Technical & Derivatives Report
September 25, 2017
Sensex (31922) / Nifty (9964)
Exhibit 1: Nifty Daily Chart
Although the Nifty index registered a new all-time high early last
week, the market participants were unable to carry forward the
positive momentum at new highs. Post the recent breakout from a
consolidation phase, the ’89 EMA’ on the hourly chart was a
crucial support for the bulls to continue the trend. Friday’s breach
of the mentioned support around 10058 and the broad market
participation in the correction has certainly applied breaks to the
uptrend which we have recently seen.
The ‘RSI Smoothened’ oscillator has given a negative crossover
from its overbought zone and has sneaked below the 70 levels.
The ‘Supertrend’ indicator, which is a trend following indicator
plotted on prices, too has turned negative on the daily and the
hourly chart. The above mentioned indicators and oscillators are
indicating that the index is unlikely to see any significant upmove
in near term. While there could be higher volatility, any pullback
moves in the index in this week is likely to restrict the upmove
around the resistances of 10050 and 10150. On Friday, the
index has closed tad above the support of 9950, which if
breached, could drag the index towards the daily ’89 EMA’
support in near-term which is placed around 9770.
Key Levels
Support 1 - 9950
Resistance 1 - 10020
Support 2 - 9880
Resistance 2 - 10050
Nifty Bank Outlook - (24369)
Exhibit 2: Nifty Bank Weekly Chart
A sharp corrective move in the Nifty Bank index on Friday's
session has led to the formation of a 'Bearish Engulfing' pattern
on the weekly chart. The mentioned pattern, when formed after a
significant upmove, is usually a sign of caution as it generally
applies breaks to the uptrend. The 'RSI Smoothened' oscillator on
the daily chart has given a negative crossover from its average
from the overbought zone.
The above-mentioned indicators and oscillator are indicating that
the index is unlikely to resume the uptrend in near term. On any
pullback moves, the index is likely to face strong resistance in the
range of 24600-24700. While in near term, the index could re-
test the recent lows around 23850, which coincides with the '89
DEMA'. The intraday support for the Nifty Bank index is placed in
the range of 24200-24100 whereas resistances are seen in the
range of 24600 and 24700.
Key Levels
Support 1 - 24200
Resistance 1 - 24600
Support 2 - 24100
Resistance 2 - 24700
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Technical & Derivatives Report
September 25, 2017
Comments
Nifty Vs OI
The Nifty futures open interest has increased by 2.39%
BankNifty futures open interest has decreased by 8.68%
as market closed at 9964.40 levels.
The Nifty September future closed with a premium of
18.55 points against the premium of 15.20 points in last
trading session. The October series closed at a premium
of 57.30 points.
The Implied Volatility of at the money options has
increased from 9.28 to 12.65. At the same time, the
PCR-OI of Nifty is has decreased to 1.24 from 1.52
levels.
Few of the liquid counters where we have seen high cost
of carry are RCOM, DHFL, IGL, SYNDIBANK and
Views
FlIs were net sellers in cash market segment to the tune
of Rs. 1242 crores. While in index futures they were net
OI Gainers
buyers of Rs.1688 crores with rise in open interest,
OI
PRICE
SCRIP
OI
PRICE
suggesting long formation in previous trading session.
CHG. (%)
CHG. (%)
In index options front, they were net sellers of Rs. 635
HCC
31452000
13.41
35.00
-5.66
crores with rise in open interest. In call option, huge
RELCAPITAL
10483500
12.04
663.40
-7.95
amount of open interest addition was seen in 10000-
CANBK
12076944
11.54
326.45
-4.34
10200 strikes. While, none of the strikes of put option
OIL
2991120
10.18
326.25
-0.03
added relevant positions; although, meaningul
UNIONBANK
22784000
9.50
130.10
-4.48
unwinding was seen in
9900-10200 put options.
IDFCBANK
109161000
9.38
57.65
-2.95
Maximum concentration of open interest stands firm at
HEROMOTOCO
1799000
8.82
3791.95
-2.84
10200 call and in put options has shifted lower to 9900
BALRAMCHIN
13251000
8.20
167.10
-1.88
strike price.
Last week, the benchmark index (NIFTY) plunged below
OI Losers
10000 mark along with decent OI addition. PCR-OI
OI
PRICE
declined as put writers ran for shelter seeing index
SCRIP
OI
PRICE
CHG. (%)
CHG. (%)
correcting below psychological level. FIIs continued their
TORNTPHARM
324000
-18.18
1263.05
-6.31
selling streak in cash segment and they bought good
DIVISLAB
7619200
-17.94
972.60
-1.79
amount of index puts along with writing in call options,
WOCKPHARMA
2967200
-16.29
612.40
-6.88
which is certainly not a good sign for bulls. Looking at
NIITTECH
1230000
-13.59
519.35
-3.66
the F&O data, we believe 9900-9950 is an immediate
BATAINDIA
2272600
-11.86
725.50
-2.79
support for index; while 10100-10150 is a strong hurdle
CADILAHC
3516800
-10.69
489.15
-3.01
for index.
IGL
1141800
-10.56
1442.65
-4.90
ICIL
12110000
-8.66
107.05
-8.03
Historical Volatility
Put-Call Ratio
SCRIP
HV
SCRIP
PCR-OI
PCR-VOL
ULTRACEMCO
26.59
NIFTY
1.24
0.99
SRTRANSFIN
42.39
BANKNIFTY
0.94
0.91
TATASTEEL
33.96
RELIANCE
0.49
0.62
SAIL
38.63
INFY
0.33
0.37
YESBANK
31.01
SBIN
0.33
0.29
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Technical & Derivatives Report
September 25, 2017
FII Statistics for September 22, 2017
Turnover on September 22, 2017
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Value
Change
Contracts
( in Cr. )
(%)
Contracts
(in Cr.)
(%)
INDEX
INDEX
4672.06
2984.11
1687.95
285329
21759.48
2.65
291584
24192.45
29.28
FUTURES
FUTURES
INDEX
INDEX
67211.79
67846.64
(634.85)
1123574
87719.51
1.86
6679824
552474.68
-46.66
OPTIONS
OPTIONS
STOCK
9966.07
10091.64
(125.57)
843593
58741.39
0.07
STOCK
FUTURES
917779
67793.85
16.31
FUTURES
STOCK
STOCK
10538.96
10649.06
(110.10)
108085
7917.81
0.27
691499
55249.94
15.66
OPTIONS
OPTIONS
Total
92388.89
91571.46
817.43
2360581
176138.18
1.23
TOTAL
8580686
699710.91
-39.71
Nifty Spot = 9964.40
Lot Size = 75
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
10000
53.60
Buy
9900
34.15
34.45
65.55
10034.45
16.20
83.80
9883.80
Sell
10100
19.15
Sell
9800
17.95
Buy
10000
53.60
Buy
9900
34.15
47.35
152.65
10047.35
23.60
176.40
9876.40
Sell
10200
6.25
Sell
9700
10.55
Buy
10100
19.15
Buy
9800
17.95
12.90
87.10
10112.90
7.40
92.60
9792.60
Sell
10200
6.25
Sell
9700
10.55
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 25, 2017
Daily Pivot Levels for Nifty Constituents
Scrips
S2
S1
PIVOT
R1
R2
ACC
1,639
1,664
1,705
1,730
1,771
ADANIPORTS
392
397
403
408
414
AMBUJACEM
264
267
271
274
278
ASIANPAINT
1,191
1,202
1,216
1,227
1,241
AUROPHARMA
695
709
733
748
772
AXISBANK
499
502
506
509
514
BAJAJ-AUTO
2,968
3,005
3,045
3,082
3,122
BANKBARODA
139
141
143
144
146
BPCL
477
484
491
498
505
BHARTIARTL
386
391
396
400
406
INFRATEL
381
385
390
395
399
BOSCHLTD
21,108
21,301
21,496
21,689
21,884
CIPLA
572
579
589
596
607
COALINDIA
246
250
252
256
259
DRREDDY
2,397
2,427
2,477
2,507
2,557
EICHERMOT
31,047
31,313
31,546
31,812
32,045
GAIL
389
394
400
405
412
HCLTECH
861
873
881
893
902
HDFCBANK
1,809
1,816
1,828
1,835
1,847
HDFC
1,763
1,772
1,779
1,788
1,795
HEROMOTOCO
3,717
3,754
3,817
3,854
3,917
HINDALCO
220
226
234
240
249
HINDUNILVR
1,224
1,231
1,242
1,250
1,260
IBULHSGFIN
1,206
1,224
1,250
1,268
1,293
ICICIBANK
271
274
279
282
287
IOC
392
400
407
415
422
INDUSINDBK
1,680
1,694
1,708
1,721
1,735
INFY
877
887
899
910
921
ITC
265
267
269
271
273
KOTAKBANK
1,012
1,017
1,024
1,029
1,036
LT
1,144
1,164
1,197
1,217
1,250
LUPIN
983
999
1,022
1,037
1,060
M&M
1,273
1,280
1,289
1,296
1,304
MARUTI
7,972
8,020
8,098
8,146
8,223
NTPC
163
164
166
168
170
ONGC
162
163
164
165
166
POWERGRID
206
208
210
211
213
RELIANCE
797
807
824
834
850
SBIN
257
260
263
266
270
SUNPHARMA
497
506
517
525
537
TCS
2,473
2,488
2,508
2,523
2,542
TATAMTRDVR
225
228
232
235
240
TATAMOTORS
401
406
414
420
428
TATAPOWER
78
79
81
82
84
TATASTEEL
630
642
663
675
696
TECHM
447
453
459
464
470
ULTRACEMCO
3,878
3,939
4,050
4,111
4,222
VEDANTA
298
303
311
317
325
WIPRO
289
292
293
296
298
YESBANK
348
354
366
372
383
ZEEL
511
517
525
531
539
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Technical & Derivatives Report
September 25, 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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