Académique Documents
Professionnel Documents
Culture Documents
21.7
22.6
22.7
23.2
23.1
23.7
24.3
24.8
23.6
24.4
23.9
23.6
24.0
24.0
27.9
19.7
8000
7900
7800
7700
7600
7500
7400
7300
7200
6-Jan
7-Jan
8-Jan
11-Jan
12-Jan
13-Jan
14-Jan
15-Jan
18-Jan
19-Jan
20-Jan
21-Jan
22-Jan
25-Jan
27-Jan
28-Jan
OI In million
30
25
20
15
10
5
0
Nifty Futures OI
35
30
8.9
10.8
21.5
24.4
31.0
10.5
18.1
32.4
32.2
24.2
17.2
32.8
9.8
11.8
7.2
6.7
4.8
10
23.9
28.4
15
8.4
OI in Lacs
25
20
Spot
Fut
COC
Future OI
PCR OI
PCR Vol
ATM IV
Current
7425
7448
3.88
19740900
0.88
1.02
17.55
Previous
7438
7433
-21.35
27934650
0.83
0.89
18.12
-0.18%
0.21%
-29.33%
Change (%)
S3
S2
S1
Piv
R1
R2
R3
7357
7405
7427
7453
7475
7501
7549
F&O Highlights
The Nifty traded in a tight band amid very high volatility and finally ended the
January series expiry 11 points lower. Nifty February future started with an OI of
1.97 crore with a 24 point premium. India VIX fell 6.1% ending at 17.9
Nifty rolls were at 70.61%, in line with 3M average of 70.21%. Market wide
rollover was at 82.48% vs. in line with 3M average of 80.78%
Highest rollover was observed in IDFC (95%), Jain Irrigation (93%), Divis Lab
(93%), Tata Global (93%) and Bharat Forge (92%). Rollover activities were
marginally low in TVS Motors, Hexaware, Uco Bank, Voltas and MindTree
FIIs sold | 962 crore while DIIs bought | 394 crore in the cash segment. FIIs sold
| 1598 crore in index futures and | 798 crore in index options. In stock futures,
they bought | 387 crore
The highest Put base for the February series is at the 7200 strike with 33 lakh
shares while the highest Call base is at the 7500 strike with 32 lakh shares
Index Outlook
Nifty Future: The Nifty is likely to open negative on the back of mixed global
Put (%)
7200
OI chg %
109.24
IV (%)
19.92
OI chg %
30.24
IV (%)
17.59
7300
85.46
18.82
28.11
16.55
7400
50.46
18.19
51.71
15.60
7500
39.92
17.45
21.95
14.25
7600
27.35
16.59
39.50
12.58
F&O Turnover
90
80
70
60
FII Activities
37.34
26.77 Intraday Recommendation*
i) TVS Motors (TVSSUZ)
(In | crore)
Segment
Buy
Sell
Net
OI (lots)
%Chg
View: Bullish
3335
4933
-1598
196199
-45.1
Index options
31490
32288
-798
796049
-51.4
Target 1: 298.9
-15.3
Stock options
Total
14933
14547
387
1013459
1931
1802
129
258
-99.7
51690
53570
-1880
2005965
-39.1
Research Analysts
Amit Gupta
amit.gup@icicisecurities.com
Nandish Patel
nandish.patel@icicisecurities.com
Oil_Gas
3 M AVG
Index futures
Stock futures
Capital_Goods
22168.77
535154
Power
4,65,017
1,01,48,996
Technology
Stock Options
F&O Total
Rollover (in %)
Automobile
36.39
Banking
417043
Fertilisers
76,47,814
Textile
-7.75
-2.92
Metals
25541.54
70400.75
FMCG
4,87,787
15,48,378
Finance
Stock Futures
Index Options
Cement
Index Futures
Pharma
%Chg
Media
Turnover (Cr)
Realty
50
No. of Contracts
Infrastructure
Instrument
Sectoral Rollover
100
Telecom
Strike
cues. It is likely to trade in the range of 7350-7480. Buy Nifty in the range of
7400-7410 for targets of 7440-7460, stop loss: 7385
Bank Nifty Future: Bank Nifty rollover was in line with expectations. We saw
broader distribution of OI in the index. The 16000 Call strike still has sizeable OI
with high OI in 15000 and 15500 strike Puts. Sell Bank Nifty in the range of
15500-15550, targets: 15400-15200, stop loss: 15610
3M average rolls vs. 1M rollover
83.37
86.5
85.16
86.4
82.70
86.2
81.60
85.8
83.59
85.4
83.09
84.9
78.96
84.6
79.84
84.4
81.67
83.9
78.20
82.9
79.72
80.5
78.54
78.5
75.44
77.9
76.10
77.7
77.42
77.7
77.05
76.3
75.98
76.2
Puts
Rollover %
Calls
Target 2: 301.90
CMP : 673
Strategy Follow-up
Date
28-Jan-16
28-Jan-16
Stock
ITC
VOLTAS
View
Buy
Sell
Strategy
Long Fut
Short Fut
Reco
314.75
279.00
Target
319.50
276.90
SL
312.50
281.30
P&L
7600
-
Comment
Tgt Achieved
Not Initiated
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
Products
Pankaj Pandey
Return Objective
Product wise
allocation
Monthly Derivatives
15%
3-5%
4-7 Stocks
7-10%
10-15%
1 Month
Global Derivatives
5%
2-3%
1 Month
15%
2-3%
5-6 Stocks
7-10%
10-15%
3 Months
Alpha Trader
5%
2-3%
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
10%
2-3%
8-12 Stocks
1-3%
2-5%
1-14 days
10%
3-4%
2-5 Nifty
2-3%
1-14 days
5%
3-4%
2-8 Stocks
3-5%
1-14 days
Currency Futures
5%
3-4%
3-5 Calls
Intraday
Head Research
pankaj.pandey@icicisecurities.com
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.
Page 3