Technical & Derivatives Report
September 30, 2016
Sensex (27828) / Nifty (8591)
Exhibit 1: Nifty Daily Chart
After witnessing a strong session on Wednesday, our benchmark
index opened higher as indicated by the SGX Nifty. The Nifty
almost reached the 8800 mark and then consolidated throughout
the first half. Most of the market participants were complacent on
the Nifty staying convincingly above 8700 to end the September
series. However, post the mid session, the Nifty took a complete
nosedive over Indian Army's surgical strike inside Pakistan.
Unfortunately, most of the traders got completely caught on the
wrong foot after this news.
If we refer to our previous articles, we were not so surprised by
Yesterday's fall as we used all recent bounce backs as a selling
opportunity. But, obviously this would happen on such
geopolitical development was not so expected. Our recent targets
of 8600 - 8550 have been met and now we would closely keep a
track of 8518, as the violation of this crucial support would unfold
lower levels for our market. For the coming session, resistance
would be seen at 8640 - 8688 levels. We would maintain our
cautious stance on the market and would advise traders to stay
light on positions.
Key Levels
Support 1 - 8518
Resistance 1 - 8640
Support 2 - 8450
Resistance 2 - 8688
Exhibit 2: Nifty Bank Daily Chart
Nifty Bank Outlook - (19184)
Although the Nifty Bank index opened higher in yesterday's
session, the index corrected sharply post afternoon and ended the
session with loss of 2.39 percent over its previous session's close.
In line with our negative view since last couple of weeks, the Nifty
Bank index corrected shaply yesterday. Although the pace of the
correction was much faster than expected, we hope our readers
were on profitable side as directionally, we have been mentioning
about the expected correction. Going ahead, the short term trend
still remain down, however, there could be large range days as
volatility is expected to remain high. Untill we see any signs of
reversal on charts; traders are advised to refrain from creating
long positions and trade with proper risk management. The near
term support for the index are placed around 19059 and 18900
whereas resistance is seen in range of 19410-19470.
Key Levels
Support 1 - 19059
Resistance 1 - 19410
Support 2 - 18900
Resistance 2 - 19470
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Technical & Derivatives Report
September 30, 2016
Comments
Nifty Vs OI
The Nifty futures open interest has decreased by 31.17%
BankNifty futures open interest has decreased by 18.52%
as market closed at 8591.25 levels.
The Nifty October future closed with a premium of
47.00, against the premium of 57.80 points in last
trading session. The November series closed at a
premium of 88.10 points.
The Implied Volatility of at the money options has
increased from 13.62% to 16.92%. At the same time, the
PCR-OI of Nifty has decreased from 1.11 to 0.94.
The total OI of the market is Rs. 2,09,120/- cr. and the
stock futures OI is Rs. 71,306/- cr.
Few of the liquid counters where we have seen high cost
of carry are IFCI, CENTURYTEX, HDFCBANK, IBREALEST
and JPASSOCIAT.
Views
OI Gainers
FIIs were net buyer in both equity cash and Index Futures
OI
PRICE
SCRIP
OI
PRICE
segment. They bought equities worth Rs. 3413 crores.
CHG. (%)
CHG. (%)
While, they were net buyers in index future worth Rs. 875
IBREALEST
37570000
16.46
85.80
-8.92
crores with significant fall in OI due to expiry.
-
-
-
-
-
On Index Options front, FIIs sold to the tune of Rs. 400
-
-
-
-
-
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crores with fall in OI. Being start of new series, the
-
-
-
-
-
overall build-up is quite scattered in options. 8600-9000
-
-
-
-
-
call and 8000-8600 put options were active and they
-
-
-
-
-
also added good amount of fresh positions. Highest OI
-
-
-
-
-
in October series is placed at 9000 call and 8600 put
-
-
-
-
-
option.
Roll-over both in terms of open interest and Index Futures
OI Losers
are on the lower side. Most of the long positions formed
OI
PRICE
SCRIP
OI
PRICE
in last two series have been lighten up. We have been
CHG. (%)
CHG. (%)
continuously mentioning about Nifty testing 8600-8650
BEL
982800
-49.44
1243.95
-3.57
in our last few reports, which has been achieve too. At
TORNTPHARM
180800
-41.75
1628.35
-1.95
current juncture, one should avoid bottom fishing as we
OIL
698700
-40.43
397.60
-1.94
may see further short term pain in Index.
TVSMOTOR
3982000
-38.79
346.80
-1.87
Large cap counters that had high roll-overs are
CANBK
9042000
-38.78
297.85
-4.38
BANKNARODA, LUPIN, SBIN, HCLTECH and VEDL.
HINDZINC
3289600
-37.20
228.80
-1.38
While, stocks like ZEEL, GAIL, BAJAJ-AUTO, ITC and
JUSTDIAL
3922400
-36.18
428.65
-4.97
ONGC have low roll-overs.
MOTHERSUMI
8467500
-35.72
308.40
-3.20
Historical Volatility
Put-Call Ratio
SCRIP
HV
SCRIP
PCR-OI
PCR-VOL
JETAIRWAYS
69.16
NIFTY
0.94
1.15
RPOWER
52.37
BANKNIFTY
0.86
0.73
TATAELXSI
43.78
RELIANCE
0.53
0.63
ADANIPOWER
52.68
AXISBANK
0.45
0.42
RCOM
71.48
SBIN
0.59
0.57
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2
Technical & Derivatives Report
September 30, 2016
FII Statistics for 29, September 2016
Turnover on 29, September 2016
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Value
Change
Contracts
( in Cr. )
(%)
Contracts
(in Cr.)
(%)
INDEX
INDEX
10462.67
9586.93
875.74
279454
18470.72
(43.07)
841193
58105.67
140.57
FUTURES
FUTURES
INDEX
INDEX
119104.13
119504.27
(400.14)
776104
50430.71
(46.77)
12338551
856797.02
92.78
OPTIONS
OPTIONS
STOCK
31733.81
31871.00
(137.19)
829231
53301.45
(19.04)
STOCK
FUTURES
1999097
138017.77
50.23
FUTURES
STOCK
STOCK
7044.41
6849.26
195.14
6249
402.12
(95.01)
OPTIONS
661457
48844.74
40.04
OPTIONS
TOTAL
168345.02
167811.46
533.56
1891038
122605.00
(38.96)
TOTAL
15840298
1101765.21
85.06
Nifty Spot = 8591.25
Lot Size = 75
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8700
125.35
Buy
8500
114.40
42.80
57.20
8742.80
25.90
74.10
8474.10
Sell
8800
82.55
Sell
8400
88.50
Buy
8700
125.35
Buy
8500
114.40
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74.85
125.15
8774.85
46.70
153.30
8453.30
Sell
8900
50.50
Sell
8300
67.70
Buy
8800
82.55
Buy
8400
88.50
32.05
67.95
8832.05
20.80
79.20
8379.20
Sell
8900
50.50
Sell
8300
67.70
Note: Above mentioned Bullish or Bearish Spreads in Nifty (October Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Technical & Derivatives Report
September 30, 2016
Daily Pivot Levels for Nifty Constituents
Scrips
S2
S1
PIVOT
R1
R2
ACC
1,548
1,568
1,598
1,618
1,648
ADANIPORTS
242
250
262
269
281
AMBUJACEM
247
251
257
261
267
ASIANPAINT
1,134
1,150
1,177
1,194
1,220
AUROPHARMA
737
781
829
873
921
AXISBANK
508
524
539
555
571
BAJAJ-AUTO
2,760
2,803
2,879
2,922
2,997
BANKBARODA
153
157
164
169
175
BHEL
120
127
136
142
152
BPCL
589
599
611
622
634
BHARTIARTL
308
312
318
322
327
INFRATEL
353
362
369
378
385
BOSCH
21,764
22,199
22,895
23,330
24,025
CIPLA
575
589
600
614
625
COALINDIA
318
323
328
333
337
DRREDDY
3,053
3,094
3,152
3,193
3,251
EICHERMOT
23,147
24,033
25,337
26,223
27,527
GAIL
342
353
368
379
395
GRASIM
4,502
4,605
4,768
4,871
5,034
HCLTECH
769
780
792
803
816
HDFCBANK
1,246
1,262
1,284
1,300
1,322
HDFC
1,369
1,385
1,409
1,425
1,449
HEROMOTOCO
3,353
3,391
3,445
3,483
3,538
HINDALCO
142
146
152
156
162
HINDUNILVR
862
870
882
890
901
ICICIBANK
232
241
252
261
273
IDEA
76
78
80
82
85
INDUSINDBK
1,165
1,181
1,207
1,223
1,248
INFY
1,012
1,020
1,033
1,041
1,054
ITC
237
241
245
250
254
KOTAKBANK
750
761
780
792
811
LT
1,394
1,416
1,442
1,464
1,491
LUPIN
1,408
1,438
1,485
1,515
1,562
M&M
1,322
1,343
1,380
1,401
1,437
MARUTI
5,288
5,363
5,470
5,545
5,652
NTPC
145
147
150
153
156
ONGC
242
246
252
256
262
POWERGRID
165
169
176
180
186
RELIANCE
1,040
1,056
1,084
1,100
1,127
SBIN
236
242
249
255
262
SUNPHARMA
708
722
746
760
784
TCS
2,401
2,419
2,438
2,456
2,475
TATAMTRDVR
319
327
336
344
353
TATAMOTORS
500
513
530
543
560
TATAPOWER
69
71
74
76
79
TATASTEEL
354
361
373
380
391
TECHM
412
420
432
439
452
ULTRACEMCO
3,745
3,803
3,902
3,960
4,058
WIPRO
461
467
475
481
489
YESBANK
1,174
1,202
1,254
1,282
1,334
ZEEL
520
535
547
562
574
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Technical & Derivatives Report
September 30, 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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