Technical & Derivatives Report
January 06, 2017
Sensex (26878) / Nifty (8274)
Exhibit 1: Nifty Daily Chart
Looking at past three days selling pressure at 8200, opening
above this level was the only option left to surpass this strong
hurdle and we saw this yesterday as the Nifty convincingly opened
higher. In fact the momentum was so strong, the index rallied
higher to test the higher end of our given target zone 8229 -
8274. Throughout the session, we witnessed a broad
participation wherein majority of the sectors (except IT)
contributed in the upmove.
Nifty has now closed in the vicinity of the resistance around 8274,
where the previous high (of 9th December) coincides with the
‘200 SMA’ on the daily chart. However, as the market breadth
continues to be robust in favor of the advances and the ‘RSI
Smoothened’ oscillator (which measures the market momentum)
is indicating continuation of the positive momentum. Thus, we
reiterate that the Nifty is likely to move higher towards 8376-
8400 in near term. Hence, traders are advised to continue to
trade with a positive bias and trail stoploss higher on the existing
longs to 8195. The intraday supports for the Nifty index are
placed around 8250 and 8227; whereas intraday resistance is
seen in the range of 8300 - 8325.
Key Levels
Support 1 - 8250
Resistance 1 - 8300
Support 2 - 8227
Resistance 2 - 8325
Nifty Bank Outlook - (18116)
Exhibit 2: Nifty Bank Daily Chart
In line with broader market, the Nifty Bank index too opened with
upside gap and continued to make ‘Higher Highs Higher Lows’
throughout the session. Eventually, the banking index ended the
session with gains of 1.26 percent over its previous close.
The Nifty Bank index had shown some strength in yesterday’s
session on back of good rally in some private banks like Yes Bank
and ICICI Bank. Despite the rally, the banking index is still
moving within the range of 17600 - 18260. As we have been
highlighting since last few days, the breakout from the
consolidation range of 17600 - 18260 will only lead to the
directional momentum in the index. At current juncture, traders
are advised to trade with positive bias. The intraday supports for
the Nifty Bank index are placed around 17975 and 17829;
whereas, resistances are seen around 18260 and 18420.
Key Levels
Support 1 - 17975
Resistance 1 - 18260
Support 2 - 17829
Resistance 2 - 18420
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Technical & Derivatives Report
January 06, 2017
Comments
Nifty Vs OI
The Nifty futures open interest has increased by 7.35%
BankNifty futures open interest has decreased by 9.69%
as market closed at 8273.80 levels.
The Nifty January future closed with a premium of 14.40
points against the premium of 13.55 points in last
trading session. The February series closed at a premium
of 39.15 points.
The Implied Volatility of at the money options has
decreased from 13.89 % to 12.84%. At the same time,
the PCR-OI of Nifty has increased from 1.08 to 1.10
levels.
The total OI of the market is Rs. 2,55,390/- cr. and the
stock futures OI is Rs. 71,545/- cr.
Few of the liquid counters where we have seen high cost
of carry are RCOM, IFCI, TV18BRDCST, DISHTV and
PTC.
Views
OI Gainers
Yesterday, FIIs were marginal seller in cash segment.
OI
PRICE
While, in index futures, they were net buyers to the tune
SCRIP
OI
PRICE
CHG. (%)
CHG. (%)
of Rs. 1674 crores with significant rise in open interest,
PCJEWELLER
1072500
17.41
409.10
5.81
indicating long build-up in previous trading session.
ICIL
3776500
12.87
163.85
-1.53
On Index Options front, FIIs bought worth Rs. 1541
SUNTV
8870000
12.08
534.45
1.67
crores with rise in OI. In call options, good amount of
JUSTDIAL
4639200
11.22
390.40
13.84
build-up was seen in 8400 strike; followed by decent
HAVELLS
4310000
10.12
359.90
2.48
unwinding in 8200 strike. We believe that strong hands
NIITTECH
688500
10.07
431.85
-1.65
have bought call options. On the other hand, in put
PFC
17178000
9.23
126.55
3.56
options, we witnessed huge build-up in 8200 and 8300
MCLEODRUSS
4785000
8.80
141.15
0.75
strikes; while, unwinding was visible in 7700 - 7900
strikes. Maximum OI in January series has shifted from
OI Losers
8200 to 8400 call option; while in put options it remains
OI
PRICE
intact at 8000 strike.
SCRIP
OI
PRICE
CHG. (%)
CHG. (%)
Yesterday, we witnessed decent up move in market and
DRREDDY
1411400
-6.95
3144.75
1.28
FIIs too actively participated in that as they formed good
LT
7668500
-5.25
1396.55
1.32
amount of longs in index and stock futures. The quantum
BHEL
31690000
-4.79
128.25
1.02
of their selling in equity segment has also reduced
INFY
14375500
-4.57
999.80
0.04
significantly. Considering, yesterday’s activity in F&O
HEROMOTOCO
1578800
-4.44
3083.25
2.19
segment, we are expecting continuation in up move
MINDTREE
2011200
-4.28
523.15
-0.66
which may lead Nifty touch 8400 levels in upcoming
INFRATEL
5824000
-3.91
350.50
-0.74
sessions. Thus, traders are advised to trade will positive
WIPRO
5610000
-3.49
481.20
0.88
bias.
Historical Volatility
Put-Call Ratio
SCRIP
HV
SCRIP
PCR-OI
PCR-VOL
JUSTDIAL
74.34
NIFTY
1.10
1.14
JSWSTEEL
44.52
BANKNIFTY
1.16
0.86
PTC
38.08
SBIN
0.54
0.42
JINDALSTEL
52.09
INFY
0.77
0.79
ADANIPORTS
40.96
MARUTI
1.62
1.08
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Technical & Derivatives Report
January 06, 2017
FII Statistics for January 05, 2017
Turnover on January 05, 2017
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Value
Change
Contracts
( in Cr. )
(%)
Contracts
(in Cr.)
(%)
INDEX
INDEX
4015.40
2341.80
1673.60
195090
12371.25
17.09
242537
15991.83
38.79
FUTURES
FUTURES
INDEX
INDEX
34505.55
32964.11
1541.44
887584
55962.15
3.04
6384050
443878.47
75.87
OPTIONS
OPTIONS
STOCK
7106.80
6759.22
347.57
856014
53121.50
0.41
STOCK
FUTURES
524967
34221.76
15.70
FUTURES
STOCK
STOCK
3231.79
3285.32
(53.53)
48267
3114.62
13.74
289268
19672.83
20.18
OPTIONS
OPTIONS
TOTAL
48859.54
45350.46
3509.08
1986955
124569.52
3.33
TOTAL
7440822
513764.89
65.80
Nifty Spot = 8273.80
Lot Size = 75
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
8300
92.85
Buy
8200
69.05
43.60
56.40
8343.60
24.20
75.80
8175.80
Sell
8400
49.25
Sell
8100
44.85
Buy
8300
92.85
Buy
8200
69.05
70.15
129.85
8370.15
40.00
160.00
8160.00
Sell
8500
22.70
Sell
8000
29.05
Buy
8400
49.25
Buy
8100
44.85
26.55
73.45
8426.55
15.80
84.20
8084.20
Sell
8500
22.70
Sell
8000
29.05
Note: Above mentioned Bullish or Bearish Spreads in Nifty (January Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Technical & Derivatives Report
January 06, 2017
Daily Pivot Levels for Nifty Constituents
Scrips
S2
S1
PIVOT
R1
R2
ACC
1,312
1,322
1,331
1,341
1,350
ADANIPORTS
271
279
284
292
297
AMBUJACEM
209
212
213
216
217
ASIANPAINT
894
905
913
924
931
AUROPHARMA
658
672
680
695
703
AXISBANK
448
453
458
464
469
BAJAJ-AUTO
2,668
2,696
2,713
2,741
2,758
BANKBARODA
148
150
151
152
153
BHEL
125
127
128
129
130
BPCL
645
659
667
680
688
BHARTIARTL
305
313
318
326
331
INFRATEL
339
345
349
355
359
BOSCH
20,181
20,543
20,771
21,133
21,361
CIPLA
565
572
577
584
589
COALINDIA
304
306
309
311
314
DRREDDY
3,050
3,093
3,119
3,162
3,188
EICHERMOT
22,069
22,197
22,346
22,474
22,623
GAIL
436
439
442
445
449
GRASIM
848
857
869
878
890
HCLTECH
822
833
852
863
881
HDFCBANK
1,177
1,181
1,188
1,193
1,199
HDFC
1,199
1,208
1,214
1,223
1,230
HEROMOTOCO
2,985
3,029
3,056
3,099
3,127
HINDALCO
159
160
162
163
164
HINDUNILVR
817
825
830
839
844
ICICIBANK
250
253
256
260
262
IDEA
73
74
74
76
76
INDUSINDBK
1,095
1,111
1,120
1,137
1,146
INFY
977
987
998
1,008
1,019
ITC
242
245
246
248
250
KOTAKBANK
693
696
699
702
706
LT
1,371
1,382
1,388
1,399
1,405
LUPIN
1,474
1,493
1,506
1,525
1,537
M&M
1,196
1,212
1,223
1,239
1,251
MARUTI
5,479
5,557
5,603
5,682
5,728
NTPC
163
164
165
166
167
ONGC
193
197
198
202
203
POWERGRID
184
188
189
193
195
RELIANCE
1,064
1,071
1,075
1,082
1,087
SBIN
243
244
245
246
247
SUNPHARMA
638
641
644
647
651
TCS
2,279
2,307
2,348
2,376
2,418
TATAMTRDVR
313
318
321
326
329
TATAMOTORS
493
497
500
505
508
TATAPOWER
76
76
77
77
78
TATASTEEL
401
410
416
425
432
TECHM
473
480
494
501
515
ULTRACEMCO
3,268
3,325
3,362
3,420
3,456
WIPRO
472
476
481
485
490
YESBANK
1,148
1,179
1,199
1,230
1,250
ZEEL
453
462
468
477
483
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Technical & Derivatives Report
January 06, 2017
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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