1,003
1,011
1,023
1,032
SBIN
222
223
225
226
228
VEDL
89
89
91
92
93
SUNPHARMA
796
808
816
829
837
TATAMOTORS
385
388
392
395
399
TATAPOWER
67
67
68
69
70
TATASTEEL
255
258
259
261
263
TCS
2,390
2,413
2,431
2,454
2,472
TECHM
517
519
523
525
528
ULTRACEMCO
2,755
2,768
2,781
2,794
2,808
WIPRO
554
557
560
563
567
YESBANK
715
721
729
734
742
ZEEL
421
429
434
442
448
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Technical & Derivatives Report
January 01, 2016
Research Team Tel: 022 - 39357800
Website: www.angelbroking.com
For Technical Queries
E-mail: [email protected]
For Derivatives Queries
E-mail: [email protected]
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