February 17, 2017

RETAIL RESEARCH Daily FNO Overview

Derivative Commentary

Markets could open higher may try to breach above 8820 level..

Markets ended on higher note on Thursday. The Nifty Feb Future closed at 8787.60 up by 0.51% Higher. The Nifty Feb Future
premium felled to 9.60 points

Nifty IV rose to 12.53% from 12.84% indicating a fall in volatility expectations. Long built was seen in Cadila, JP Associates &
Ceat Ltd.

If Nifty sustains above 8760 level then traders could expect positive move in the Nifty towards 8820 followed by 8900 level. If
Nifty trades below 8760 level on the first hour of trade then traders may see down move, which could take Nifty towards 8720
level followed by 8680 level.

Derivative Data

RETAIL RESEARCH
 PCR

Bank Nifty and Nifty OI

symbol price price % spot basis oi oi % iv hv

BANKNIFTY 20,285.40 0.40% 20,243.70 41.7 74,896 -0.63% 17.13 17.39
NIFTY 8,787.60 0.51% 8,778.00 9.6 364,659 -0.36% 12.54 12.73

Stock Futures trading at the widest Premium to underlying spot

symbol price price % spot basis basis % volume

GMRINFRA 14.1 2.17% 14 0.1 0.71% 600
RCOM 33.45 2.29% 33.25 0.2 0.60% 963
HAVELLS 433.6 3.24% 431.3 2.3 0.53% 1,802
IBREALEST 77.35 2.38% 76.95 0.4 0.52% 619
SAIL 60.7 2.71% 60.4 0.3 0.50% 4,805

Stock Futures trading at widest Discount to underlying spot

symbol price price % spot basis basis % volume

UNIONBANK 138.2 -0.47% 141.65 -3.45 -2.44% 771
CANBK 291.35 0.94% 296.05 -4.7 -1.59% 5,327
CESC 847.35 0.87% 853.6 -6.25 -0.73% 1,408
NHPC 30.75 0.82% 30.95 -0.2 -0.65% 623
CONCOR 1,226.30 0.26% 1,233.85 -7.55 -0.61% 780

RETAIL RESEARCH
 Most Active Stock Futures

symbol price price chg volume volume % oi oi %

NIFTY 8,787.60 0.51% 115,225 -37.10% 364,659 -0.36%
INFY 1,010.70 2.99% 31,404 57.60% 57,694 3.44%
TATAMOTORS 445.75 1.83% 30,683 -40.87% 30,669 -0.49%
SBIN 271.35 0.67% 24,420 50.05% 28,561 5.33%
VEDL 263.4 6.02% 22,303 75.23% 12,314 3.24%

Top Futures OI Gainers

symbol price price chg volume volume % oi oi %

SOUTHBANK 20 -2.3 1,070 23.41% 1,648 34.36%
CADILAHC 431.25 73.1 10,278 1415.93% 2,659 23.22%
JPASSOCIAT 13.65 1.55 2,284 261.39% 2,324 21.42%
CEATLTD 1,129.10 38.4 6,278 661.89% 3,608 19.35%
AMARAJABAT 852.25 2.2 1,433 44.75% 2,250 16.52%

Price Gainers

symbol price price % volume volume % oi oi %

CADILAHC 431.25 20.41% 10,278 1415.93% 2,659 23.22%
JPASSOCIAT 13.65 12.81% 2,284 261.39% 2,324 21.42%
INDIACEM 164.1 7.05% 5,782 50.57% 6,094 1.13%
VEDL 263.4 6.02% 22,303 75.23% 12,314 3.24%
BHARATFORG 1,078.40 5.66% 9,207 94.86% 5,966 5.11%

Top Volume Gainers

symbol price price % volume volume % oi oi %

CADILAHC 431.25 20.41% 10,278 1415.93% 2,659 23.22%
CEATLTD 1,129.10 3.52% 6,278 661.89% 3,608 19.35%
WOCKPHARM 686.4 3.94% 3,354 630.72% 5,995 7.90%
DRREDDY 2,931.75 0.46% 15,919 530.96% 10,660 -0.86%
BANKINDIA 125.8 1.94% 3,563 277.04% 4,589 10.10%

Nifty / Bank Nifty Options Top Volume Changes

symbol putcall strike price price % volume volume % oi oi % iv

NIFTY C 9600 0.4 0.00% 1,940 1082.90% 682 0.00% 12.7
NIFTY C 7000 1,783. 3.10% 1,598 321.60% 10,34 -10.90% 3
12.7
BANKNIFTY P 19400 75
7.55 -62.70% 8,208 238.50% 2,3147 17.70% 3
18.1
NIFTY C 8300 486.4 9.60% 1,838 178.90% 10,28 -7.00% 4
12.7
BANKNIFTY P 19300 5
5.65 -63.30% 4,503 158.90% 1,6634 0.40% 3
18.8
8

RETAIL RESEARCH
 Nifty / Bank Nifty Options Top OI Changes

symbol putcall strike price price % volume volume % oi oi % iv

BANKNIFTY P 20300 160.9 -29.00% 13,21 40.90% 5,086 77.80% 13.6
BANKNIFTY P 20100 83.8 -39.40% 21,788 83.10% 5,691 69.30% 9
14.3
BANKNIFTY P 19700 18.95 -59.80% 17,962 48.40% 6,988 66.60% 1
15.9
BANKNIFTY C 20600 38.6 -1.20% 31,830 56.80% 8,294 49.00% 3
12.8
BANKNIFTY C 20700 21.35 -10.10% 29,593 57.90% 14,82 35.50% 12.5
6 9 2
Stock Options - Top Volume Changes

symbol putcall strike price price % volume volume % oi oi % iv

TCS C 2600 4.15 207.40% 1,241 13688.90 37 38.50% 31.6
DRREDDY C 2900 62.25 35.50% 1,089 %
9800.00% 4
18 445.50% 7
27.6
DRREDDY P 2850 18.2 36.30% 1,057 4304.20% 0
24 181.80% 8
30.3
DRREDDY P 2800 11.35 90.80% 3,245 3352.10% 8
58 242.40% 8
33.5
TCS C 2550 7.65 212.20% 1,368 1371.00% 9
58 72.10% 9
28.7
DRREDDY C 3000 19.6 42.60% 1,890 579.90% 5
48 58.60% 6
28
DRREDDY P 2900 30.6 8.10% 1,075 434.80% 7
26 6.80% 27.7
TCS C 2500 14.7 137.10% 3,895 349.80% 9
99 95.50% 5
25.7
INFY C 1040 3.65 247.60% 2,083 348.00% 1,29 35.60% 8
23.9
DRREDDY C 3100 7.35 37.40% 1,032 337.30% 84
53 -9.60% 3
32.9
7 4
Stock Options - Top OI Changes

symbol putcall strike price price % volume volume % oi oi % iv

DRREDDY C 2900 62.25 35.50% 1,08 9800.00% 180 445.50% 27.6
DRREDDY P 2800 11.35 90.80% 3,249 3352.10% 589 242.40% 8
33.5
DRREDDY P 2850 18.2 36.30% 1,055 4304.20% 248 181.80% 9
30.3
INFY P 1000 7.8 -65.40% 2,087 263.70% 713 156.50% 8
22.3
VEDL P 250 1.55 -75.60% 2,324 83.40% 676 118.10% 8
42.4
TCS C 2500 14.7 137.10% 3,892 349.80% 999 95.50% 4
25.7
DLF P 130 0.6 -50.00% 1,615 50.70% 707 89.50% 8
52.3
VEDL P 245 0.95 -76.00% 1,344 65.70% 280 79.50% 6
44.8
2 7

RETAIL RESEARCH
Analyst: Siddharth Deshpande (Siddharth.deshpande@hdfcsec.com)

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RETAIL RESEARCH