Technical & Derivatives Report
December 22, 2016
Sensex (26242) / Nifty (8061)
Exhibit 1: Nifty Daily Chart
The boredom continues in our market for the fifth consecutive
session as the participation from strong hands seems missing
towards the fag end of the calendar year. Having said that the
concluding hour was not so encouraging for our market. The
Nifty corrected sharply and moved out of the narrow intraday
range to retest the swing low of 8056.85.
Now, since the Nifty slipped tad below this important support in
the concluding minutes, we would wait for further clarity on this
price action in the opening trades today. If the index manages to
stay for first half an hour below 8056, we would expect some
weakness towards the 8000 mark. However in the other scenario,
if the Nifty manages to stay above 8085, we would continue with
our recent optimistic stance on the market. For the coming
session, resistance levels are seen at 8112 - 8133 levels. It is to
be noted that the market at present is undergoing a consolidation
phase and hence, we do not want to get carried away by this tail-
end weakness. Directionally speaking, we still do not expect any
major downside from current level in the near term.
Key Levels
Support 1 - 8000
Resistance 1 - 8112
Support 2 - 7970
Resistance 2 - 8133
Nifty Bank Outlook - (18085)
Exhibit 2: Nifty Bank Daily Chart
The Nifty Bank index continued to trade in a narrow range and
ended yesterday's session almost on a flat note.
As we had also mentioned yesterday, the index is currently
hovering around its crucial long term support of 18040, which is
the '200SMA' on daily chart. The bulls are vehemently trying to
defend the support zone since last two trading sessions. Only if
the Nifty Bank index manages to close below the mentioned
average, then the bears would be in the advantageous spot. Until
then, the index could continue with its range-bound move. Hence,
we continue to advise traders to stay light on the index and
continue to trade on stock specific moves. The intraday support
for the Nifty Bank index is placed in range of 18000-17951
whereas resistance is seen in range of 18200-18251.
Key Levels
Support 1 - 18000
Resistance 1 - 18200
Support 2 - 17951
Resistance 2 - 18251
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Technical & Derivatives Report
December 22, 2016
Comments
Nifty Vs OI
The Nifty futures open interest has increased by 1.98%
BankNifty futures open interest has decreased by 4.21%
as market closed at 8061.30 levels.
The Nifty December future closed with a premium of
19.35 against the premium of 17.50 points in last
trading session. The January series closed at a premium
of 53.90 points.
The Implied Volatility of at the money options has
increased from 10.67% to 11.05%. At the same time, the
PCR-OI of Nifty has increased from 0.97 to 0.98 levels.
The total OI of the market is Rs. 2,71,340/- cr. and the
stock futures OI is Rs. 70,468/- cr.
Few of the liquid counters where we have seen high cost
of carry are TITAN, ORIENTBANK, SOUTHBANK, SINTEX
and GMRINFRA.
Views
OI Gainers
FIIs continue selling in cash market segment to the tune
OI
PRICE
SCRIP
OI
PRICE
of Rs. 1178 crores. While in index futures, they were
CHG. (%)
CHG. (%)
marginal buyers with fall in open interest, suggesting
PETRONET
4314000
30.02
360.85
-3.62
unwinding of both long and short positions in previous
UNIONBANK
22836000
14.02
126.55
-1.71
trading session.
TATAMOTORS
24571500
10.01
469.95
-0.64
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In Index options segment, FIIs sold of Rs. 181 crores with
CEATLTD
1859900
9.48
1155.55
-4.12
rise in open interest. In call options, 8100 strike added
IDEA
85507000
8.78
72.45
-0.62
some fresh positions; followed by unwinding in 8300
SUNPHARMA
30021200
7.64
616.65
-2.10
strike. While, in put options, except for some build-up
WOCKPHARMA
4143600
7.22
670.15
-2.16
7800 strike, we hardly witnessed any relevant activity.
COLPAL
648900
6.67
905.05
-0.44
Highest OI in current series remains intact at 8300 call
and 8000 put option.
OI Losers
From last couple of sessions, we are hardly witnessing
OI
PRICE
SCRIP
OI
PRICE
any relevant build-up in Index Futures from FIIs desk.
CHG. (%)
CHG. (%)
However, we saw some longs but the quantum is quite
TORNTPHARM
264400
-7.42
1329.60
2.68
low. Also, the longs formed during start of December
DRREDDY
1765600
-4.36
3046.45
-0.40
series are still intact. But, the major concern at current
NIITTECH
584500
-3.39
433.40
0.63
juncture is FII’s selling figure in Stock Future segment.
ULTRACEMCO
2676000
-2.91
3196.85
1.18
Currently, Nifty is hovering around its strong support of
HINDZINC
7888000
-2.72
267.80
1.67
8050-8100 levels and thus we advise traders to remain
KTKBANK
15354750
-2.66
112.60
1.03
light on positions and focus more on stock specific
LUPIN
4805600
-2.55
1469.75
1.10
moves.
UPL
6097200
-2.40
632.15
-0.68
Historical Volatility
Put-Call Ratio
SCRIP
HV
SCRIP
PCR-OI
PCR-VOL
RCOM
52.98
NIFTY
0.98
0.85
PCJEWELLER
68.63
BANKNIFTY
0.86
0.82
CEATLTD
50.09
SUNPHARMA
0.41
0.51
TORNTPHARM
35.42
SBIN
0.56
0.50
PETRONET
47.09
INFY
0.69
0.72
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2
Technical & Derivatives Report
December 22, 2016
FII Statistics for December 21, 2016
Turnover on December 21, 2016
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Value
Change
Contracts
( in Cr. )
(%)
Contracts
(in Cr.)
(%)
INDEX
INDEX
998.46
947.49
50.97
171569
10768.00
(1.29)
144354
9406.57
-29.92
FUTURES
FUTURES
INDEX
INDEX
26006.83
26187.34
(180.51)
1149689
70817.56
1.00
3567148
239192.29
-14.72
OPTIONS
OPTIONS
STOCK
5699.37
5999.36
(299.99)
906068
54079.33
0.38
STOCK
FUTURES
420246
26669.88
-10.02
FUTURES
STOCK
STOCK
2873.40
2851.11
22.29
91328
5745.60
1.14
OPTIONS
269599
17661.37
-24.01
OPTIONS
TOTAL
35578.06
35985.30
(407.24)
2318654
141410.49
0.59
TOTAL
4401347
292930.11
-15.53
Nifty Spot = 8061.30
Lot Size = 75
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8100
41.05
Buy
8100
61.35
28.45
71.55
8128.45
34.15
65.85
8065.85
Sell
8200
12.60
Sell
8000
27.20
Buy
8100
41.05
Buy
8100
61.35
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36.90
163.10
8136.90
48.95
151.05
8051.05
Sell
8300
4.15
Sell
7900
12.40
Buy
8200
12.60
Buy
8000
27.20
8.45
91.55
8208.45
14.80
85.20
7985.20
Sell
8300
4.15
Sell
7900
12.40
Note: Above mentioned Bullish or Bearish Spreads in Nifty (December Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Technical & Derivatives Report
December 22, 2016
Daily Pivot Levels for Nifty Constituents
Scrips
S2
S1
PIVOT
R1
R2
ACC
1,289
1,292
1,303
1,306
1,317
ADANIPORTS
273
273
274
274
276
AMBUJACEM
201
203
204
207
208
ASIANPAINT
858
862
869
873
880
AUROPHARMA
653
663
675
685
697
AXISBANK
454
458
462
466
470
BAJAJ-AUTO
2,554
2,570
2,601
2,617
2,648
BANKBARODA
156
156
157
157
158
BHEL
120
120
121
122
123
BPCL
612
612
614
614
617
BHARTIARTL
299
301
304
305
308
INFRATEL
330
338
344
351
357
BOSCH
19,098
19,167
19,383
19,452
19,669
CIPLA
560
561
564
566
569
COALINDIA
290
290
292
293
295
DRREDDY
3,020
3,033
3,050
3,063
3,080
EICHERMOT
21,041
21,098
21,362
21,420
21,684
GAIL
428
429
431
432
434
GRASIM
825
827
831
833
837
HCLTECH
813
822
829
838
845
HDFCBANK
1,177
1,180
1,182
1,185
1,187
HDFC
1,221
1,228
1,243
1,250
1,264
HEROMOTOCO
2,979
3,019
3,062
3,101
3,144
HINDALCO
167
167
169
169
171
HINDUNILVR
793
797
801
805
809
ICICIBANK
251
251
253
254
256
IDEA
72
72
74
74
75
INDUSINDBK
1,072
1,072
1,086
1,086
1,100
INFY
991
1,002
1,012
1,022
1,032
ITC
225
228
229
231
232
KOTAKBANK
715
717
722
723
728
LT
1,334
1,345
1,353
1,363
1,371
LUPIN
1,453
1,451
1,463
1,462
1,474
M&M
1,177
1,178
1,191
1,192
1,206
MARUTI
5,113
5,111
5,135
5,133
5,157
NTPC
162
162
163
163
165
ONGC
200
200
201
201
202
POWERGRID
183
182
183
183
183
RELIANCE
1,059
1,058
1,063
1,062
1,067
SBIN
253
254
256
257
259
SUNPHARMA
606
617
625
636
645
TCS
2,302
2,321
2,332
2,351
2,362
TATAMTRDVR
296
297
298
300
301
TATAMOTORS
466
470
472
476
478
TATAPOWER
75
76
77
77
78
TATASTEEL
402
403
405
406
409
TECHM
472
474
477
479
482
ULTRACEMCO
3,164
3,155
3,183
3,174
3,202
WIPRO
458
463
467
471
475
YESBANK
1,129
1,138
1,147
1,156
1,166
ZEEL
439
444
446
451
454
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Technical & Derivatives Report
December 22, 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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