Technical & Derivatives Report
September 26, 2017
Sensex (31627) / Nifty (9873)
Exhibit 1: Nifty Daily Chart
Friday’s massive sell off was followed by a flat opening in our
markets. However, this was the only moment; bulls had their
presence as once again we saw Nifty tumbling within five minutes
of opening trade. Eventually, the Nifty ended yet another session
on a weak note by shedding nearly a percent from previous
close.
Last couple of day’s price action certainly justifies our recent
cautious stance on the index despite Nifty clocking fresh record
high of 10178.95. Yes, it’s agreed that the similar corrective
move was seen during the first half of August and in fact, the
index went on to make fresh record high in the subsequent up
move. But, we would like to highlight one interesting observation.
Historically, it’s observed that a strong trend takes a u-turn in the
second attempt and we believe that the ongoing move is a
beginning of that second attempt (Considering August correction
as a First attempt). Hence, going forward, surpassing the
immediate hurdle of 9950 - 10000 would be a daunting task for
our markets. Any bounce back towards 9900 - 9940 is likely to
get sold into. Traders are repeatedly advised to stay light on
positions and look to exit longs in intraday rallies. We expect
continuation of this downward move towards 9780 first and then
to test recent low of 9685.
Key Levels
Support 1 - 9804
Resistance 1 - 9900
Support 2 - 9780
Resistance 2 - 9940
Nifty Bank Outlook - (24165)
Exhibit 2: Nifty Bank Weekly Chart
Post a sharp sell-off on Friday; the Nifty Bank index continued its
selling streak in yesterday's session as well. The index corrected
sharply in the first hour of the session and then traded in a
narrow range to end the day with a loss of 0.84 percent.
As mentioned in our earlier report, the Nifty Bank index has
formed a reversal pattern on the weekly chart after a significant
up move in last few months. Hence, the index is likely to see a
consolidation/corrective phase in the immediate term. Hence,
traders should trade with cautious and avoid forming long
positions. On pullback moves, the index is likely to face strong
resistance around 24450, while we are expecting the index to
correct upto its '89 DMEA' support which is placed around 23850.
Any pullback move upto the mentioned resistance should be used
as an opportunity to exit from long positions if any.
Key Levels
Support 1 - 24000
Resistance 1 - 24325
Support 2 - 23850
Resistance 2 - 24450
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Technical & Derivatives Report
September 26, 2017
Comments
Nifty Vs OI
The Nifty futures open interest has increased by 3.80%
BankNifty futures open interest has increased by 0.09%
as market closed at 9872.60 levels.
The Nifty September future closed with a premium of
6.05 points against the premium of 18.55 points in last
trading session. The October series closed at a premium
of 39.15 points.
The Implied Volatility of at the money options has
increased from 12.65 to 14.21. At the same time, the
PCR-OI of Nifty is has decreased to 1.12 from 1.24
levels.
Few of the liquid counters where we have seen high cost
of carry are DHFL, JSWENERGY, JPASSOCIAT, RPOWER
Views
FlIs were net sellers in cash market segment and index
futures. They sold equities to the tune of Rs. 1249 crores.
OI Gainers
While in index futures they were net sellers of Rs.722
OI
PRICE
SCRIP
OI
PRICE
crores with rise in open interest, suggesting fresh short
CHG. (%)
CHG. (%)
formation in previous trading session.
ADANIPOWER
119140000
16.83
30.80
0.82
In index options front, they were net buyers of Rs. 787
JPASSOCIAT
183124000
16.43
17.15
-5.51
crores with marginal change in open interest. In call
UBL
1038100
14.87
857.30
5.80
option, we witnessed significant OI addition in 9900-
MOTHERSUMI
12386250
11.36
334.25
-0.42
10000 strikes, followed by some unwinding in 10200
CHENNPETRO
2596500
10.68
410.70
-1.48
and
10300 call options. As a result, highest
AMBUJACEM
13970000
10.48
262.20
-2.62
concentration of OI in call option shifted lower to 10000
GMRINFRA
356715000
9.31
16.50
-1.79
strike price. On the flip side, 9700-9850 put options
GODREJIND
3270000
8.51
577.10
-2.05
added some fresh positions; while, good amount of short
covering was seen in 10000 and 10100 puts. Thus,
OI Losers
maximum open interest in put options remains intact at
OI
PRICE
9900.
SCRIP
OI
PRICE
CHG. (%)
CHG. (%)
Throughout September series, we witnessed good
INFIBEAM
44684000
-16.13
119.55
-16.75
amount of open interest addition, wherein FIIs were net
PAGEIND
24300
-11.80
18533.55
-2.54
sellers in index futures. In index options too, they formed
INDIACEM
24069500
-9.68
167.35
-4.75
bearish bets recently by adding fresh index puts and
MFSL
4552000
-9.65
618.35
-2.41
writing call options. The way options activity has shaped
BATAINDIA
2059200
-9.39
711.35
-1.95
up, we believe 10000-10050 may now act as a strong
ASIANPAINT
3270000
-9.17
1198.40
-1.53
hurdle. Hence, any bounce back beyond 9900 should be
NIITTECH
1120500
-8.90
505.35
-2.70
an opportunity to go short on index.
TORNTPHARM
296000
-8.64
1232.15
-2.45
Historical Volatility
Put-Call Ratio
SCRIP
HV
SCRIP
PCR-OI
PCR-VOL
INFIBEAM
100.15
NIFTY
1.12
0.95
UBL
32.99
BANKNIFTY
0.86
0.86
INDIGO
40.35
RELIANCE
0.50
0.59
DHFL
60.92
INFY
0.33
0.37
CASTROLIND
20.88
SBIN
0.32
0.30
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Technical & Derivatives Report
September 26, 2017
FII Statistics for September 25, 2017
Turnover on September 25, 2017
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Value
Change
Contracts
( in Cr. )
(%)
Contracts
(in Cr.)
(%)
INDEX
INDEX
3754.91
4476.68
(721.78)
295152
22226.76
3.44
315992
25437.80
5.15
FUTURES
FUTURES
INDEX
INDEX
88851.11
88063.86
787.24
1126464
87291.85
0.26
7628682
620968.34
12.40
OPTIONS
OPTIONS
STOCK
14766.04
15004.46
(238.42)
832342
57261.90
(1.33)
STOCK
FUTURES
1108058
79215.08
16.85
FUTURES
STOCK
STOCK
9706.04
9707.82
(1.78)
108197
7791.46
0.10
631834
50950.56
-7.78
OPTIONS
OPTIONS
Total
117078.10
117252.83
(174.73)
2362155
174571.98
0.07
TOTAL
9684566
776571.78
10.98
Nifty Spot = 9872.60
Lot Size = 75
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
9900
40.25
Buy
9900
61.00
26.95
73.05
9926.95
36.85
63.15
9863.15
Sell
10000
13.30
Sell
9800
24.15
Buy
9900
40.25
Buy
9900
61.00
36.10
163.90
9936.10
51.00
149.00
9849.00
Sell
10100
4.15
Sell
9700
10.00
Buy
10000
13.30
Buy
9800
24.15
9.15
90.85
10009.15
14.15
85.85
9785.85
Sell
10100
4.15
Sell
9700
10.00
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 26, 2017
Daily Pivot Levels for Nifty Constituents
Scrips
S2
S1
PIVOT
R1
R2
ACC
1,583
1,608
1,650
1,675
1,717
ADANIPORTS
373
381
391
399
409
AMBUJACEM
254
258
264
268
274
ASIANPAINT
1,179
1,188
1,201
1,210
1,222
AUROPHARMA
673
687
707
721
742
AXISBANK
482
492
498
508
515
BAJAJ-AUTO
2,982
3,013
3,036
3,067
3,089
BANKBARODA
136
139
141
145
146
BPCL
472
479
486
494
500
BHARTIARTL
382
386
391
395
401
INFRATEL
382
387
392
397
402
BOSCHLTD
20,769
20,971
21,213
21,414
21,656
CIPLA
549
563
579
593
609
COALINDIA
248
252
255
260
262
DRREDDY
2,362
2,390
2,432
2,460
2,502
EICHERMOT
29,996
30,488
31,070
31,562
32,143
GAIL
391
394
399
403
408
HCLTECH
862
868
876
882
890
HDFCBANK
1,775
1,787
1,805
1,817
1,835
HDFC
1,718
1,737
1,757
1,776
1,796
HEROMOTOCO
3,663
3,709
3,768
3,814
3,872
HINDALCO
219
224
228
233
238
HINDUNILVR
1,226
1,237
1,248
1,258
1,269
IBULHSGFIN
1,114
1,159
1,200
1,245
1,287
ICICIBANK
273
276
279
282
284
IOC
390
395
401
406
412
INDUSINDBK
1,658
1,680
1,697
1,719
1,735
INFY
883
889
895
902
908
ITC
256
259
264
268
273
KOTAKBANK
979
989
1,005
1,016
1,032
LT
1,124
1,144
1,166
1,186
1,208
LUPIN
963
977
997
1,011
1,031
M&M
1,220
1,240
1,266
1,286
1,312
MARUTI
7,736
7,850
7,970
8,084
8,204
NTPC
163
165
166
168
169
ONGC
159
162
164
166
168
POWERGRID
204
207
211
213
217
RELIANCE
795
809
818
831
841
SBIN
251
255
258
262
266
SUNPHARMA
494
500
507
513
520
TCS
2,471
2,491
2,513
2,532
2,554
TATAMTRDVR
222
225
229
232
236
TATAMOTORS
399
403
409
414
420
TATAPOWER
79
81
82
83
84
TATASTEEL
607
624
639
656
671
TECHM
441
447
455
460
468
ULTRACEMCO
3,823
3,862
3,931
3,970
4,039
VEDANTA
290
299
305
313
320
WIPRO
288
290
292
294
297
YESBANK
343
351
357
366
372
ZEEL
512
519
524
531
536
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Technical & Derivatives Report
September 26, 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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