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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.
2
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.
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
3
Derivative Mid-Month Report
Market participants open interest for April series ( Figures in no. of contracts)
4
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.
5
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.
6
Derivative Mid-Month Report
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.
7
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
BankNifty
8
Derivative Mid-Month Report
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.
9
Derivative Mid-Month Report
IOC Option Strategy for Apr Series
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
10
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1 nature of such financial interest. No
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research report.
The Research report is issued to the registered clients. The Research Report is based on the facts, figures and information that are considered true, correct, reliable
and accurate. The information is obtained from publicly available media or other sources believed to be reliable. The report is prepared solely for informational
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in the past twelve months. twelve months from such companies.
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5 No
report.
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