Technical & Derivatives Report
December 23, 2016
Sensex (25980) / Nifty (7979)
Exhibit 1: Nifty Daily Chart
Yesterday’s session clearly caught us on the wrong foot as the
gap down opening followed by a sharp correction below the
8000 mark was not at all expected for us. Due to the decline, the
Nifty eventually closed with a cut of a percent.
Our recent strategy of going long with a stop loss below 8056 did
not work well. But, having said that, we would still avoid going
short in the market and would rather look for reversal signs to
create longs in the market. The important reason behind this view
is the formation of ‘Dragonfly Doji’ formed during the
antepenultimate week. Hence, we do not expect any major
downside from current levels. Now, Tomorrow’s session would be
quite crucial for the market as we would get the weekly closing,
which may dictate the near term direction for the market. For the
coming session, 8046 level would be seen as an important
resistance; whereas, 7964 - 7952 are likely to act as intraday
supports.
Key Levels
Support 1 - 7952
Resistance 1 - 8046
Support 2 - 7900
Resistance 2 - 8100
Nifty Bank Outlook - (17891)
Exhibit 2: Nifty Bank Daily Chart
The Nifty Bank index finally broke out of the recent trading range
in yesterday's trading session. The index opened with a gap down
opening and remained under pressure throughout the session to
end the day with loss of over one percent.
In yesterday's session, the Nifty Bank index sneaked below the
'200 SMA' support with a gap down opening. Any significant
support breached with a gap is usually a negative sign and thus
in near term, the bears could dominate the stocks within this
sector. However, the momentum readings are not indicating any
significant negative momentum and thus, we are not expecting
any sharp or catastrophic down-move. Gradually, the Nifty Bank
index could correct upto 17600 in short-term. Although it is not
advisable to go short in the index due to limited downside seen,
traders should avoid taking aggressive trading bets in either
direction. The intraday supports for the Nifty Bank index are
placed around 17730 and 17600 whereas resistances are seen
around 18093 and 18170.
Key Levels
Support 1 - 17730
Resistance 1 - 18093
Support 2 - 17600
Resistance 2 - 18170
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Technical & Derivatives Report
December 23, 2016
Comments
Nifty Vs OI
The Nifty futures open interest has increased by 2.18%
BankNifty futures open interest has increased by 4.22%
as market closed at 7979.10 levels.
The Nifty December future closed with a premium of
17.75 against the premium of 19.35 points in last
trading session. The January series closed at a premium
of 50.90 points.
The Implied Volatility of at the money options has
increased from 11.05 % to 12.78%. At the same time,
the PCR-OI of Nifty has decreased from 0.98 to 0.92
levels.
The total OI of the market is Rs. 2,83,616/- cr. and the
stock futures OI is Rs. 70,166/- cr.
Few of the liquid counters where we have seen high cost
of carry are GMRINFRA, TITAN, RCOM, CEATLTD and
ASHOKLEY.
Views
OI Gainers
Yesterday, we witnessed selling from FIIs desk in both
OI
PRICE
cash market and index future segment. They sold equities
SCRIP
OI
PRICE
CHG. (%)
CHG. (%)
to the tune of Rs. 614 crores. While in index futures, they
NHPC
51327000
74.40
26.10
-4.04
were net seller worth Rs. 787 crores with significant rise
BEML
930700
27.14
964.00
4.13
in open interest, suggesting short build-up in previous
JPASSOCIAT
166260000
13.40
7.35
-2.00
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trading session.
HINDUNILVR
5448000
7.15
788.75
-1.32
In Index options segment, FIIs sold of Rs. 378 crores with
CEATLTD
1984500
6.70
1133.70
-1.89
some rise in open interest. In call options, 8000 and
RELINFRA
7618000
6.55
483.00
-3.72
8050 strikes added huge fresh positions; followed by
UBL
1344000
6.43
760.20
-3.28
some unwinding in 8400 strike. While, in put options,
ENGINERSIN
6632500
6.34
315.75
-0.39
except for some build-up
7900 strike, we hardly
witnessed any relevant build-up. However, good amount
OI Losers
of unwinding was visible in 8100 and 8200 strike prices.
OI
PRICE
Highest OI in current series remains intact at 8300 call
SCRIP
OI
PRICE
CHG. (%)
CHG. (%)
and 8000 put option.
APOLLOTYRE
8082000
-8.15
190.15
-0.83
Yesterday, Nifty opened gap down and remained under-
AMARAJABAT
585600
-6.87
870.10
-1.67
pressure till end of the day. Market plunged below its
IGL
1541100
-6.10
879.75
-2.20
strong support of
8050-8100 and FIIs too actively
BIOCON
3441800
-5.39
942.40
-1.74
participated in this fall. We witness FIIs selling in Index
ORIENTBANK
13368000
-5.15
108.30
-2.26
Futures. However, we would wait for their follow-up
NIITTECH
555000
-5.05
431.95
-0.33
selling before forming any shorts at current levels.
DLF
37980000
-4.64
115.05
-1.96
Traders are suggested to remain light in Index and prefer
JINDALSTEL
46701000
-4.56
68.90
-4.37
stock specific approach to trade as of now.
Historical Volatility
Put-Call Ratio
SCRIP
HV
SCRIP
PCR-OI
PCR-VOL
DIVISLAB
29.13
NIFTY
0.92
0.84
NHPC
36.22
BANKNIFTY
0.56
0.71
ONGC
29.75
SUNPHARMA
0.39
0.47
UBL
31.22
SBIN
0.50
0.49
LT
21.41
INFY
0.63
0.71
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Technical & Derivatives Report
December 23, 2016
FII Statistics for December 22, 2016
Turnover on December 22, 2016
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Value
Change
Contracts
( in Cr. )
(%)
Contracts
(in Cr.)
(%)
INDEX
INDEX
2411.39
3197.94
(786.55)
183712
11480.70
7.08
275195
17558.80
86.67
FUTURES
FUTURES
INDEX
INDEX
38165.61
38543.79
(378.18)
1161511
70832.36
1.03
7496361
503831.40
110.64
OPTIONS
OPTIONS
STOCK
7199.15
7464.81
(265.66)
912859
53749.21
0.75
STOCK
FUTURES
543401
33905.11
27.13
FUTURES
STOCK
STOCK
3480.07
3584.76
(104.69)
92523
5722.39
1.31
OPTIONS
325774
21944.12
24.25
OPTIONS
TOTAL
51256.22
52791.30
(1535.08)
2350605
141784.65
1.38
TOTAL
8640731
577239.43
97.06
Nifty Spot = 7979.10
Lot Size = 75
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8000
47.40
Buy
8000
50.70
33.45
66.55
8033.45
29.75
70.25
7970.25
Sell
8100
13.95
Sell
7900
20.95
Buy
8000
47.40
Buy
8000
50.70
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43.15
156.85
8043.15
41.40
158.60
7958.60
Sell
8200
4.25
Sell
7800
9.30
Buy
8100
13.95
Buy
7900
20.95
9.70
90.30
8109.70
11.65
88.35
7888.35
Sell
8200
4.25
Sell
7800
9.30
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 23, 2016
Daily Pivot Levels for Nifty Constituents
Scrips
S2
S1
PIVOT
R1
R2
ACC
1 275
1 285
1 295
1 305
1 315
ADANIPORTS
254
259
266
271
278
AMBUJACEM
195
198
201
203
206
ASIANPAINT
842
856
865
879
888
AUROPHARMA
647
653
662
668
677
AXISBANK
439
443
449
454
460
BAJAJ-AUTO
2 529
2 547
2 568
2 586
2 607
BANKBARODA
152
153
155
157
159
BHEL
117
118
119
121
122
BPCL
601
606
611
616
621
BHARTIARTL
284
288
294
299
305
INFRATEL
331
334
337
340
344
BOSCH
18 776
19 006
19 203
19 432
19 629
CIPLA
557
559
562
565
568
COALINDIA
284
286
289
291
294
DRREDDY
2 979
2 996
3 018
3 035
3 057
EICHERMOT
20 938
21 122
21 334
21 517
21 729
GAIL
421
423
427
430
433
GRASIM
801
809
820
828
838
HCLTECH
798
808
815
825
832
HDFCBANK
1 163
1 168
1 174
1 179
1 185
HDFC
1 199
1 209
1 223
1 233
1 248
HEROMOTOCO
2 950
2 975
3 008
3 032
3 065
HINDALCO
155
158
164
167
172
HINDUNILVR
772
779
791
798
809
ICICIBANK
249
251
253
255
257
IDEA
70
71
72
72
73
INDUSINDBK
1 032
1 047
1 064
1 078
1 095
INFY
950
967
987
1 005
1 025
ITC
223
225
227
229
231
KOTAKBANK
707
710
715
718
722
LT
1 292
1 304
1 324
1 336
1 356
LUPIN
1 425
1 436
1 453
1 464
1 481
M&M
1 161
1 169
1 181
1 189
1 201
MARUTI
5 003
5 044
5 094
5 135
5 185
NTPC
158
159
162
163
166
ONGC
190
193
197
199
204
POWERGRID
180
181
182
183
184
RELIANCE
1 044
1 048
1 055
1 059
1 067
SBIN
245
247
251
253
257
SUNPHARMA
597
603
614
620
631
TCS
2 268
2 288
2 306
2 326
2 345
TATAMTRDVR
292
294
296
298
301
TATAMOTORS
461
465
469
473
477
TATAPOWER
73
74
75
76
77
TATASTEEL
381
386
396
402
412
TECHM
459
467
472
479
485
ULTRACEMCO
3 099
3 121
3 152
3 175
3 206
WIPRO
456
459
462
466
469
YESBANK
1 104
1 115
1 126
1 137
1 148
ZEEL
434
438
442
446
449
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Technical & Derivatives Report
December 23, 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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