Ravi Sharma

RaviSharma@PLIndia.com
91-22-6632 2216 / 2470

DATE: 30-Mar-2015

Key Market Indicators

26-Mar
27-Mar

% Chg.

Key Observations

Nifty

8342.15

8341.40

-0.01

FUT (Apr)

8455.75

8434.90

-0.25

Basis

113.60

93.50

few hours then after saw profit booking and again a bounce back in the second half of

Spread (Fut)

57.95

53.90

the day to close flat. All in all markets witnessed consolidation throughout the day

Nifty OI (Sh)

22.76

22.34

-1.81

Vol (Nifty)

15.24

12.96

-14.98

PCR (OI)

0.86

0.83

is fall of more than 0.40mn shares amidst below average volumes. The market breadth

PCR (Vol)

1.04

0.90

was in favor of losers as there were 66 stocks on the gaining side as against 79 on

IVs (Apr)

13.35

13.25

VIX NIF/CBO*

15-15

15-16

HVs

17.10

17.50

Fut Adv/Dec

39/106

66/79

NIF50 Ad/Dec

10/40

20/30

Week on week Nifty ends below 8350 down by ~2%.

On Friday markets opened on a flat to positive note and remained above parity line for

amidst poor volumes.

Nifty futures saw shed in OI due to profit booking as OI went down by around 2% that

losing side.

Nifty PCR (OI) came off a bit due to selling pressure and closed at 0.83 vs 0.86 levels.
Call writing was seen at 8500 and 8600 strikes as both saw addition of more than
0.4mn shares in OI. On the other hand put writing was seen at 8000 strike which
added more than 0.65mn shares in OI. The maximum call OI in APR stands at 9000 &
8600 strike whereas maximum put OI stands at 8200 & 8400 strike. The total
accumulation of OI is at 8500 strike. The IV (Apr) remained flat at 13% levels.

Market Wide OI (INR. MN)

26-Mar
27-Mar

% Chg.

IDX Nifty

192476

187714

-2.47

- Others

42627

42199

-1.00

Stock Fut.

630495

640036

1.51

Nifty Opt.

687911

746971

8.59

Stock Opt.

48970

68089

39.04

1602479

1685010

5.15

Total

FII as % of Mkt Wide OI (INR. MN)

Mkt OI
FII OI

On a weekly basis, top long OI addition was seen in CENT (14%), WPL (14%), IBREL
(9%), SKSM (3%) & UPL (1%) whereas short OI addition was seen in SHTF (10%),
ARVND (3%), YES (3%), UT (2%) & LICHF (1%). From options data, Nifty may take
support around 8250-8200 levels whereas the upside looks capped around 8550-8600
levels.

Stocks with +ve bias: CENT, HEXW, IDFC, LICHF, LT, SBIN, SKSM, STR, YES.
Stocks with -ve bias: BHARTI, HCLT, HDFC, HUVR, RIL, WPL.
Nifty Future Technical Indicators

Index Fut.

229913

70944

30.86

Index Opt.

746971

236738

31.69

Stock Fut.

640036

267023

41.72

Stock Opt.

68089

5055

7.42

1685010

579759

34.41

Total

F & O Market Turnover (INR. MN)

26-Mar
27-Mar
% Chg.
Index Fut.

404452

185662

-54.10

Stock Fut.

770154

255679

-66.80

Index Opt.

4474982

1321831

-70.46

Stock Opt.

135476

97870

-27.76

Total

5785064

1861042

-67.83

Support
8295

RSI (Avg)
37 (39)

Key Price Points

Resistance
5 DEMA
21 DEMA
8555
8485
8650

Pivot
8425

Key Technical Data

MACD (Avg)
Up. Boll. Band
-116 (-63)
9110

55 DEMA
8650

Lo. Boll. Band

8350

200 SMA
8195

PSAR
8675

FII Statistics
(Rs Mn)
IDX Future
IDX Option
STK Future
STK Option
Total

BUY
48664
251723
159351
6796
466534

FII Flows (Derivatives)

26-Mar
SELL
NET
BUY
70336
-21672
19535
230879
20844
221333
174033
-14681
27915
6281
515
15888
481529
-14995
284671

Securities in Ban Period for 30-Mar-2015: NIL.

*CBOE VIX has a 1 day lag period

27-Mar
SELL
15614
186288
26492
15958
244352

NET
3922
35044
1423
-70
40319

Options
NIFTY Strike Wise OI Concentration
Month
Maximum Call OI
Maximum Put OI
Max OI (Call + Put)
Apr
8600-8500-8800
8200-8400-8300
8500-8600-8400
Total NIFTY Call OI Shares
Total NIFTY Put OI Shares
26-Mar :
42290575

27-Mar :
46885675

Diff :
4595100

26-Mar :
36538000

27-Mar :
38854375

Diff :
2316375

CE

PE

Total OI

OI (No.ofShares)
(Mn)

4
3
2
1
0

8000

8100

8200

8300

8400

8500

8600

8700

8800

8900

Strikes
Source: PL FNO Research

Most active Nifty Options

Options
NIFTY 8600 CE
NIFTY 8300 PE

Expiry
30-Apr-15
30-Apr-15

Vol (INR. MN)

121118
104370

Vol (Shares)
13970450
12436225

NIFTY 8500 CE
NIFTY 8700 CE

30-Apr-15
30-Apr-15

102643
96539

11923975
11041925

NIFTY 8400 PE

30-Apr-15

87551

10265400

LCP (INR)
69.05
87.10

O.I (shares)
2639550
2415300

Chg in OI (shares)
428475
71875

I V.s (%)
12.95
13.85

107.60
42.55

2569775
2225250

716025
278450

13.15
12.91

123.60

2453575

325100

13.34

Most actively traded Stock Options

Top OI Gainers
TATASTEEL Apr 310 CE

OI (shares)
49500

Chg. No. of Shares

49000

% Change
9800.00

LCP (INR)
16.75

CIPLA Apr 640 PE

SBIN Apr 235 PE
WIPRO Apr 630 CE
LT Apr 1860 CE
ICICIBANK Apr 285 PE
TATAMOTORS Apr 490 PE
PFC Apr 270 CE
BATAINDIA Apr 1100 CE
RELIANCE Apr 760 PE

48500
203750
25500
11750
58750
23000
40000
26500
127000

48000
201250
25000
11500
57500
22500
39000
25750
123250

9600.00
8050.00
5000.00
4600.00
4600.00
4500.00
3900.00
3433.33
3286.67

5.70
1.50
15.45
8.20
2.15
3.70
10.65
33.10
4.55

Please note: For the sake of conciseness and brevity, only those stock options, which have had a trading volume of more than Rs. 10mn, have
been considered.

IDX Futures
Futures
Nifty Apr
Nifty May
BANKNift Apr

Vol.
(Shrs)
12420075

O.I (Shrs)

OI Chg (Shrs)

% Chng

LCP(INR)

High / Low

21287100

-550750

-2.52%

8434.90

8484.85 / 8357

-0.25

363850

961225

42625

4.64%

8488.80

8539.45 / 8413.3

-0.29

4036000

2048950

-113925

-5.27%

18277.35

18325 / 17935

1.17

PLFNO View

Volatile

Stock Future Statistics

Top 5 OI gainers (No. of shares)
STOCK

Vol

OI (MN)

OI (%)

UNITECH

69.71

182.78

7.00

IDFC

25.58

65.97

AXISBANK

22.09

SAIL
IDBI

Top 5 OI gainers (%)

LCP

Pr (%)

STOCK

16.55

1.53

SRTRANSFIN

4.29

169.80

3.32

HEXAWARE

29.75

7.38

553.45

0.65

8.27

48.74

3.63

64.85

19.23

37.59

3.81

71.00

Vol

OI (MN)

OI (%)

0.68

0.97

13.60

1098.15

-0.65

15.63

7.96

12.59

314.40

7.25

PFC

4.38

4.49

8.62

267.65

-2.30

-3.35

BHARTIARTL

8.90

9.80

8.51

380.05

-5.76

-2.67

MINDTREE

0.12

0.19

8.37

1355.65

-1.45

LCP

Pr (%)

Top 5 OI Losers (No. of shares)

STOCK

Vol

OI (MN)

OI (%)

LCP

Pr (%)

Top 5 OI Losers (%)

LCP

Pr (%)

STOCK

Vol

OI (MN)

OI (%)

SBIN

45.07

82.79

-4.82

266.60

2.70

RANBAXY

2.29

5.24

-6.19

808.10

-1.47

GMRINFRA

26.87

162.54

-0.98

15.80

1.94

ALBK

6.15

8.17

-5.09

99.30

3.01

HINDALCO

7.69

23.16

-3.19

135.15

3.09

LT

3.99

7.42

-4.31

1693.65

2.32

ONGC

4.00

25.32

-2.80

308.00

0.83

COLPAL

0.13

0.35

-3.96

2014.60

0.27

NHPC

3.17

32.91

-1.67

19.90

0.51

HCLTECH

2.73

9.19

-3.70

969.10

-2.10

Delivery Statistics
Delivery above 10DMA (Price Gainers)
STOCK

LCP

Vol
(MN)

Del

Del %

Delivery above 10DMA (Price Losers)

10
DMA

STOCK

LCP

Vol
(MN)

Del

Del %

10
DMA

61.75

8.93

4.75

53.23

1.93

MINDTREE

1355.65

0.35

0.26

74.43

0.08

1693.65

3.53

2.10

59.68

1.06

BATAINDIA

1093.20

0.62

0.38

61.14

0.14

HEXAWARE

314.40

6.45

1.27

19.67

0.67

SYNDIBANK

101.00

4.76

1.38

28.97

0.55

UPL

440.75

2.75

1.47

53.46

0.84

ZEEL

341.60

3.13

2.08

66.46

0.93

AXISBANK

553.45

11.74

4.95

42.15

2.99

RELINFRA

426.45

2.68

0.78

28.98

0.39

JISLJALEQS
LT

*Please note: Volume/Delivery is the sum of NSE EQ & BSE EQ

Abbreviations : OI Open Interest, IV- Implied Volatility, HV- Historical volatility, Fut. Futures, Vol Volumes, PCR Put Call Ratio, DEMA
Daily Exponential Moving Average, DMA - Daily Moving average, SMA Simple Moving average

Institutional Equity Derivative Desk: 91-22-66322213/16, 66322470/78

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