1daily Derivatives

Daily Derivatives
August 21, 2015

August 21, 2015
Nifty Snapshot & Pivot Points
Nifty Futures OI vs. Price
OI In million
25
15
Fut
COC
Future OI
PCR OI
PCR Vol
Current
8373
8380
4.55
17051575
0.92
0.93
17.06
8600
Previous
8495
8505
5.50
16299375
1.04
1.06
16.13
-1.44%
-1.47%
8400
Change (%)
8200
Pivot levels (AUG)
8000
7800
30-Jul
31-Jul
3-Aug
4-Aug
5-Aug
6-Aug
7-Aug
10-Aug
11-Aug
12-Aug
13-Aug
14-Aug
17-Aug
18-Aug
19-Aug
20-Aug
10
17.1
17.9
17.5
16.7
17.4
17.7
17.7
17.5
17.5
16.9
16.6
16.3
15.9
15.8
16.3
17.1
20
Spot
8800
Nifty Futures OI
Nifty Fut Price (RHS)
Nifty Options OI Distribution

70
Nifty Call Put Concentration (AUG)
60
20
Call
Put
Active Nifty Strike

Call (%)
Strike
Put (%)
8200
OI chg %
-16.64
IV (%)
16.87
OI chg %
-5.20
IV (%)
18.44
8300
22.85
16.90
-7.52
17.83
8400
80.42
16.73
-33.78
17.02
8500
47.34
16.37
-28.85
16.11
8600
11.12
16.19
-22.17
15.20
Turnover (Cr)
%Chg
Stock Futures
Index Options
8,15,623
13,11,793
21531.86
35862.93
1,13,34,545
Stock Options
F&O Total
7,56,898
1,42,18,859
R2
R3
8119
8267
8323
8415
8471
8563
8711
F&O Highlights
After four days of consolidation in a narrow range, the Nifty witnessed selling
pressure throughout the day. Except FMCG, a significant sell-off was seen in
almost all sectors, which led the index to close 123 points lower. Nifty future
premium settled at 7 points. India VIX rose 1.8% and ended at 16.97
FIIs sold | 1007 crore while DIIs bought | 568 crore in the cash segment. FIIs
sold | 1771 crore in index futures and bought | 751 crore in index options. In
stock futures, they bought | 343 crore
The highest Put base is at the 8200 strike with 64 lakh shares while the highest
Call base is at the 8600 strike with 57 lakh shares. The 8400 and 8500 Calls saw
additions of 12.5 and 17.0 lakh shares, respectively. The 8400 and 8300 Put
strikes saw reductions of 17.8 and 4.8 lakh shares, respectively
Index Outlook*
Nifty Future: The Nifty is likely to open negative on the back of weak global
ii) Voltas Ind (VOLTAS)
i) Dr Reddy's Labs (DRREDD)
Sell VOLTAS Aug Fut at 299.00-300.00
60.43
29.05
View: Bullish
View: Bearish
262799
45.66
Target 1: 4298
21289.76
341484
35.09
43.85
Stop Loss: 4242
Stop Loss: 303
Market Lot: 125

CMP : 4300
Source: Company, ICICIdirect.com Research
*Call initiation message will be broadcast on iclick-2-gain
Market Lot: 1000
(In | crore)
Target 2: 4340
Target 1: 296 Target 2: 292

CMP : 297.4
%Chg Open Interest Activity
Sell
Net
OI (lots)
Index futures
1869
3640
-1771
575825
-4.3
Symbol
Index options
18775
18024
751
3059589
2.2
PNB
Stock futures
4501
4158
343
1957808
1.1
ALBK
Stock options
3656
3733
-77
156098
1.5
IOB
1.1
-754
Strategy: Sell Future
Strategy: Buy Future
Buy
29555
R1
Source: NSE, Seediff, ICICIdirect.com Research
Segment
28801
Piv
Buy DRREDD Aug Fut at 4268.00-4272.00
FII Activities
Total
S1
Company while short build-up was seen in PNB, Yes Bank, Axis Bank and Jindal
Steel & Power
OI shedding: We saw short covering in Ceat Ltd, Exide and Adani Ports
whereas long closure was seen in Amtek Auto, IRB and Indiabulls Real Estate
Intraday Recommendation*
No. of Contracts
Index Futures
S2
OI addition: We saw long build-up in ITC, Dr Reddys, Ashok Leyland and Titan
F&O Turnover
Instrument
4.61%
S3
cues. It is likely to trade in the range of 8250-8420. Sell Nifty in the range of
8388-8393 for targets of 8360-8340, stop loss: 8408
Bank Nifty Future: On the back of fresh short additions, the index ended well
below the intermediate levels of 18500. The depreciation in the rupee is likely to
keep banking stocks under pressure, which may move the Bank Nifty towards
18000-17800. Sell Bank Nifty in the range of 18300-18350, targets: 18200-18100,
stop loss: 18430
Stocks Analysis
8900
8800
8700
8600
8500
9 .3
8300
8100
8200
10
8400
30
5 9 .1
2 8 .1
3 3 .7
5 2 .9
2 2 .5
5 7 .5
9 .2
4 5 .2
3 .6
4 6 .9
3 .2
2 5 .1
1 .4
6 3 .6
40
1 .8
2 3 .8
3 .2
O I in La cs
50
Nifty future
ATM IV
5749320
Research Analyst
Amit Gupta
[email protected]
Nandish Patel
[email protected]
ICICI Securities Ltd. | Retail Equity Research
OI
24452000
%Chg
Price
12.53
159
%Chg Symbol
-5.4 AMARAJABAT
OI
%Chg
Price
%Chg
347250
-21.57
1,047
-1.3
-4.3
8978000
11.86
88
-5.8 MINDTREE
310250
-12.67
1,377
13864000
11.52
38
-3.6 UNIONBANK
10710000
-12.20
202
-5.1
INDUSINDBK
5030000
11.14
928
-2.9 IBREALEST
37296000
-11.16
56
-9.3
SOUTHBANK
21870000
10.76
23
1452000
-8.13
1,123
0.1
-1.1 CEATLTD
Strategy Follow-up
Date
20-Aug-15
20-Aug-15
Stock
WOCKHA
HINDAL
View
Buy
Sell
Strategy
Long Fut
Short Fut
Reco
1686.00
88.25
Target
1724.00
86.50
SL
1668.00
90.20
P&L
250
-
Comment
Exit at cost
Not Initiated
Trading Portfolio allocation
It is recommended to spread out the trading corpus in a proportionate manner between the various derivatives research
products.
Please avoid allocating the entire trading corpus to a single stock or a single product segment.
Within each product segment it is advisable to allocate equal amount to each recommendation.
For example: The Daily Derivatives product carries 2 intraday recommendations. It is advisable to allocate equal amount
to each recommendation
Allocation
Max allocation
per stock
Number of Calls
Frontline
Stocks
Mid-cap
stocks
Daily Derivatives
5%
Duration
2-3%
2 Stocks
1%
2-3%
Weekly Derivatives
Intraday
10%
3-5%
2 Stocks
3-5%
5-7%
1 Week
High OI stock
5%
2-3%
2-3 Stocks
5-7%
7-10%
1-2 Weeks
Monthly Derivatives
15%
3-5%
4-7 Stocks
7-10%
10-15%
1 Month
Global Derivatives
5%
2-3%
1-2 index strategy
1 Month
Stock Trader/ Stock in Focus
15%
2-3%
5-6 Stocks
7-10%
10-15%
3 Months
Alpha Trader
5%
2-3%
2-3 Alpha strategy
5%
3 Months
Volatility Insights
5%
2-3%
1-2 Strategy
8-10%
10-15%
1-2 Month
ArbitrageOpportunity
5%
2-3%
2-3 Stocks
> 2.5%
>2.5%
Event Based
Products
Pankaj Pandey
Return Objective
Product wise
allocation
Positional / Daily Futures
10%
2-3%
8-12 Stocks
1-3%
2-5%
1-14 days
Index option & Strategy
10%
3-4%
2-5 Nifty
2-3%
1-14 days
Stock option & Strategy
5%
3-4%
2-8 Stocks
3-5%
1-14 days
Currency Futures
5%
3-4%
3-5 Calls
Intraday
Head Research
[email protected]
ICICIdirect.com Derivatives Desk

ICICI Securities Limited,
1st Floor, Akruti Trade Centre,
Road No 7, MIDC
Andheri (East), Mumbai 400 093
[email protected]
Page 2
Disclaimer
ANALYST CERTIFICATION
We /I, Amit Gupta B.E, MBA (Finance), Nandish Patel Research Analysts, authors and the names subscribed to this report, hereby certify that all of the views expressed in this research report accurately
reflect our views about the subject issuer(s) or securities. We also certify that no part of our compensation was, is, or will be directly or indirectly related to the specific recommendation(s) or view(s) in this
report.
Terms & conditions and other disclosures:

ICICI Securities Limited (ICICI Securities) is a Sebi registered Research Analyst having registration no. INH000000990. ICICI Securities is a full-service, integrated investment banking and is, inter alia,
engaged in the business of stock brokering and distribution of financial products. ICICI Securities is a wholly-owned subsidiary of ICICI Bank which is Indias largest private sector bank and has its various
subsidiaries engaged in businesses of housing finance, asset management, life insurance, general insurance, venture capital fund management, etc. (associates), the details in respect of which are
available on www.icicibank.com.
ICICI Securities is one of the leading merchant bankers/ underwriters of securities and participate in virtually all securities trading markets in India. We and our associates might have investment banking
and other business relationship with a significant percentage of companies covered by our Investment Research Department. ICICI Securities generally prohibits its analysts, persons reporting to analysts
and their relatives from maintaining a financial interest in the securities or derivatives of any companies that the analysts cover.
The information and opinions in this report have been prepared by ICICI Securities and are subject to change without any notice. The report and information contained herein is strictly confidential and
meant solely for the selected recipient and may not be altered in any way, transmitted to, copied or distributed, in part or in whole, to any other person or to the media or reproduced in any form, without
prior written consent of ICICI Securities. While we would endeavour to update the information herein on a reasonable basis, ICICI Securities is under no obligation to update or keep the information
current. Also, there may be regulatory, compliance or other reasons that may prevent ICICI Securities from doing so. Non-rated securities indicate that rating on a particular security has been suspended
temporarily and such suspension is in compliance with applicable regulations and/or ICICI Securities policies, in circumstances where ICICI Securities might be acting in an advisory capacity to this
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This report is based on information obtained from public sources and sources believed to be reliable, but no independent verification has been made nor is its accuracy or completeness guaranteed. This
report and information herein is solely for informational purpose and shall not be used or considered as an offer document or solicitation of offer to buy or sell or subscribe for securities or other financial
instruments. Though disseminated to all the customers simultaneously, not all customers may receive this report at the same time. ICICI Securities will not treat recipients as customers by virtue of their
receiving this report. Nothing in this report constitutes investment, legal, accounting and tax advice or a representation that any investment or strategy is suitable or appropriate to your specific
circumstances. The securities discussed and opinions expressed in this report may not be suitable for all investors, who must make their own investment decisions, based on their own investment
objectives, financial positions and needs of specific recipient. This may not be taken in substitution for the exercise of independent judgment by any recipient. The recipient should independently evaluate
the investment risks. The value and return on investment may vary because of changes in interest rates, foreign exchange rates or any other reason. ICICI Securities accepts no liabilities whatsoever for
any loss or damage of any kind arising out of the use of this report. Past performance is not necessarily a guide to future performance. Investors are advised to see Risk Disclosure Document to
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change without notice.
ICICI Securities or its associates might have managed or co-managed public offering of securities for the subject company or might have been mandated by the subject company for any other assignment
in the past twelve months.
ICICI Securities or its associates might have received any compensation from the companies mentioned in the report during the period preceding twelve months from the date of this report for services in
respect of managing or co-managing public offerings, corporate finance, investment banking or merchant banking, brokerage services or other advisory service in a merger or specific transaction.
ICICI Securities or its associates might have received any compensation for products or services other than investment banking or merchant banking or brokerage services from the companies mentioned
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ICICI Securities encourages independence in research report preparation and strives to minimize conflict in preparation of research report. ICICI Securities or its analysts did not receive any compensation
or other benefits from the companies mentioned in the report or third party in connection with preparation of the research report. Accordingly, neither ICICI Securities nor Research Analysts have any
material conflict of interest at the time of publication of this report.
It is confirmed that Amit Gupta B.E, MBA (Finance), Nandish Patel, Research Analysts of this report have not received any compensation from the companies mentioned in the report in the preceding
twelve months.
Compensation of our Research Analysts is not based on any specific merchant banking, investment banking or brokerage service transactions.
ICICI Securities or its subsidiaries collectively or Research Analysts do not own 1% or more of the equity securities of the Company mentioned in the report as of the last day of the month preceding the
publication of the research report.
Since associates of ICICI Securities are engaged in various financial service businesses, they might have financial interests or beneficial ownership in various companies including the subject
company/companies mentioned in this report.
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Daily Derivatives

August 21, 2015

Nifty Futures OI vs. Price

Pivot levels (AUG)

Nifty Fut Price (RHS)

Nifty Options OI Distribution

Nifty Call Put Concentration (AUG)

Active Nifty Strike

ii) Voltas Ind (VOLTAS)

i) Dr Reddy's Labs (DRREDD)

Sell VOLTAS Aug Fut at 299.00-300.00

Stop Loss: 4242

Stop Loss: 303

Market Lot: 125

Market Lot: 1000

Target 1: 296 Target 2: 292

%Chg Open Interest Activity

Strategy: Sell Future

Strategy: Buy Future

Source: NSE, Seediff, ICICIdirect.com Research

Buy DRREDD Aug Fut at 4268.00-4272.00

ICICI Securities Ltd. | Retail Equity Research

Trading Portfolio allocation

1-2 index strategy

Stock Trader/ Stock in Focus

2-3 Alpha strategy

Positional / Daily Futures

Index option & Strategy

Stock option & Strategy

ICICIdirect.com Derivatives Desk

ICICI Securities Ltd. | Retail Equity Research

Terms & conditions and other disclosures:

ICICI Securities Ltd. | Retail Equity Research

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