Technical & Derivatives Report
July 28, 2017
Sensex (32383) / Nifty (10021)
Exhibit 1: Nifty Daily Chart
Yesterday’s gap up opening was mainly driven by the cheerful
global cues and some positive development on the political front.
Subsequently, we saw massive gush in some of the outperforming
private banking conglomerates. As a result, the Nifty even
managed to clock the 10100 mark. However, as we generally
see on the (derivatives) expiry day, the ‘2 PM factor’ came into
picture; leading to a decent profit booking to conclude the July
series tad above the psychological figure of 10000.
Yesterday’s sharp decline towards the fag end was a perfect
example how market generally surprise us in a complacent
atmosphere. Although, it’s too early to say, but this is what we’ve
been trying to convey since last couple of weeks. Although, we
didn’t participate (index specific), our sense remains the same
that it’s very difficult to catch a precise top/ exit point and hence,
in such kind of extended rallies, it’s always a prudent strategy to
keep booking profits in advance. May be, this tide has not yet
turned, it’s hard to say; but, there is no harm in liquidating your
positions in advance in order to avoid any kind of surprises. In
such scenarios, it’s always advisable to adopt a stock specific
approach and that too with a proper exit strategy. Today being a
weekly close, we would be meticulously tracking how market
reacts after yesterday’s expiry adjustments. As far as levels are
concerned,
10055
-
10115 would be seen as intraday
resistances; whereas, 9980 - 9950 would be the levels to watch
out for on the downside.
Key Levels
Support 1 - 9980
Resistance 1 - 10055
Support 2 - 9950
Resistance 2 - 10115
Nifty Bank Outlook - (24922)
Exhibit 2: Nifty Bank Daily Chart
The F&O expiry session began with a gap up opening in the Nifty
Bank index as the index opened in its target range of 24800-
24850. However, the index then continued its upmove and
showed tremendous outperformance throughout the session led
by the Private sector heavyweights such as Yes Bank, HDFC Bank
and IndusInd Bank. The index has now reached the
100%
extension target of its previous upmove measured from the
intermediate low on the monthly chart. Further, the time taken for
both the moves too is the same i.e. eight monthly candles.
Generally, such time and price convergence could lead to a
reversal. However, looking at the recent strength and
outperformance, we would now like to take a wait and watch
approach and analyze the probable direction post the momentum
in next couple of trading sessions. Hence, we advise traders to
focus on stock specific moves at the moment.
Key Levels
Support 1 - 24730
Resistance 1 - 25050
Support 2 - 24600
Resistance 2 - 25210
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Technical & Derivatives Report
July 28, 2017
Comments
Nifty Vs OI
The Nifty futures open interest has decreased by 29.52%
BankNifty futures open interest has decreased by 32.40%
as market closed at 10020.55 levels.
The Nifty August future closed with a premium of 42.90
points against the premium of 44.35 points in last
trading session. The September series closed at a
premium of 73.40 points.
The Implied Volatility of at the money options has
decreased from 12.06 to 9.96. At the same time, the
PCR-OI of Nifty has decreased from 1.60 levels to 1.26.
Few of the liquid counters where we have seen high cost
of carry are UJJIVAN, KSCL, GMRINFRA, HDIL and
JPASSOCIAT.
Views
FIIs were net buyers in both cash market segment and
index futures. They bought equities to the tune of Rs.
OI Gainers
1870 cores. While, in index futures they were net buyers
OI
PRICE
SCRIP
OI
PRICE
of Rs. 2097 crores with significant fall in open interest,
CHG. (%)
CHG. (%)
due to expiry.
IBREALEST
43930000
59.80
227.45
0.53
On Index options front, they sold of Rs. 2062 crores with
JSWENERGY
64965500
11.72
67.75
-1.02
fall in open interest. Being start of new series the overall
TATAELXSI
1310400
5.41
1751.25
3.65
build-up is quite scattered, 10000-10500 call and 9700-
JSWSTEEL
52941000
4.97
215.60
-2.44
10100 put options were quite active yesterday and they
SREINFRA
7860000
4.52
120.30
-3.95
added good amount of positions too. Maximum open
MANAPPURAM
23814000
2.72
105.35
-2.18
interest concentration in August series is placed at 10000
DRREDDY
2652000
1.30
2634.70
-3.09
call and 9800 put option.
FORTIS
31962600
1.02
164.80
-1.85
July series was the historical one for our market as the
benchmark index (Nifty) ended the expiry above the
OI Losers
milestone of 10000 marks. Rollover in Nifty (68.41%) is
OI
PRICE
SCRIP
OI
PRICE
lower than its quarterly average of 71.82%. While, the
CHG. (%)
CHG. (%)
market wide rollovers are also on the lower side at
POWERGRID
7868000
-58.15
217.70
-0.39
77.36%. One of the important observation in Nifty is that
INFIBEAM
1282400
-41.81
1353.50
-2.45
the OI (Open interest) at present is lowest since the start
VOLTAS
2650000
-39.80
505.30
1.73
of calendar year 2017, which indicates majority of the
EICHERMOT
90025
-38.18
29105.30
0.01
longs formed the rally seen in last seven series have been
CANBK
9495636
-35.68
354.05
-1.31
lightened. Looking at the overall rollover data, we would
APOLLOHOSP
899500
-35.52
1301.10
0.37
advice traders to remain light in index until we seen
M&M
3627500
-35.51
1404.95
-1.09
relevant fresh positions forming in either direction.
TECHM
8166400
-34.17
379.75
-0.96
Historical Volatility
Put-Call Ratio
SCRIP
HV
SCRIP
PCR-OI
PCR-VOL
JPASSOCIAT
114.75
NIFTY
1.26
1.06
SINTEX
91.17
BANKNIFTY
1.22
1.21
FORTIS
64.08
RELIANCE
0.63
0.64
SREINFRA
63.56
ICICIBANK
0.43
0.34
ITC
60.37
ITC
0.45
0.39
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Technical & Derivatives Report
July 28, 2017
FII Statistics for July 27, 2017
Turnover on July 27, 2017
Open Interest
No. of
Turnover
Change
Detail
Buy
Sell
Net
Instrument
Value
Change
Contracts
( in Cr. )
(%)
Contracts
(in Cr.)
(%)
INDEX
INDEX
10946.94
8849.51
2097.43
196841
15298.30
(41.58)
595581
49580.56
106.09
FUTURES
FUTURES
INDEX
INDEX
83301.47
85363.92
(2062.45)
774457
59071.68
(34.80)
13675327
1180153.61
137.86
OPTIONS
OPTIONS
STOCK
28796.76
29407.24
(610.48)
731066
51437.80
(19.15)
STOCK
FUTURES
2117869
153978.85
37.19
FUTURES
STOCK
STOCK
5193.27
5026.55
166.72
4483
347.96
(96.25)
899548
70370.76
12.96
OPTIONS
OPTIONS
Total
128238.44
128647.22
(408.78)
1706847
126155.74
(33.03)
TOTAL
17288325
1454083.77
109.30
Nifty Spot = 10020.55
Lot Size = 75
Bull-Call Spreads
Bear-Put Spreads
Action
Strike
Price
Risk
Reward
BEP
Action
Strike
Price
Risk
Reward
BEP
Buy
10000
162.10
Buy
10000
101.05
57.15
42.85
10057.15
30.20
69.80
9969.80
Sell
10100
104.95
Sell
9900
70.85
Buy
10000
162.10
Buy
10000
101.05
99.00
101.00
10099.00
51.30
148.70
9948.70
Sell
10200
63.10
Sell
9800
49.75
Buy
10100
104.95
Buy
9900
70.85
41.85
58.15
10141.85
21.10
78.90
9878.90
Sell
10200
63.10
Sell
9800
49.75
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
July 28, 2017
Daily Pivot Levels for Nifty Constituents
Scrips
S2
S1
PIVOT
R1
R2
ACC
1,691
1,712
1,728
1,748
1,765
ADANIPORTS
389
391
393
395
397
AMBUJACEM
262
263
265
266
268
ASIANPAINT
1,129
1,139
1,146
1,156
1,163
AUROPHARMA
722
730
744
753
767
AXISBANK
514
519
527
532
540
BAJAJ-AUTO
2,801
2,821
2,845
2,865
2,889
BANKBARODA
157
159
162
164
167
BPCL
467
472
476
481
485
BHARTIARTL
403
409
418
425
433
INFRATEL
404
408
412
416
420
BOSCHLTD
23,531
23,757
24,126
24,352
24,721
CIPLA
557
563
571
577
585
COALINDIA
250
252
257
260
265
DRREDDY
2,507
2,564
2,643
2,700
2,779
EICHERMOT
27,686
28,394
29,278
29,987
30,871
GAIL
373
376
380
383
387
HCLTECH
859
874
901
917
944
HDFCBANK
1,733
1,761
1,780
1,808
1,827
HDFC
1,603
1,666
1,705
1,767
1,806
HEROMOTOCO
3,638
3,671
3,715
3,748
3,792
HINDALCO
217
219
221
224
226
HINDUNILVR
1,145
1,159
1,176
1,189
1,206
IBULHSGFIN
1,121
1,140
1,172
1,191
1,224
ICICIBANK
300
304
309
313
318
IOC
362
365
371
374
380
INDUSINDBK
1,565
1,586
1,606
1,627
1,647
INFY
943
957
981
994
1,018
ITC
282
285
290
294
299
KOTAKBANK
973
985
995
1,008
1,018
LT
1,161
1,172
1,183
1,194
1,205
LUPIN
1,089
1,099
1,116
1,127
1,143
M&M
1,377
1,388
1,406
1,416
1,434
MARUTI
7,459
7,529
7,606
7,677
7,754
NTPC
163
164
166
167
169
ONGC
160
162
163
165
166
POWERGRID
214
215
217
219
221
RELIANCE
1,562
1,578
1,605
1,621
1,648
SBIN
294
296
298
300
302
SUNPHARMA
559
566
574
580
589
TCS
2,393
2,437
2,511
2,556
2,629
TATAMTRDVR
254
258
265
269
276
TATAMOTORS
428
437
449
457
470
TATAPOWER
81
82
82
83
84
TATASTEEL
552
557
563
567
573
TECHM
369
373
380
384
391
ULTRACEMCO
3,983
4,013
4,061
4,092
4,140
VEDANTA
273
276
280
284
287
WIPRO
284
287
290
293
296
YESBANK
1,719
1,753
1,775
1,809
1,831
ZEEL
524
531
536
544
548
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Technical & Derivatives Report
July 28, 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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