Dec 07, 2016

RETAIL RESEARCH Daily FNO Overview

Derivative Commentary

Markets could open flat

Markets ended higher on Tuesday for the second consecutive session. A sell off from the highs of the day curbed the gains.
There was unwinding of longs as Nifty Fut OI decreased by 146 contracts or 0.06% and the Nifty Dec Fut premium narrowed to
25.9 points from 36.15 points in the previous session. Total Nifty OI increased by 2.07%. Overall OI increased by 6,590crs. to
2,34,916crs.

Nifty IV dipped to 16.11% from 16.57% while the Nifty OI PCR was steady at 1.03. In the index option segment, maximum
buildup of OI was seen in the 8250 Calls and 7850 Puts indicating this is the expected trading range.

Long build up was seen in Tata Power, HDFC, BPCL and Adani Ports. Short build up was seen in Infratel, Bosch, HCL Tech
and Axis Bank. The most active Fut contracts were Sun TV, SBI, Maruti and Yes Bank. Sectorally, OI long build up was seen in
the Metals, Oil and Gas, Power and Realty indices. Short build up was seen in the FMCG, Media and Telecom indices.

Technically, traders will need to watch if the Nifty can convincingly cross the immediate resistances of 8179 for the uptrend to
continue. Downside supports to watch for any emergence of weakness is at 8100.

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

GMRINFRA 12.1 0.83% 12 0.1 0.83% 172
TORNTPOWER 182.95 4.30% 181.5 1.45 0.80% 632
NHPC 27.45 0.18% 27.25 0.2 0.73% 199
IFCI 23.15 0.22% 23 0.15 0.65% 303
JPASSOCIAT 7.8 0.65% 7.75 0.05 0.65% 139

Stock Futures trading at the widest discount to underlying spot

Symbol Price Price % Spot Basis Basis % Volume
PCJEWELLER 343.8 -1.14% 360.5 -16.7 -4.63% 268
JUSTDIAL 370.2 0.19% 379.4 -9.2 -2.42% 926
PAGEIND 13,263.70 -0.07% 13,350.05 -86.35 -0.65% 236
VOLTAS 304.2 -0.07% 305.55 -1.35 -0.44% 1,864
BHARTIARTL 327.45 0.18% 328.85 -1.4 -0.43% 3,052

Most Active Stock Futures

Symbol Price Price % Volume Volume % OI OI %

SUNTV 476.6 -3.77% 13,994 -16.41% 4,806 2.58%
SBIN 260.45 0.95% 11,963 38.12% 20,361 -3.05%
MARUTI 5,159.30 -1.14% 9,395 2.90% 15,340 -0.31%
YESBANK 1,194.50 0.55% 9,380 7.64% 10,891 -2.31%

RETAIL RESEARCH
 Top Futures OI Gainers

Symbol Price Price Chg Volume Volume % OI OI %

CROMPGREAV 66.6 -2 4,613 53.51% 1,184 25.03%
PNB 134.8 -1.55 4,994 19.56% 6,266 12.27%
TORNTPOWER 182.95 7.55 632 300.00% 813 9.72%
CEATLTD 1,270.00 0.35 4,508 50.22% 1,641 9.62%
NTPC 163.85 0.5 1,485 34.75% 4,078 8.06%

Price Gainers

Symbol Price Price % Volume Volume % OI OI %

BEML 876.6 4.36% 1,529 208.89% 1,369 1.05%
TORNTPOWER 182.95 4.30% 632 300.00% 813 9.72%
TATACHEM 496.95 4.11% 4,571 858.28% 3,200 2.40%
ADANIPOWER 32.35 3.35% 1,899 -18.57% 5,115 1.77%
JSWENERGY 58.7 3.35% 718 96.71% 3,488 2.11%

Top Volume Gainers

Symbol Price Price % Volume Volume % OI OI %

TATACHEM 496.95 4.11% 4,571 858.28% 3,200 2.40%
TORNTPOWER 182.95 4.30% 632 300.00% 813 9.72%
PIDILITIND 638.95 0.38% 668 225.85% 1,223 0.82%
BEML 876.6 4.36% 1,529 208.89% 1,369 1.05%
PTC 75.45 1.96% 483 184.12% 1,804 0.89%

Nifty/Bank Nifty Options Top Volume Changes

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

NIFTY P 8700 533.35 0.10% 1,550 371.10% 7,687 -14.60% 12.67
BANKNIFTY C 21000 5.05 -10.60% 1,395 121.40% 4,635 -11.70% 22.87
NIFTY P 8150 116.65 -5.20% 4,805 103.60% 1,503 15.90% 15.41
NIFTY P 8200 137.65 -5.20% 69,053 61.80% 42,769 29.70% 14.83
NIFTY C 9500 0.8 0.00% 1,862 52.40% 13,667 -0.40% 23.29

Nifty/Bank Nifty Options Top OI Changes

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

NIFTY P 7850 40.7 -11.00% 2,696 -1.30% 1,755 94.40% 18.57
NIFTY C 8250 79.7 -6.40% 8,941 43.80% 4,550 34.70% 14.07
NIFTY P 8200 137.65 -5.20% 69,053 61.80% 42,769 29.70% 14.83
BANKNIFTY C 18600 341.65 -5.70% 1,595 39.40% 819 28.80% 21.6
NIFTY P 8150 116.65 -5.20% 4,805 103.60% 1,503 15.90% 15.41

RETAIL RESEARCH
 Stock Options - Top Volume Changes

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

YESBANK C 1220 26 8.30% 1,268 120.90% 328 10.80% 30.92
MARUTI P 5100 112.4 19.70% 1,404 96.10% 294 -1.70% 27.27
ADANIPOWER C 35 0.7 40.00% 1,198 90.20% 261 96.20% 50.82
TATASTEEL C 420 14.6 14.50% 1,645 79.00% 581 7.00% 34.29
SBIN C 270 5.55 11.00% 1,308 71.40% 1,135 11.40% 36.07
TATASTEEL P 410 10.05 -19.30% 1,062 43.90% 357 23.50% 35.24
MARUTI C 5400 51.25 -24.10% 1,465 38.50% 578 32.90% 26.47
MARUTI P 5000 76.85 18.00% 1,263 25.90% 567 19.90% 28.03
SBIN C 260 9.7 10.90% 1,594 21.50% 1,137 -0.50% 36.35
MARUTI C 5300 79.75 -23.20% 1,546 3.60% 695 42.70% 26.53

Stock Options - Top OI Changes

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

ADANIPOWER C 35 0.7 40.00% 1,198 90.20% 261 96.20% 50.82
MARUTI C 5300 79.75 -23.20% 1,546 3.60% 695 42.70% 26.53
AXISBANK C 470 10.2 -19.10% 1,436 -15.10% 795 35.40% 33.12
SUNTV C 520 8.8 -52.80% 1,279 -1.80% 292 34.60% 49.49
MARUTI C 5400 51.25 -24.10% 1,465 38.50% 578 32.90% 26.47
SUNTV C 500 13.95 -46.60% 1,520 -22.00% 346 32.10% 48.8
TATASTEEL P 410 10.05 -19.30% 1,062 43.90% 357 23.50% 35.24
MARUTI C 5500 32.25 -23.80% 1,089 -11.20% 815 20.90% 26.65
MARUTI P 5000 76.85 18.00% 1,263 25.90% 567 19.90% 28.03
YESBANK C 1200 35.45 9.60% 1,139 2.30% 591 19.20% 31.82

FII Statistics (In Contracts and Crs.)

Buy Qty Buy Amt Sell Qty Sell Amt Net Qty Net Amt OI Qty OI Amt
INDEX FUTURES 24,341 1,552 25,824 1,730 -1,483 -179 175,474 11,070
INDEX OPTIONS 438,969 28,308 431,122 27,838 7,847 470 976,136 60,562
STOCK FUTURES 80,461 5,151 84,623 5,358 -4,162 -207 852,129 51,963
STOCK OPTIONS 35,651 2,438 35,562 2,444 89 -6 62,924 4,029
ALL 579,422 37,449 577,131 37,370 2,291 79 2,066,663 127,624

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

HDFC securities Limited, I Think Techno Campus, Building - B, "Alpha", Office Floor 8, Near Kanjurmarg Station, Opp. Crompton Greaves, Kanjurmarg (East), Mumbai 400 042
Phone: (022) 3075 3400 Fax: (022) 2496 5066 Website: www.hdfcsec.com Email: hdfcsecretailresearch@hdfcsec.com

HDFC Securities Ltd. is a SEBI Registered Research Analyst having registration no. INH000002475.

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