Technical & Derivatives Report
September 12, 2017
Sensex (31882) / Nifty (10006)
Exhibit 1: Nifty Daily Chart
Our markets had a cheerful start for the week as we saw a
gap up opening with a small margin on the back of favorable
global cues. The index extended these gains in the first half
and cemented its position above the 10000 mark for the
remaining part of the day.
Since last few days, the overall trading range shrunk to merely
40 - 50 points and it was a clear indication that soon market
will make a conscious effort to come out of the congestion
zone. But, we were not so sure which way it will take place.
Yesterday, it’s been confirmed in the upward direction and
hence, we may see some more steam towards 10060 -
10080, which is not so far from yesterday’s close. We
continue to mention that one should avoid trading in index as
the trading opportunities in individual stocks are far clearer
and better. For the coming session, 9968 - 9913 should be
considered as a key support zone.
Key Levels
Support 1 - 9968
Resistance 1 - 10060
Support 2 - 9913
Resistance 2 - 10080
Nifty Bank Outlook - (24672)
Exhibit 2: Nifty Bank Hourly Chart
After a consolidation phase of four weeks, the Nifty Bank index
finally gave a breakout from its resistance of 24500 led by
some of the private sector heavyweights. The index had ended
yesterday's session well above the mentioned resistance
posting gains of 1.24 percent over its previous session's close.
Usually, a breakout from a consolidation phase leads to a
trended move in the direction of the breakout. Hence, the
index could trade with a positive bias in near term. The
breakout zone around 24500 should now become a support
and hence, we advise traders to trade with a positive bias in
the index. The intraday support for the Nifty Bank index is
placed in the range of 24500-24450 whereas resistances are
seen around 24790 and 24980.
Key Levels
Support 1 - 24500
Resistance 1 - 24790
Support 2 - 24450
Resistance 2 - 24980
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Technical & Derivatives Report
September 12, 2017
Comments
Nifty Vs OI
The Nifty futures open interest has increased by 2.00%
BankNifty futures open interest has increased by 24.34%
as market closed at 10006.05 levels.
The Nifty September future closed with a premium of
19.85 points against the premium of 15.50 points in last
trading session. The October series closed at a premium
of 51.40 points.
The Implied Volatility of at the money options has
decreased from 11.22 to 10.44. At the same time, the
PCR-OI of Nifty has increased from 1.38 to 1.43.
Few of the liquid counters where we have seen high cost
of carry are DHFL, ADANIPOWER, IFCI, GODFRYPHLP
and ADANIENT.
Views
FIIs continue their selling streak in cash market segment,
they sold equities to the tune of Rs. 393 crores. While, in
OI Gainers
index futures they sold of worth Rs. 247 crores with good
OI
PRICE
SCRIP
OI
PRICE
amount of rise in open interest, indicating mixed
CHG. (%)
CHG. (%)
positions got formed in previous trading session.
BATAINDIA
2818200
23.23
722.20
3.94
In index options front, they bought of worth Rs.
308
CADILAHC
3651200
19.10
479.55
-4.79
crores with rise in open interest. In Nifty options, 10200
RBLBANK
4460000
17.09
538.35
-0.08
call option added fresh positions; followed by unwinding
BERGEPAINT
2684000
16.75
267.95
4.24
in 9800-10000 call options. On the flip side, good
TORNTPHARM
251200
16.08
1195.95
-1.09
amount of open interest addition was seen in
HAVELLS
3750000
15.88
498.35
1.83
9900-10000 put options along with unwinding in 9600
INDUSINDBK
4959000
15.32
1788.40
5.26
strike. Maximum concentration in put option had now
PETRONET
13119000
14.84
238.10
6.03
shifted higher to 9900 from 9700 strike and of call
option remains intact in 10000 strike price.
OI Losers
September series began with lowest open interest in the
OI
PRICE
SCRIP
OI
PRICE
index for calendar year 2017. However, we have been
CHG. (%)
CHG. (%)
consistently observing good amount of build-up in both
NTPC
25120000
-8.21
170.65
1.67
indices. During the series, Nifty and BankNifty added
GRASIM
2394750
-6.20
1233.35
1.91
open interest of 25% and 44.54% respectively which is
OIL
3127080
-5.80
325.90
4.82
mixed position. At the same time, PCR-OI has again
BHARATFIN
11912000
-5.65
967.60
3.08
surged higher to 1.43. Taking into consideration the
CHOLAFIN
391500
-4.63
1177.05
1.20
above F&O activity, we expect market to remain volatile
ALBK
12350000
-4.49
68.30
0.96
going ahead. Thus, traders are advised to remain light in
INDIANB
4730000
-4.29
281.20
2.76
index and prefer stock specific approach.
JSWENERGY
64574500
-3.04
74.00
2.71
Historical Volatility
Put-Call Ratio
SCRIP
HV
SCRIP
PCR-OI
PCR-VOL
INDUSINDBK
31.56
NIFTY
1.43
1.27
PETRONET
39.39
BANKNIFTY
1.09
0.85
TATAPOWER
33.02
RELIANCE
0.63
0.81
LT
28.69
INFY
0.31
0.31
GAIL
29.51
SBIN
0.46
0.31
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Technical & Derivatives Report
September 12, 2017
FII Statistics for September 11, 2017
Turnover on September 11, 2017
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Value
Change
Contracts
( in Cr. )
(%)
Contracts
(in Cr.)
(%)
INDEX
INDEX
1207.46
1454.18
(246.72)
213631
16412.79
6.14
177281
15211.21
27.22
FUTURES
FUTURES
INDEX
INDEX
41794.28
41486.48
307.79
957403
74509.36
3.38
4361916
389056.79
62.54
OPTIONS
OPTIONS
STOCK
5565.88
5401.26
164.62
788243
55702.82
0.95
STOCK
FUTURES
575565
45433.74
-3.63
FUTURES
STOCK
STOCK
5186.74
5092.65
94.09
69167
5168.83
6.51
400069
33008.70
4.45
OPTIONS
OPTIONS
Total
53754.35
53434.57
319.78
2028444
151793.79
2.80
TOTAL
5514831
482710.44
46.24
Nifty Spot = 9934.80
Lot Size = 75
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
10000
104.95
Buy
10000
80.50
50.10
49.90
10050.10
29.30
70.70
9970.70
Sell
10100
54.85
Sell
9900
51.20
Buy
10000
104.95
Buy
10000
80.50
80.05
119.95
10080.05
47.70
152.30
9952.30
Sell
10200
24.90
Sell
9800
32.80
Buy
10100
54.85
Buy
9900
51.20
29.95
70.05
10129.95
18.40
81.60
9881.60
Sell
10200
24.90
Sell
9800
32.80
Note: Above mentioned Bullish or Bearish Spreads in Nifty (September Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Technical & Derivatives Report
September 12, 2017
Daily Pivot Levels for Nifty Constituents
Scrips
S2
S1
PIVOT
R1
R2
ACC
1,783
1,790
1,800
1,808
1,818
ADANIPORTS
381
383
387
389
393
AMBUJACEM
279
282
285
288
291
ASIANPAINT
1,185
1,211
1,226
1,253
1,268
AUROPHARMA
732
737
742
747
753
AXISBANK
490
492
495
497
499
BAJAJ-AUTO
2,891
2,910
2,929
2,948
2,967
BANKBARODA
136
137
138
139
141
BPCL
502
507
516
521
529
BHARTIARTL
394
399
403
407
412
INFRATEL
364
367
369
372
375
BOSCHLTD
21,789
21,923
22,134
22,268
22,479
CIPLA
546
550
554
558
562
COALINDIA
253
255
257
259
262
DRREDDY
2,127
2,143
2,171
2,187
2,215
EICHERMOT
32,200
32,349
32,550
32,699
32,900
GAIL
376
386
393
402
410
HCLTECH
845
853
860
868
875
HDFCBANK
1,775
1,799
1,814
1,838
1,853
HDFC
1,765
1,773
1,785
1,793
1,804
HEROMOTOCO
3,897
3,921
3,960
3,984
4,024
HINDALCO
244
247
250
253
256
HINDUNILVR
1,193
1,207
1,219
1,233
1,245
IBULHSGFIN
1,280
1,289
1,304
1,313
1,328
ICICIBANK
287
289
291
293
296
IOC
423
426
431
434
439
INDUSINDBK
1,662
1,727
1,765
1,830
1,869
INFY
863
871
881
889
900
ITC
270
272
273
275
276
KOTAKBANK
994
1,000
1,008
1,014
1,021
LT
1,126
1,172
1,198
1,244
1,271
LUPIN
961
969
976
984
991
M&M
1,244
1,262
1,296
1,314
1,348
MARUTI
7,935
8,039
8,103
8,207
8,271
NTPC
165
168
170
172
174
ONGC
160
161
163
164
166
POWERGRID
209
212
214
218
219
RELIANCE
810
814
820
824
831
SBIN
267
269
271
273
275
SUNPHARMA
460
464
470
474
480
TCS
2,430
2,442
2,462
2,475
2,495
TATAMTRDVR
211
213
214
216
218
TATAMOTORS
371
373
377
379
382
TATAPOWER
77
79
80
82
83
TATASTEEL
648
656
660
667
671
TECHM
431
436
439
445
448
ULTRACEMCO
4,132
4,153
4,173
4,194
4,214
VEDANTA
321
325
329
333
337
WIPRO
298
300
302
303
305
YESBANK
1,763
1,802
1,834
1,874
1,906
ZEEL
517
518
522
523
527
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Technical & Derivatives Report
September 12, 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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