March 02, 2017

RETAIL RESEARCH Daily FNO Overview

Derivative Commentary

Markets could open higher

Markets surged higher on Wednesday after two sessions of losses. There was a buildup of longs as Nifty Fut OI increased by 17,848
contracts or 5.99% and the Nifty March Fut premium expanded to 30.25 points from 29.75 points in the previous session. Total Nifty OI
climbed by 4.38%. Overall OI increased by 15,301crs. to 2,70,079crs.

Nifty IV rose to 13.14% from 13.01% indicating a rise in volatility expectations. The Nifty OI PCR climbed to 1.0 from 0.99 in the previous
session indicating there was more buildup in the Put segment. Buildup of OI was seen in the 9250 and 9150 March Calls. Combined with a
rise in option prices, it indicates call buying at these strikes, implying that traders are expecting further upsides. Put writing was seen in the
8950 and 8450 strikes indicating support at these levels.

Long build up was seen in Tata Steel, Hindalco, M&M and ITC. Short build up was seen in Idea, Eicher Motors, NTPC and Tata Motors. The
most active Fut contracts were Tata Steel, Hindalco, Sun Pharma and Vedl. Sectorally, OI long build up was seen in the Capital Goods,
Metals, Oil and Gas, Pharma and Realty indices. Short build up was seen in the Cement, Power and Telecom indices.

Technically, with the Nifty bouncing back sharply after two sessions of losses, the bulls seem to have made a comeback. Further upsides are
likely once the immediate resistance of 8961 is taken out.

Market Futures and Options Data

Nifty Futures and Options Data

RETAIL RESEARCH
 Sectorally

Stock Futures trading at the widest premium to underlying spot

Symbol Price Price % Spot Basis Basis % Volume

SOUTHBANK 21.05 0.24% 20.85 0.2 0.96% 635
IDFC 53.95 0.65% 53.5 0.45 0.84% 755
IRB 239.25 2.57% 237.35 1.9 0.80% 2,866
SIEMENS 1,226.35 1.18% 1,216.95 9.4 0.77% 1,420
KPIT 139.45 0.58% 138.4 1.05 0.76% 437

Stock Futures trading at the widest discount to underlying spot

Symbol Price Price % Spot Basis Basis % Volume
COALINDIA 306.7 -0.44% 320.2 -13.5 -4.22% 3,702
JUSTDIAL 533.55 0.87% 548.2 -14.65 -2.67% 2,005
UNIONBANK 146.55 0.83% 148.75 -2.2 -1.48% 3,641
HINDZINC 313.7 2.28% 318.2 -4.5 -1.41% 2,178
CANBK 293.2 0.89% 296 -2.8 -0.95% 5,217

Most Active Stock Futures

Symbol Price Price % Volume Volume % OI OI %

TATASTEEL 503.6 3.72% 21,226 205.76% 10,739 7.72%
HINDALCO 189.55 2.32% 20,270 125.20% 14,529 12.27%
SUNPHARMA 697.7 2.55% 13,868 124.18% 40,999 -1.12%
VEDL 266.6 2.60% 13,647 70.12% 10,900 -0.32%

RETAIL RESEARCH
 Top Futures OI Gainers

Symbol Price Price Chg Volume Volume % OI OI %

NTPC 161 -2.85 2,925 73.69% 6,763 18.94%
COLPAL 901.25 -4.2 1,040 3.07% 2,424 15.87%
ACC 1,412.35 -1.25 2,026 -4.48% 3,813 13.31%
EICHERMOT 23,780.95 -446.75 4,659 86.43% 8,619 12.42%
HINDALCO 189.55 4.3 20,270 125.20% 14,529 12.27%

Price Gainers

Symbol Price Price % Volume Volume % OI OI %

IBREALEST 84.95 4.75% 4,706 105.95% 3,974 9.30%
TATAGLOBAL 144.65 4.14% 3,920 300.00% 6,812 2.67%
TATASTEEL 503.6 3.72% 21,226 205.76% 10,739 7.72%
SAIL 63.7 3.66% 4,194 122.97% 3,966 -2.56%
MOTHERSUMI 362.75 3.23% 5,482 438.51% 3,858 3.82%

Top Volume Gainers

Symbol Price Price % Volume Volume % OI OI %

MOTHERSUMI 362.75 3.23% 5,482 438.51% 3,858 3.82%
TATAGLOBAL 144.65 4.14% 3,920 300.00% 6,812 2.67%
DRREDDY 2,935.70 2.48% 10,133 261.38% 14,289 -0.70%
M&M 1,355.35 2.97% 8,229 231.28% 6,936 7.53%
JSWSTEEL 191.05 1.76% 7,057 210.20% 14,210 0.91%

Nifty/Bank Nifty Options Top Volume Changes

Symbol PutCall Strike Price Price % Volume Volume% OI OI% IV

NIFTY P 7200 0.75 -11.80% 2,727 27170.00% 632 0.00% 11.35
NIFTY P 7600 1.6 -8.60% 1,360 400.00% 2,076 51.10% 11.35
NIFTY P 7000 0.65 -13.30% 1,547 284.80% 4,566 3.00% 11.35
NIFTY C 9350 13.85 33.20% 1,657 228.80% 836 22.20% 11.31
NIFTY C 8200 772.65 9.10% 1,224 184.00% 17,026 -5.50% 11.35

Nifty/Bank Nifty Options Top OI Changes

Symbol PutCall Strike Price Price % Volume Volume% OI OI% IV

NIFTY P 8950 113.8 -23.70% 5,457 85.10% 2,958 65.10% 12.54
NIFTY C 9250 28.55 37.90% 1,914 78.50% 937 54.90% 11.55
NIFTY P 7600 1.6 -8.60% 1,360 400.00% 2,076 51.10% 11.35
NIFTY C 9150 52.85 35.50% 2,246 26.50% 798 49.70% 11.81
BANKNIFTY P 20600 264.65 -23.10% 1,013 8.70% 601 39.40% 16.1

RETAIL RESEARCH
 Stock Options - Top Volume Changes

Symbol PutCall Strike Price Price % Volume Volume% OI OI% IV

TATASTEEL C 520 9.95 105.20% 1,920 511.50% 524 77.00% 29.37
DRREDDY C 3000 62.5 44.50% 1,567 447.90% 838 10.40% 27.29
HINDALCO C 195 5.7 29.60% 1,092 422.50% 277 85.90% 37.63
NIFTY P 7600 1.6 -8.60% 1,360 400.00% 2,076 51.10% 11.35
SAIL C 65 2.05 51.90% 1,043 353.50% 219 25.90% 36.7
SUNPHARMA C 700 21.2 37.70% 3,101 343.60% 1,714 7.90% 28.43
SUNPHARMA C 720 13.45 40.80% 1,288 306.30% 515 35.20% 28.73
TATASTEEL C 490 23.75 69.60% 1,595 246.00% 292 -13.40% 28.72
NIFTY C 9350 13.85 33.20% 1,657 228.80% 836 22.20% 11.31
TATASTEEL C 510 13.8 94.40% 1,925 208.50% 417 228.40% 29.5

Stock Options - Top OI Changes

Symbol PutCall Strike Price Price % Volume Volume% OI OI% IV

TATASTEEL C 510 13.8 94.40% 1,925 208.50% 417 228.40% 29.5
TATASTEEL P 480 7 -47.40% 1,835 77.60% 393 106.80% 29.17
HINDALCO C 195 5.7 29.60% 1,092 422.50% 277 85.90% 37.63
DLF C 160 5.1 21.40% 2,249 178.30% 636 83.80% 43.2
TATASTEEL C 520 9.95 105.20% 1,920 511.50% 524 77.00% 29.37

FII Statistics (In Contracts and Crs.)

Buy Qty Buy Amt Sell Qty Sell Amt Net Qty Net Amt OI Qty OI Amt
INDEX FUTURES 23,450 1,625 20,623 1,456 2,827 169 282,986 19,507
INDEX OPTIONS 431,883 32,421 418,106 31,534 13,777 887 813,780 55,221
STOCK FUTURES 95,200 6,788 113,806 8,013 -18,606 -1,224 964,301 65,388
STOCK OPTIONS 38,631 2,941 37,794 2,869 837 72 55,043 3,800
ALL 589,164 43,776 590,329 43,872 -1,165 -96 2,116,110 143,915

RETAIL RESEARCH
Analyst: Subash Gangadharan (subash.gangadharan@hdfcsec.com)

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