August 14, 2020

Derivatives Weekly View

• PRODUCT 1
Nifty has major support near highest Put base of 11000

ICICI Securities – Retail Equity Research

• PRODUCT 2

Research Analysts
Amit Gupta Raj Deepak Singh
amit.gup@icicisecurities.com rajdeepak.singh@icicisecurities.com

Nandish Patel Dipesh Dedhia

nandish.patel@icicisecurities.com dipesh.dedhia@icicisecurities.com
Weekly Recommendation

Weekly future recommendation:

Derivatives Weekly View

Long Cummins India (CUMIND) August future in the range of | 435-438. Target: | 475; Stop Loss: | 413

Rationale

Stocks from the capital goods space have started finding renewed buying interest in the last few sessions. Cummins India, which
exhibited continued underperformance, started showing an up move along with long addition. Cummins has seen significant OI
addition since the July series. It has gradually been moving up. Post its quarterly results, the stock surpassed its major resistance
level of | 440 and is at six-month highs. The open interest in the stock is also at a one-year high indicating expectations of
continued up move in the coming sessions.
Price performance

Cummins India

ICICI Securities – Retail Equity Research

1000

800

600

400

200

0
Aug-18
Sep-18
Oct-18
Nov-18
Dec-18
Jan-19
Feb-19
Mar-19
Apr-19
May-19
Jun-19
Jul-19
Aug-19
Sep-19
Oct-19
Nov-19
Dec-19
Jan-20
Feb-20
Mar-20
Apr-20
May-20
Jun-20
Jul-20
Aug-20
Recommendation follow up
Underlying View Strategy Reco Target Stoploss Profit/ Loss Comment
Bajaj Finserv Bullish Long Futures 6465 6960 6210 -17375 Exit in loss

Source: Bloomberg, ICICI Direct Research

August 14, 2020 2
ICICI Securities Ltd. | Retail Equity Research
Nifty has major support near highest Put base of 11000

• The Nifty entered into some consolidation after a sharp move in the last couple of weeks. The index is likely to consolidate around
11000. The highest Put base for this week as well for the month is at the 11000 strike. Thus, immediate and major support remains at
11000. Only a close below these levels may be considered negative in the ongoing momentum

• The highest Call base is at the 11500 strike followed by 11300 strike. The volatility has touched lows near 20 and closed the week
above 21 levels, indicating limited downsides. However, after continued decline in the volatility, a round of upsides should be
expected

• Most heavyweights are witnessing continued Call writing at ATM and OTM strikes suggesting limited upsides in the near term.
Moreover, continued selling by domestic institutions at higher levels may keep upsides limited in the near term

• Upsides in the banking space seem limited as this space has already remained subdued. We may see stock specific reversals from
this space. Recent buying was seen in underperforming midcap stocks, which may continue to perform in this positive consolidation

ICICI Securities – Retail Equity Research

Nifty options OI build-up
35
Call OI Put OI
30

25

20
OI in Lacs

15

10

0
11000

11100

11300

11400
10800

10900

11200

11500
Source: Bloomberg, ICICI Direct Research
August 14, 2020 ICICI Securities Ltd. | Retail Equity Research 3
Move above 22500 important for recovery to continue...

• The Bank Nifty traded with a positive bias but was unable to surpass its highest Call base of 22500 strike despite multiple
attempts and witnessed sharp decline on Friday to close below 22000 levels. For the coming weekly settlement, the highest Call
base remains at 22500 strike, which should act as immediate and major hurdle, above which fresh move towards 23500 is likely

• Stock specific action continued where most of the private banks supported the index. However, considering heavy Call writing at
ATM and OTM strikes for private sector Banking heavyweights, further up move remains a challenge. Among stocks, IndusInd
Bank and Axis Bank are trading near their highest Call bases and sustainability at current levels may trigger short covering move

• The rupee has underperformed significantly. Despite recent dollar weakness, it was unable to exhibit any major appreciation and
largely hovered around 75 levels. Any gradual appreciation in the rupee should benefit the banking index. We expect it to
outperform the Nifty in the coming sessions

• For the coming week, noteworthy Put base is placed at the ATM 22000 strike. If it remains below these levels then further

ICICI Securities – Retail Equity Research

declines of 800-1000 points cannot be ruled out
Bank Nifty options OI build-up
5 Call OI Put OI
4.5
4
3.5
3
OI in Lacs

2.5
2
1.5
1
0.5
0
20000

20500

21000

22000

23000
21500

22500
Source: Bloomberg, ICICI Direct Research
August 14, 2020 ICICI Securities Ltd. | Retail Equity Research 4
FII activity remains muted as Nifty consolidates…

• Indian markets consolidated around 11300 last week amid continued buying from foreign investors amid volatility seen in global
indices. US markets (S&P 500) reached closer to their life-time highs primarily driven by technology heavyweights. The upside in the
Dollar index remained short lived. It was unable to cross 94 levels despite multiple attempts. We believe any major trend reversal in
the dollar should be considered only above 94

• In India, FIIs remained net buyers for a fourth consecutive week. They bought almost | 18224 crore in Indian equities. However,
more than | 10000 crore worth buying was seen in the primary market. Meanwhile, domestic institutions continued to exit at higher
levels. They sold | 4064 crore in equities last week. For August, net FII investment in equities is around | 26565 crore including
primary markets

• In the F&O space, activity was relatively low on the FII front. While they sold worth | 329 crore in index futures, they also sold to the
tune of | 5484 in stock futures segment during the week. However, FIIs have bought | 2201 crore in index options during the week

Brent traded with positive bias last week amid remained largely in the range of $43-45 levels. Continued dollar weakness and

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•
opening up of economies across the world has triggered some bullish sentiments. However, prevailing pessimism about economic
activity is likely to keep pressure at higher levels

FII/DII buying in equities (in | crore)

FII DII
Date Index Fut Stock Fut Index Opt Cash Cash
7-Aug -63.0 -1310.0 -585.0 1306.0 -439.0
10-Aug 24.0 -641.0 419.0 1272.0 -505.0
11-Aug 106.0 -2240.0 158.0 11771.0 -1416.0
12-Aug -1163.0 -764.0 779.0 3459.0 -940.0
13-Aug 767.0 -529.0 1430.0 416.0 -764.0

Source: Bloomberg, ICICI Direct Research

August 14, 2020 ICICI Securities Ltd. | Retail Equity Research 5
Rupee: Rupee appreciation trend likely to continue towards 74.50

• The US$INR has fallen slightly and closed below 75.0 levels, which
Weekly Pivot Levels
should lead to more appreciation in the rupee towards 74.50 level as
Fu tu re s S2 S1 Pivo t R1 R2
dollar weakness is playing the major role in the currency strength
US$INR (A ug) 74.43 74.67 74.93 75.17 75.43
• Dollar index slid against some major currencies such as the euro, Swiss
US$INR (Sep) 74.67 74.90 75.14 75.37 75.61
franc, and sterling, weighed down by the impasse in Congress about
EURINR (A ug) 87.17 87.77 88.28 88.88 89.39
additional US stimulus, which will help to cope with the Coronavirus
EURINR (Sep) 87.47 88.05 88.56 89.14 89.65
pandemic. It has breached the key support of 94 level after almost two
years. It is declining towards 91 level, which should support the G BPINR (A ug) 96.85 97.34 97.78 98.27 98.71

emerging market currencies and commodities G BPINR (Sep) 96.91 97.50 98.03 98.62 99.15

• The increase in the rupee against the US dollar can also be attributed to JPY INR (A ug) 69.34 69.76 70.41 70.83 71.48

good gains in the domestic equity market along with subdued crude JPY INR (Sep) 69.51 69.95 70.60 71.04 71.69
prices, which are not expected to move higher on lower fuel demand

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due to strict travel restrictions globally

Brent crude… US$INR options build-up

90 Brent Crude 250
Call OI Put OI
80
70 200

In 000's
60
50
150
40

US$INR Options OI
30
100
20
10
50
0
Oct-18

Apr-19

Oct-19

Apr-20
Nov-18
Dec-18

Aug-19
Sep-19

Nov-19
Dec-19

Aug-20
Jan-19

Jun-19

Jan-20

Jun-20
Jul-19

Jul-20
May-19

May-20
Mar-19

Feb-20
Mar-20

0
73.00

73.50

74.00

74.50

75.00

75.50

76.00

76.50
Source: Bloomberg, ICICI Direct Research
August 14, 2020 ICICI Securities Ltd. | Retail Equity Research 6
Forthcoming Results and Events…

Board Meeting Date Symbol Company Purpose

17-Aug-20 BRITANNIA Britannia Industries Limited Fund Raising
17-Aug-20 PETRONET Petronet LNG Limited Financial Results
18-Aug-20 ZEEL Zee Entertainment Enterprises Limted Financial Results

Date & Time Country Data & Ev ents

17-Aug-20
5:20 Japan GDP (QoQ) (Q2)
18-Aug-20
18:00 US Building Permits (Jul)
19-Aug-20
11:30 UK CPI (YoY) (Jul)
14:30 Euro Zone CPI (YoY) (Jul)
20:00 US Crude Oil Inventories

ICICI Securities – Retail Equity Research

23:30 US FOMC Meeting Minutes
20-Aug-20
17:00 Euro Zone ECB Publishes Account of Monetary Policy Meeting
18:00 US Initial Jobless Claims
18:00 US Philadelphia Fed Manufacturing Index (Aug)
21-Aug-20
11:30 UK Retail Sales (MoM) (Jul)
13:00 Euro Zone German Manufacturing PMI (Aug)
14:00 UK Composite PMI
14:00 UK Manufacturing PMI
14:00 UK Services PMI
19:30 US Existing Home Sales (Jul)

Source: Bloomberg, ICICI Direct Research

August 14, 2020 ICICI Securities Ltd. | Retail Equity Research 7
 Pankaj Pandey Head – Research pankaj.pandey@icicisecurities.com
ICICI Direct Research Desk,
ICICI Securities Limited,
1st Floor, Akruti Trade Centre,
Road no.7, MIDC
Andheri (East)
Mumbai – 400 093
research@icicidirect.com

ICICI Securities – Retail Equity Research

Source: Bloomberg, ICICI Direct Research
August 14, 2020 ICICI Securities Ltd. | Retail Equity Research 8
Disclaimer

We /I, Amit Gupta B.E, MBA (Finance), Raj Deepak Singh BE, MBA (Finance), Nandish Patel BCOM, Dipesh Dedhia BCOM, MBA (Finance), 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. Analysts are not registered
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