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Derivative Mid-Month Report

Nifty gained 2.60 % to expired at 9173.75 for March series Volatility Index (IndiaVIX), a measure of Market expectation
. Market continued its uptrend and trading at all time high for near-term volatility VIX witnessed corrective action
of 9200. Highest call concentration for Apr series remains at from 13 level to 10. However we expects VIX to increase
9300 followed by 9400 and likely to act as strong resistance further from the current level and some profit booking
zone. On the PE side, highest OI continues to remain at action at higher level. We expect market to consolidate
9000 PE followed by 8900 which could act as a Important further in broader range of 9000 9300 for the month of
supports for any corrective action during the month. April.

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Derivative Mid-Month Report

PCR (Put to Call ratio) is quoting around 0.96 level. The Apr Volatility Skew shows options implied volatility (IV) which
series has witnessed small range of PCR from 0.85 to 1.00. is affected by market sentiment and the supply/demand
This level of PCR suggest the range bound movement of relationship. The below neutral volatility smile chart
underlying with cautious view . However writing in deep suggest balanced distribution which in turn indicates
OTM Index put options indicates strong support at lower overall range bound movement. The lower IV of ATM call
levels. suggest market to find immediate resistance at higher
levels.

PCR Index Options PCR F&O total


1.10 Indicate
Bullishness
1.00

0.90
0.80 Indicate
Bearishness
0.70

0.60
3 Apr

5 Apr

6 Apr

7 Apr
31 Mar

10 Apr

11 Apr

12 Apr

13 Apr

17 Apr

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Derivative Mid-Month Report

Market participants open interest for April series ( Figures in no. of contracts)

AS ON Option Index Option Index


Market participant data indicates that FII have
Index Futures
31st Mar Call Put cautious view in market. They have created hedge
Client -122723 -172790 -150894
positions in Index.
DII -3325 142584 3148
FII 171628 -1046 198864 From the period 31st Mar to 17th APR, FII have
Pro -45580 31252 -51118 created short position in Index futures with buying
in call options as hedging , however significant
buying witnessed in put option contracts.
AS ON Option Index Option Index
Index Futures
17th Apr Call Put
Overall FIIs have created 26,451 short position in
Client -91401 -159587 -165435
Index futures and aggressive addition of 106,741
DII -5729 142584 6030
in put option contracts as on 17th Apr 2017.
FII 145177 23945 305605

Pro -48047 -6942 -146201

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Derivative Mid-Month Report
Market participants open interest for Apr series ( Figures in no. of contracts)
Client DII FII Pro
x 100000

7.63
8

7.06
6.36
7

5.47

5.44
6

4.70
4.41

4.14
5

4.07

3.61
4

2.70

2.57
2.46

2.30
2.18

3
2.05

1.96
1.89

1.86
1.65

1.55
1.38
1.28

1.02
0.98

0.97
0.79
0.74
0.45

0.44

0.42
0.35

0.35
0.34
0.29
0.24

0.22

0.19
1
0.10

0.11
0.09

0.03

0.00
0.00

0.00

0.00

0.00

0.00
0
Index Long Index Short Stock Long Stock Short Index Call Index Put Index Call Index put Stock Call Stock Put Stock Call Stock Put
long Long short short Long long Short Short

In Apr series, FII were have created 26,451 short contracts of Index future and 106,741 long contracts of Index put
option and 24,991 Index call option contracts as on 17th Apr 2017.

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Derivative Mid-Month Report
FII Cash Segment Activity ( Figures in Rs. Crores )
1,000

534

340

143
500
0
(500)

(251)
(262)
(296)

(408)
(581)
(716)
(1,000)

(751)
31 Mar 3 Apr 5 Apr 6 Apr 7 Apr 10 Apr 11 Apr 12 Apr 13 Apr 17 Apr

In Apr expiry, FII were sellers in cash market to the extent of Rs.2248.00 Cr as on 17th Apr 2017.
FII Index Futures Segment Activity ( Figures in Rs. Crores )
1,000
534

340

143

500
0
(500)

(251)
(262)
(296)

(408)
(581)
(716)
(1,000)

(751)
31 Mar 3 Apr 5 Apr 6 Apr 7 Apr 10 Apr 11 Apr 12 Apr 13 Apr 17 Apr

In Apr expiry, FII have net sell position to the extent of Rs. 1878 Cr. in index futures segment as on 17th Apr 2017.
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Derivative Mid-Month Report

Nifty Options Open Interest Distribution Apr Expiry


Call Put

700
x 10000

600

500

400

300

200

100

0
8700

8800

8900

9000

9100

9200

9300

9400

9500

9600
Call Option Put Option

Nifty options OI distribution shows that 9000 put strike has highest OI concentration and may act as good support
for current expiry followed by next support at 8900. Nifty call strike 9300 witnessed highest OI concentration and
may act as resistance for current expiry. We may see further upside till 9500 level if nifty sustains above 9300 for
April expiry.
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Derivative Mid-Month Report
Nifty Weekly Chart
Major indices, Nifty and BankNifty are trading near
overbought territory and may witness some resistance at
higher levels. However derivative data indicates
significant support at lower levels indicating range bound
movement expected till expiry for Apr series.

Nifty

Short Term Trend Resistance at higher level

Banknifty Weekly Chart Support - 8800, 8900

Resistance 9300, 9400

BankNifty

Short Term Trend Resistance at higher level

Support - 21500, 21200

Resistance 22400, 22500

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Derivative Mid-Month Report

HEROMOTOCO Option Strategy for Apr Series


Call Ratio spread

Buy HEROMOTOCO 1 lot 3250 CE @ 45(1 lot)

Sell HEROMOTOCO 2 lots 3300 CE @26 (2 Lots)

Maximum Profit Potential : Rs. 11,000 around 3300

Total premium inflow Rs. 1400.00

Breakeven Point - In this strategy profit will start increasing


Risk: This strategy will starts generating loss above

above 3250. Above this, strategy will generate profit as shown Rs.3360 and need to buy 1 lot Heromotoco future to hedge
entire strategy.
in the payoff Chart.

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Derivative Mid-Month Report
IOC Option Strategy for Apr Series

Bear Put Ratio Spread

Buy IOC 430 PE 1 lot @ 5.10 (1 lot)

Sell IOC 420 PE 2 lots @ 2.80(2 Lots)

Maximum Profit Potential = Rs. 25,000 around 420

Breakeven Point - In this strategy breakeven point is 430.

Risk: below 410 level, this strategy will start generating loss
Below this, strategy will generate profit as shown in the
and need to sell 1 lot of IOC future to hedge the entire

payoff Chart. strategy.

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