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Technical & Derivatives Report
September 25,
2019
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Sensex (
) / Nifty
(1
1588
)
Post the sharp upmove in a couple of sessions, the index
consolidated in a range yesterday and ended around the
previous session's close. The broader markets witnessed a stock
specific momentum as the Nifty traded in a range. Nifty has
formed a Doji candlestick on the daily chart which indicates
indecision amongst the market participants. However, given that
the index has rallied very sharply in just two trading sessions, such
range bound session should just be seen as a pause within an
uptrend. Hence, traders are advised not to take any contra trades
in anticipation of any reversal; rather one should use a Buy on
Dips’ strategy and look for buying opportunities.
For intraday, 11539 will be seen as initial support followed by
Monday's gap area of 11470-11380. On the flipside, 11655-
11700 is seen as the immediate hurdle on the upside.
Key Levels
Support 1 – 11539 Resistance 1 – 11655
Support 2 – 11470 Resistance 2 – 11700
Exhibit 1: Nifty Daily Chart
Nifty Bank Outlook
-
(
30183
)
Two back to back spectacular days for our markets and Bank
Nifty being the high beta index, we witnessed stupendous rally of
more than 4000 point from Fridays low. Since we were extremely
stretched out because of the sharp move, some sort of cooling off
process was evident and this is exactly what we witnessed
yesterday. The banking conglomerates remained under pressure
for the most part of the day to trim over a percent gains from the
previous close. On any normal day, if Bank nifty had fallen over
600 points, we would have considered it as a bear case scenario.
But considering the previous two days’ gigantic leap, this 600
points correction appeared as a small piece. This breather was
necessary as prices were trading far away from the short term
moving averages. Now, today, we would see 5-day EMA’
climbing higher and probably would converge around the higher
end of Monday’s upside gap area of 29418.95 29776.30.
Yesterday’s low is also somewhere closer to these points, makes it
a sacrosanct level for the index. Going ahead, 30000 followed by
29800 would be the levels to watch out for in the downward
direction and on the higher side, the immediate resistance is
placed at 30570 30800. As of now, some consolidation in this
range is likely but it’s a matter of time, we would expect banking
index heading beyond the 31000 mark soon.
Key Levels
Support 1 – 30000 Resistance 1 – 30570
Support 2 – 29800 Resistance 2 – 30800
Exhibit 2: Nifty Bank Daily Chart
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Nifty Vs OI
Views
It was a day of consolidation for market after the
sharp rally. Yesterday, we began the session on a
positive note and the follow up buying was missing.
In the midst, Index corrected below 11550 and
some recovery in the final hour led closing slight
lower to the previous day.
FIIs were net sellers in cash market segment to the tune
of Rs. 828.49 cr. In index futures, they bought of worth
Rs. 886 cr with marginal change in open interest,
indicating formation of mixed positions with majority
on the long side.
During start of the September series, we did see mixed
activity in index futures segment; however, majority of
the positions formed were on short side. Since last
Friday, we saw a strong recovery along with unwinding
of some shorts and addition of fresh longs. The highest
open interest concentration has now shifted higher to
11500 put and 11700 call option. As we are in the
expiry week, we expect further covering of shorts in this
last two sessions of September series.
Comments
The Nifty futures open interest has increased by 2.46%
Bank Nifty futures open interest has decreased 4.05% as
market closed at 11588.20 levels.
The Nifty September future closed with a premium of
25.65 points against a premium of 7.10 points in last
trading session. The October series closed at a premium
of 72.90 points.
The INDIA VIX has decreased from 16.79 to 16.73.
At the same time, the PCR-OI of Nifty has decreased
from 1.51 to 1.44.
Few of the liquid counters where we have seen high cost
of carry are CONCOR, INFRATEL, ZEEL and DHFL.
OI Gainers
SCRIP OI
OI
CHG. (%)
PRICE
PRICE
CHG. (%)
ZEEL 33202000 32.41 279.00 2.74
MRF 19960 14.78 65881.65 0.06
CESC 1579200 14.77 789.70 -3.69
APOLLOHOSP 2129000 14.62 1453.10 -1.28
BERGEPAINT 4510000 11.47 427.00 -1.62
CONCOR 4746831 11.37 581.10 -0.86
TORNTPHARM 407500 9.84 1697.90 -0.53
ADANIPOWER 118900000 9.30 67.60 2.65
OI Losers
SCRIP OI
OI
CHG. (%)
PRICE
PRICE
CHG. (%)
ENGINERSIN 2898000 -34.24 112.20 -4.63
IDBI 11580000 -25.54 34.10 10.66
KAJARIACER 369200 -23.86 592.30 1.89
RAYMOND 881600 -21.95 590.40 3.90
RELCAPITAL 6558000 -18.95 30.45 7.56
HEXAWARE 2761500 -16.39 388.35 3.82
ARVIND 3054000 -15.45 55.35 -2.20
DHFL 8068000 -14.35 44.95 7.13
Put-Call Ratio
SCRIP PCR-OI PCR-VOL
NIFTY 1.44 1.04
BANKNIFTY 1.13 0.88
RELIANCE 0.69 0.40
ICICIBANK 0.80 0.68
INFY 0.81 0.48
Historical Volatility
SCRIP HV
HEXAWARE 30.41
MARICO 21.58
MUTHOOTFIN 56.74
TATAELXSI 49.65
INFY 36.99
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September 25, 2019
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Note: Above mentioned Bullish or Bearish Spreads in Nifty (September Series) are given as an information and not as a recommendation.
Nifty Spot
=
11588.20
Lot Size = 75
FII
Statistics for S
eptember
24
, 2019
Detail Buy Sell Net
Open Interest
Contracts
Value
(in Cr.)
Change
(%)
INDEX
FUTURES
12109.64
11223.43
886.21
293790
24329.58
0.08
INDEX
OPTIONS
267240.98
267259.42
(18.44) 972509
77811.38
0.62
STOCK
FUTURES
45163.58
45981.83
(818.25) 1614774
100080.28
(1.14)
STOCK
OPTIONS
7434.20
7487.16
(52.96) 89829
5333.58
(1.45)
Total 331948.40
331951.84
(3.44) 2970902
207554.82
(0.46)
Turnover
on September
2
4
, 2019
Instrument
No. of
Contracts
Turnover
( in Cr. )
Change
(%)
INDEX
FUTURES
613182 45237.15 -20.73
INDEX
OPTIONS
16043133 1122602.33 -3.50
STOCK
FUTURES
2193216 129404.97 -1.23
STOCK
OPTIONS
1138882 71858.11 -10.80
TOTAL 1,99,88,413
1369102.56 -4.39
Bull-Call Spreads
Action Strike Price Risk Reward BEP
Buy 11600 73.35
38.85 61.15 11638.85
Sell 11700 34.50
Buy 11600 73.35
57.30 142.70 11657.30
Sell 11800 16.05
Buy 11700 34.50
18.45 81.55 11718.45
Sell 11800 16.05
Bear-Put Spreads
Action Strike Price Risk Reward BEP
Buy 11600 24.00
12.95 87.05 11587.05
Sell 11500 11.05
Buy 11600 24.00
16.65 183.35 11583.35
Sell 11400 7.35
Buy 11500 11.05
3.70 96.30 11496.30
Sell 11400 7.35
Nifty Put-Call Analysis
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September 25, 2019
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Da
ily
Pivot
Levels for Nifty Constituents
Scrips S2 S1 PIVOT R1 R2
ADANIPORTS 398 406
412 420 425
ASIANPAINT 1,723 1,744
1,774 1,795 1,825
AXISBANK 682 693
713 724 744
BAJAJ-AUTO 2,888 2,923
2,964 2,999 3,040
BAJFINANCE 3,873 3,918
3,971 4,016 4,069
BAJAJFINSV 8,040 8,140
8,258 8,358 8,475
BPCL 427 444
459 477 492
BHARTIARTL 342 345
349 352 355
INFRATEL 246 252
260 266 274
BRITANNIA 3,023 3,052
3,083 3,112 3,143
CIPLA 442 446
451 455 459
COALINDIA 192 195
200 204 209
DRREDDY 2,652 2,719
2,782 2,849 2,912
EICHERMOT 17,041 17,738
18,651 19,348 20,261
GAIL 133 136
139 142 146
GRASIM 726 738
752 764 777
HCLTECH 1,012 1,030
1,041 1,058 1,069
HDFCBANK 1,213 1,234
1,248 1,268 1,282
HDFC 2,072 2,101
2,143 2,172 2,214
HEROMOTOCO 2,655 2,705
2,775 2,826 2,896
HINDALCO 192 195
199 201 205
HINDUNILVR 1,984 2,017
2,042 2,076 2,101
IBULHSGFIN 418 427
436 444 453
ICICIBANK 426 433
441 449 456
IOC 134 136
139 142 145
INDUSINDBK 1,483 1,499
1,513 1,530 1,544
INFY 752 773
786 807 820
ITC 252 254
256 258 260
JSW STEEL 226 230
236 239 245
KOTAKBANK 1,565 1,592
1,617 1,643 1,668
LT 1,445 1,463
1,494 1,512 1,542
M&M 542 550
563 571 584
MARUTI 6,691 6,850
7,014 7,173 7,337
NTPC 113 114
115 117 118
ONGC 128 131
135 138 142
POWERGRID 182 186
189 193 196
RELIANCE 1,217 1,248
1,273 1,304 1,329
SBIN 292 297
306 312 321
SUNPHARMA 399 404
412 417 425
TCS 1,992 2,018
2,040 2,066 2,088
TATAMOTORS 126 129
130 133 135
TATASTEEL 362 366
373 377 384
TECHM 676 690
698 712 720
TITAN 1,257 1,275
1,300 1,317 1,342
ULTRACEMCO 4,226 4,272
4,341 4,387 4,456
UPL 566 573
579 585 591
VEDANTA 154 157
160 163 165
WIPRO 238 239
241 243 245
YESBANK 52 54
56 58 60
ZEEL 243 261
274 292 305
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September 25, 2019
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*
Research Team Tel: 022
-
39357800
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