Technical Picks | June 25, 2016
Amplified volatility due to BREXIT; we advise against shorting
Sensex (26398) / Nifty (8089)
The concluded week’s opening session on Monday started
Exhibit 1: Nifty Weekly chart
off with a downside gap as the RBI Governor announced his
decision to step down and that he would resign at the end of
his term in September 2016. However, a sharp recovery
followed later during the session and the Nifty was able to
scale itself up from the morning lows to reclaim the 8200
mark on a closing basis. This was followed by two
consecutive range bound sessions, but with a mildly negative
bias. This sideways movement continued during the first half
of Thursday’s session as well, post which the market rallied
sharply mirroring strong cues from the European bourses.
The Nifty closed the session a tad below the 8300 mark. The
concluding session of the week opened with a massive
downside gap in reaction to the overnight development of
Source: Company, Angel Research
Britain voting for an exit from the European Union.
Eventually, due to a smart recovery of more than 2% from
Exhibit 2: Nifty Daily chart
the morning lows, the Nifty ended the eventful week with a
modest cut of a percent over its previous week’s close.
Key Moving Averages:
The ’89-day EMA’ and the ’89-week EMA’ for the
Sensex/Nifty are placed at
25790
/
7890 and
25694 / 7793 levels, respectively.
The ’20-day EMA’ and the ‘20-week EMA’ for the
Sensex/Nifty are placed at
26591
/
8145 and
25826 / 7878 levels, respectively.
Future outlook
Source: Company, Angel Research
The much awaited verdict on ‘BREXIT’ is out and it’s been an
unfavourable one from a global economic perspective;
This is followed by a major support at 7900, which is the
equity markets across the globe reacted accordingly by
daily ’89 EMA’ and hence it can be expected to play the role
undergoing sharp corrections. The Nifty was no exception
of a sheet anchor in the near term. We maintain our positive
either to the broader sell off and as a kneejerk reaction it
stance on the market and continue to advise towards using
breached the important support level of 8000 on the lower
dips as a buying opportunity as long as the Nifty manages to
side. Although we had advised against initiating short
hold the 7900 mark on a closing basis. Traders are advised
positions in our previous weekly report, we had clearly stated
to trade with a proper exit strategy as the volatility seems to
that we are seeing a limited downside (7950 - 7900) even
have increased across global markets. On the higher side,
in case of a negative outcome of the event. This was mainly
immediate resistance is seen at 8188 - 8295 levels.
due to a strong structure on the medium term (weekly)
charts. We have been observing a strong support of the
‘Super Trend’ indicator on the daily chart placed around
8080 - 8060.
For Private Circulation Only
1
Technical Picks | June 25, 2016
Weekly Pivot Levels For Nifty Constituents
SCRIPS
S2
S1
PIVOT
R1
R2
SENSEX
25,307
25,852
26,457
27,002
27,606
NIFTY
7,742
7,915
8,100
8,274
8,459
NIFTY BANK
16,465
16,946
17,427
17,907
18,388
ACC
1,499
1,534
1,557
1,591
1,614
ADANIPORTS
188
195
202
209
217
AMBUJACEM
228
238
244
255
261
ASIANPAINT
950
970
983
1,003
1,017
AUROPHARMA
626
663
705
742
784
AXISBANK
475
493
510
528
546
BAJAJ-AUTO
2,503
2,591
2,638
2,726
2,773
BANKBARODA
135
141
147
153
160
BHEL
108
113
119
124
130
BPCL
976
995
1,013
1,031
1,049
BHARTIARTL
339
347
357
366
375
INFRATEL
276
300
326
350
376
BOSCH
19,992
20,576
21,416
22,000
22,840
CIPLA
444
460
476
492
507
COALINDIA
299
306
312
319
326
DRREDDY
2,940
3,047
3,113
3,219
3,286
EICHERMOT
17,667
18,165
18,498
18,995
19,329
GAIL
346
362
377
392
407
GRASIM
4,190
4,241
4,290
4,341
4,390
HCLTECH
691
716
749
774
807
HDFCBANK
1,122
1,142
1,167
1,187
1,212
HDFC
1,176
1,199
1,224
1,248
1,273
HEROMOTOCO
2,898
2,978
3,035
3,116
3,173
HINDALCO
105
111
118
124
131
HINDUNILVR
834
846
860
872
886
ICICIBANK
210
221
231
242
253
IDEA
93
96
100
103
107
INDUSINDBK
1,019
1,057
1,084
1,123
1,149
INFY
1,135
1,165
1,190
1,220
1,245
ITC
344
349
355
360
367
KOTAKBANK
688
711
734
757
780
LT
1,338
1,384
1,448
1,494
1,557
LUPIN
1,404
1,434
1,464
1,493
1,524
M&M
1,284
1,337
1,367
1,419
1,450
MARUTI
3,725
3,898
4,039
4,212
4,353
NTPC
137
143
149
155
161
ONGC
199
204
212
217
225
POWERGRID
148
152
155
159
162
RELIANCE
899
925
960
986
1,020
SBIN
195
203
211
219
226
SUNPHARMA
717
736
750
769
784
TCS
2,425
2,500
2,589
2,663
2,752
TATAMTRDVR
256
277
301
322
346
TATAMOTORS
385
417
454
486
522
TATAPOWER
66
69
73
76
79
TATASTEEL
274
293
316
335
357
TECHM
461
484
516
539
572
ULTRACEMCO
3,113
3,202
3,288
3,377
3,463
WIPRO
535
545
555
565
575
YESBANK
1,006
1,043
1,079
1,116
1,152
ZEEL
426
437
446
457
466
Technical Research Team
For Private Circulation Only
2
Derivatives Review | June 25, 2016
Despite correction no shorts visible
Nifty spot closed at 8088.60 this week, against a close of 8170.20 last week. The Put-Call Ratio has decreased from 1.11 to 1.07
levels and the annualized Cost of Carry is negative at 1.28%. The Open Interest of Nifty Futures decreased by 8.16%.
Put-Call Ratio Analysis
Implied Volatility Analysis
PCR-OI has decreased from 1.11 to 1.07 levels. In call
Implied Volatility (IV) for NIFTY has increased from 16.44%
options, 8000-8100 strikes added some build-up, followed
to 17.47%. Historical volatility (HV) of NIFTY is at 18.28%
by good amount of unwinding in 8300 call options. While
and that for BANKNIFTY is at 22.98%. Liquid counters
in put options, decent amount of build-up was witness in
having very high HV are HEXAWARE, TATAMOTORS,
7800&7900 strike price. Some unwinding was also visible
MOTHERSUMI, TATASTEEL and JETAIRWAYS. Stocks where
in 8000-8100 strike price. Maximum OI in current series is
HV are on lower side are ZEEL, APOLLOHOSP,
visible in 8300 call and 8000 put options.
SRTRANSFIN, SIEMENS and HEROMOTOCO.
Open Interest Analysis
Cost-of-Carry Analysis
Total open interest of market has increased from
Nifty current month futures closed at a discount of 1.70
`2,42,897/- cr. to `2,56,555/- cr. Stock futures open
points against a premium of 4.20 points to its spot. Next
interest has decreased from `67,360/- cr. to `66,524/- cr.
month future is trading with premium of 29.75 points.
Large cap names which added significant positions last
Liquid counters where CoC is high are ADANIPORTS,
week are INFRATEL, TATAMOTORS, ICICIBANK,
ULTRACEMCO, AMBUJACEM, HINDALCO and HCLTECH.
INDUSINDBK and AXISBANK. On the other hand
Stocks with negative CoC are HDFCBANK, BPCL,
unwinding was visible in counters like ACC, LUPIN,
INDUSINDBK, BHEL and HEROMOTOCO.
AMBUJACEM, BAJAJ-AUTO and HDFC.
Derivative Strategy
Scrip: PNB
CMP : 101.10
Lot Size : 4000
Exercise Date (F & O) :
30th June 2016
View : Mildly Bullish
Strategy: Long Call Ladder
Expected Payoff
Buy/Sell
Qty
Scrip
Strike
Series
Option
Buy/Sell Rate
Closing Price
Expected
Price
Type
(`)
(`)
Profit/Loss
BUY
4000
PNB
100
JUNE
CE
3.50
95
(`1.50)
SELL
4000
PNB
105
JUNE
CE
1.50
100
(`1.50)
SELL
4000
PNB
110
JUNE
CE
0.50
LBEP - `101.50 /-
105
`3.50
UBEP - `113.50 /-
110
`3.50
Max. Risk: Unlimited
Max. Profit: `14,000/-
If PNB continues to move above UBEP.
If PNB closes between `105-110 levels on expiry.
115
(`1.50)
Profit can be booked before expiry if PNB moves in favourable direction.
120
(`6.50)
For Private Circulation Only
3
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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