Technical & Derivatives Report
August 17, 2017
Sensex (31771) / Nifty (9897)
Exhibit 1: Nifty Daily Chart
Our markets have shown tremendous resilience at lower levels
as we saw Nifty extending Monday’s bounce back rally by a
fair margin yesterday. During the first half, the index
consolidated in a small range; but, a strong buying interest in
the latter half pushed the index higher to reclaim the 9900
mark.
Although, some relief rally was on cards after last week’s
massive correction, the way index rebounded beyond 9852
was quite surprising to us. The kind of buying interest being
witnessed in individual stocks to regain strength is certainly a
worrisome factor for a contrarian trader. But, looking at the
weekly chart structure, we still believe that the market is likely
to face a strong resistance at higher levels. Now, if we
meticulously observe the hourly chart, we can see a perfect
negative crossover of ’89 EMA’ and ‘200 SMA’ around the
9900 mark. Hence, going ahead, we would expect the market
to remain under pressure and would advise traders to use this
opportunity to exit their existing longs. For the coming session,
9900-9940 would now be seen as a stiff hurdle; whereas on
the lower side, 9830-9773 would be the levels to watch out
for.
Key Levels
Support 1 - 9830
Resistance 1 - 9900
Support 2 - 9773
Resistance 2 - 9940
Nifty Bank Outlook - (24438)
Exhibit 2: Nifty Bank Daily Chart
In yesterday's trading session, the Nifty Bank index traded with
negative bias in the first hour of trade. However, the index
along with the broader markets took a complete u-turn and
rallied higher for rest of the session to end the day at the
highest point. The index registered gains of 1.34 percent over
its previous session's close.
Although a minor pullback move in the Nifty Bank index was
expected, the velocity of the upmove in the last hour was a
surprise to some extent. Though, when the volatility is rising,
the directional as well as the corrective moves are usually
sharper. The higher degree charts have given some cautious
signs and hence, we refrain participating in this pullback
move. The retracement resistance of the recent correction in
the Nifty Bank index is seen around 24508. Thus, we advise to
keep a wait-and-watch approach and stay light at the current
juncture.
Key Levels
Support 1 - 24210
Resistance 1 - 24508
Support 2 - 23950
Resistance 2 - 24592
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Technical & Derivatives Report
August 17, 2017
Comments
Nifty Vs OI
The Nifty futures open interest has increased by 3.78%
BankNifty futures open interest has increased by 2.43%
as market closed at 9897.30 levels.
The Nifty August future closed with a premium of 7.65
points against the premium of 21.45 points in last
trading session. The September series closed at a
premium of 40.30 points.
The Implied Volatility of at the money options has
decreased from 12.65 to 11.92. At the same time, the
PCR-OI of Nifty has increased from 1.12 levels to 1.18.
Few of the liquid counters where we have seen high cost
of carry are SUZLON, JISLJALEQS, INFIBEAM, IBREALEST
and RCOM.
Views
FIIs were net sellers in cash market segment and index
futures. They sold equities to the tune of Rs.1090 crores.
OI Gainers
While, in index futures they were net sellers of worth
OI
PRICE
Rs.
1683 crores with some rise in open interest,
SCRIP
OI
PRICE
CHG. (%)
CHG. (%)
indicating fresh short formation along with long
MFSL
4826000
37.61
608.40
1.26
unwinding in previous trading session.
HAVELLS
3596000
16.68
465.05
-2.81
In index options segment, they were net sellers of
JSWENERGY
74732000
14.87
64.95
0.62
Rs. 224 crores with rise in open interest. In call option,
MARICO
4888000
13.32
317.90
-0.66
we hardly saw any relevant build-up; however, some
HEROMOTOCO
982000
13.32
4020.85
1.62
unwinding was seen in 9700, 9900, 10050 and 10500
BIOCON
11775600
12.42
329.30
-5.91
strikes of call option. On the flip side, good amount of
ASHOKLEY
50771000
12.07
105.20
-0.09
positions got formed in 9600-9900 put option, along
TVSMOTOR
6338000
10.69
583.70
6.03
with huge unwinding in out the money strike
9400.
Maximum concentration of open interest for August
OI Losers
series is placed at 10000 call and 9500 put option.
OI
PRICE
FIIs continue adding bearish F&O bets despite strong
SCRIP
OI
PRICE
CHG. (%)
CHG. (%)
upmove in last two trading session. Since start of August
VOLTAS
3404000
-13.25
544.65
-1.71
series, we witnessed huge short formation in index
IGL
953700
-7.91
1279.45
-0.70
futures by stronger hand, resulting plunge in their index
CUMMINSIND
589200
-7.88
922.15
3.99
Futures ‘Long Short Ratio’ from 82% to 54% (Lowest in
SINTEX
15632250
-6.76
33.70
6.48
calendar year 2017). Implied Volatility has also surged
HDIL
32976000
-6.70
62.65
-1.42
above the resistance level of 12.70-12.80 seen in last
MGL
739800
-5.88
1040.05
0.61
five series. Taking into consideration the above data, we
NATIONALUM
11136000
-4.92
69.40
4.83
believe Nifty has limited upside and hence, would advise
UBL
1096200
-4.92
810.90
1.65
short term traders to buy 9800 puts.
Historical Volatility
Put-Call Ratio
SCRIP
HV
SCRIP
PCR-OI
PCR-VOL
GODFRYPHLP
83.13
NIFTY
1.18
0.95
TORNTPHARM
50.03
BANKNIFTY
1.05
0.75
CONCOR
33.45
SBIN
0.43
0.38
PETRONET
38.88
RELIANCE
0.51
0.47
RBLBANK
36.56
TATAMOTORS
0.35
0.39
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Technical & Derivatives Report
August 17, 2017
FII Statistics for August 16, 2017
Turnover on August 16, 2017
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Value
Change
Contracts
( in Cr. )
(%)
Contracts
(in Cr.)
(%)
INDEX
INDEX
1746.77
3429.96
(1683.19)
325751
24613.35
1.59
278321
23412.78
82.43
FUTURES
FUTURES
INDEX
INDEX
70549.61
70773.99
(224.37)
1158645
88393.69
0.92
8098871
738119.79
166.14
OPTIONS
OPTIONS
STOCK
9366.73
9165.25
201.48
827605
57035.67
0.43
STOCK
FUTURES
696310
50748.24
17.00
FUTURES
STOCK
STOCK
6985.14
6993.29
(8.15)
139680
10075.09
1.98
494760
37689.00
7.52
OPTIONS
OPTIONS
Total
88648.25
90362.49
(1714.24)
2451681
180117.80
0.90
TOTAL
9568262
849969.81
130.59
Nifty Spot = 9897.30
Lot Size = 75
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
9900
98.60
Buy
9900
94.40
46.45
53.55
9946.45
33.25
66.75
9866.75
Sell
10000
52.15
Sell
9800
61.15
Buy
9900
98.60
Buy
9900
94.40
73.45
126.55
9973.45
55.00
145.00
9845.00
Sell
10100
25.15
Sell
9700
39.40
Buy
10000
52.15
Buy
9800
61.15
27.00
73.00
10027.00
21.75
78.25
9778.25
Sell
10100
25.15
Sell
9700
39.40
Note: Above mentioned Bullish or Bearish Spreads in Nifty (August Series) are given as an information and not as a recommendation.
Nifty Put-Call Analysis
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Technical & Derivatives Report
August 17, 2017
Daily Pivot Levels for Nifty Constituents
Scrips
S2
S1
PIVOT
R1
R2
ACC
1,747
1,766
1,791
1,810
1,836
ADANIPORTS
385
391
398
403
410
AMBUJACEM
260
263
267
269
273
ASIANPAINT
1,120
1,137
1,146
1,163
1,172
AUROPHARMA
700
707
712
720
725
AXISBANK
480
486
494
500
507
BAJAJ-AUTO
2,783
2,807
2,834
2,858
2,885
BANKBARODA
132
137
143
148
154
BPCL
466
472
480
486
494
BHARTIARTL
400
405
408
412
415
INFRATEL
375
377
381
383
386
BOSCHLTD
21,087
21,612
22,127
22,653
23,167
CIPLA
542
556
575
589
608
COALINDIA
232
235
238
241
243
DRREDDY
1,949
1,975
1,997
2,023
2,044
EICHERMOT
29,789
30,087
30,399
30,697
31,008
GAIL
366
369
373
376
379
HCLTECH
842
851
860
869
878
HDFCBANK
1,724
1,741
1,765
1,782
1,806
HDFC
1,686
1,700
1,729
1,743
1,772
HEROMOTOCO
3,867
3,912
3,978
4,023
4,089
HINDALCO
222
225
231
235
240
HINDUNILVR
1,126
1,141
1,166
1,181
1,205
IBULHSGFIN
1,147
1,161
1,188
1,203
1,229
ICICIBANK
283
287
292
296
300
IOC
415
417
423
425
430
INDUSINDBK
1,577
1,601
1,627
1,651
1,678
INFY
962
972
979
989
996
ITC
264
268
275
278
285
KOTAKBANK
948
965
985
1,003
1,023
LT
1,112
1,129
1,141
1,158
1,170
LUPIN
940
954
964
977
987
M&M
1,332
1,344
1,360
1,372
1,388
MARUTI
7,503
7,556
7,638
7,691
7,773
NTPC
168
170
172
174
175
ONGC
159
160
161
162
163
POWERGRID
217
220
222
225
227
RELIANCE
1,541
1,557
1,566
1,583
1,592
SBIN
269
274
279
283
288
SUNPHARMA
456
464
475
483
494
TCS
2,414
2,442
2,493
2,520
2,571
TATAMTRDVR
219
223
228
232
237
TATAMOTORS
365
370
381
386
396
TATAPOWER
79
79
81
82
84
TATASTEEL
613
619
626
631
638
TECHM
383
393
409
419
435
ULTRACEMCO
3,859
3,910
3,941
3,992
4,023
VEDANTA
279
284
292
297
304
WIPRO
287
288
289
290
291
YESBANK
1,710
1,744
1,767
1,801
1,824
ZEEL
502
510
516
524
531
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Technical & Derivatives Report
August 17, 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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