Feb 21, 2017

RETAIL RESEARCH Daily FNO Overview

Derivative Commentary

Markets could open higher

Markets ended higher on Monday. There was unwinding of shorts as Nifty Fut OI decreased by 3,033 contracts or 0.82% and the Nifty Feb
Fut closed at a discount of 5.35 points as against a premium of 5.3 points in the previous session. Overall OI increased by 13,177crs. to
3,44,513crs.

Nifty IV rose to 13.23% from 12.0% indicating a rise in volatility expectations. The Nifty OI PCR jumped to 1.15 from 1.11 indicating there
was more buildup in the Put segment. Maximum buildup of OI is currently being seen in the 8900-9000 Calls and 8800-8700 Puts indicating
this is the expected trading range for the near term.

Long build up was seen in Tata Steel, TCS, GAIL and Idea cellular. Short build up was seen in Axis bank, Bosch, ITC and Tech Mah. The most
active Fut contracts were HDFC Bank, TCS, Infy and Sun Pharma. Sectorally, OI long build up was seen in the Banking, infrastructure, Metals
and IT. No short build up was seen in any of the indices.

Technically, if Nifty trades above 8880 level then traders could expect more upsides towards 8890 followed by 8940 level. If Nifty sustains
below 8880 level for first hour of trade then traders may see down move, which could take Nifty towards 8820 level followed by 8760 level.

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

IDFC 53.9 1.03% 53.7 0.2 0.37% 1,445
DCBBANK 153.25 10.93% 152.7 0.55 0.36% 3,967
GRANULES 125.7 -0.83% 125.25 0.45 0.36% 1,170
OIL 328.25 -1.62% 327.15 1.1 0.34% 2,084
PTC 88 1.68% 87.7 0.3 0.34% 776

Stock Futures trading at the widest discount to underlying spot

Symbol Price Price % Spot Basis Basis % Volume
UNIONBANK 140.2 0.90% 141.6 -1.4 -0.99% 1,889
CESC 858.9 0.76% 866.65 -7.75 -0.89% 2,304
JETAIRWAYS 379.6 3.62% 382.15 -2.55 -0.67% 3,843
HDFCBANK 1,402.90 2.36% 1,409.10 -6.2 -0.44% 45,505
CONCOR 1,219.60 0.66% 1,224.65 -5.05 -0.41% 1,317

Most Active Stock Futures

Symbol Price Price % Volume Volume % OI OI %

HDFCBANK 1,402.90 2.36% 45,505 -81.67% 91,211 7.48%
TCS 2,497.80 3.43% 39,528 162.09% 27,954 21.80%
INFY 1,009.85 1.01% 31,993 127.17% 59,474 4.22%
SUNPHARMA 679.3 0.73% 30,417 29.36% 45,616 1.16%

RETAIL RESEARCH
 Top Futures OI Gainers

Symbol Price Price Chg Volume Volume % OI OI %

DCBBANK 153.25 15.1 3,967 583.97% 924 34.30%
EXIDEIND 215.9 5.2 4,116 271.48% 4,486 24.13%
TCS 2,497.80 82.95 39,528 162.09% 27,954 21.80%
RECLTD 150.85 6.45 7,672 200.27% 6,164 18.81%
HAVELLS 414.5 -12.45 6,696 270.56% 2,789 17.73%

Price Gainers

Symbol Price Price % Volume Volume % OI OI %

DCBBANK 153.25 10.93% 3,967 583.97% 924 34.30%
JINDALSTEL 100 7.07% 4,137 760.08% 4,627 -8.54%
GMRINFRA 15.45 6.92% 4,745 154.42% 4,500 9.01%
KTKBANK 122.7 6.10% 6,277 441.12% 3,558 5.48%
JUSTDIAL 483.3 5.09% 7,434 2.61% 3,384 4.44%

Top Volume Gainers

Symbol Price Price % Volume Volume % OI OI %

DABUR 265.05 -0.45% 4,894 793.07% 6,243 10.11%
JINDALSTEL 100 7.07% 4,137 760.08% 4,627 -8.54%
DCBBANK 153.25 10.93% 3,967 583.97% 924 34.30%
JSWSTEEL 188.6 2.08% 19,403 446.10% 15,960 4.40%
KTKBANK 122.7 6.10% 6,277 441.12% 3,558 5.48%

Nifty/Bank Nifty Options Top Volume Changes

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

NIFTY C 7400 1,466.35 2.70% 2,677 44516.70% 2,076 -52.40% 12.55
NIFTY P 7200 0.35 133.30% 1,591 9258.80% 1,492 -2.80% 12.55
NIFTY C 9600 0.25 0.00% 3,162 4764.60% 876 25.70% 12.55
BANKNIFTY C 22000 0.7 -26.30% 13,475 311.50% 2,104 -2.10% 26.5
BANKNIFTY P 18000 1 -39.40% 1,690 116.10% 6,425 -2.70% 17.78

Nifty/Bank Nifty Options Top OI Changes

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

NIFTY P 8850 31.15 -46.70% 54,002 40.00% 17,080 102.60% 13.11
NIFTY P 8900 55.1 -38.90% 1,09,416 -4.70% 19,848 77.30% 12.66
NIFTY C 8950 13.1 36.50% 70,081 4.00% 16,497 60.80% 12.48
BANKNIFTY P 20400 36.55 -61.80% 87,292 -15.90% 14,056 55.00% 16.87
BANKNIFTY P 20600 92.05 -50.90% 40,820 -31.50% 11,188 48.10% 15.86

RETAIL RESEARCH
 Stock Options - Top Volume Changes

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

TATASTEEL P 480 2.8 -79.20% 2,514 2317.30% 754 362.60% 31.84
VEDL P 270 3.8 -57.30% 1,303 2269.10% 236 1715.40% 38.38
SUNTV C 700 12.1 -20.40% 1,571 1967.10% 243 76.10% 47.41
DLF P 145 1.65 -59.80% 1,213 1517.30% 435 188.10% 42.11
HINDALCO C 180 5.25 -11.00% 1,559 1108.50% 306 117.00% 46.45
ADANIENT C 100 0.95 72.70% 1,662 1030.60% 468 0.70% 53.61
TATASTEEL C 510 0.9 125.00% 1,367 604.60% 729 42.70% 40.52
TATASTEEL C 490 4.25 254.20% 4,099 501.90% 1,076 -3.50% 32.18
TCS P 2450 13.8 -74.90% 1,747 465.40% 420 80.30% 36.01
SUNTV P 680 5.9 3.50% 1,671 457.00% 300 96.10% 54.89

Stock Options - Top OI Changes

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

VEDL P 270 3.8 -57.30% 1,303 2269.10% 236 1715.40% 38.38
TATASTEEL P 480 2.8 -79.20% 2,514 2317.30% 754 362.60% 31.84
TATASTEEL P 470 0.8 -88.00% 4,367 396.80% 1,331 229.50% 32.47
DLF P 145 1.65 -59.80% 1,213 1517.30% 435 188.10% 42.11
HDFCBANK P 1380 6.25 -71.30% 1,605 -42.40% 528 123.70% 29.8
VEDL P 265 1.95 -61.80% 1,542 272.50% 426 119.60% 40.56
HINDALCO C 180 5.25 -11.00% 1,559 1108.50% 306 117.00% 46.45
TCS C 2600 12 215.80% 3,245 218.50% 1,215 113.90% 50.11
JUSTDIAL C 480 11.1 161.20% 1,318 219.10% 293 109.30% 53.73
SUNTV P 680 5.9 3.50% 1,671 457.00% 300 96.10% 54.89

FII Statistics (In Contracts and Crs.)

Buy Qty Buy Amt Sell Qty Sell Amt Net Qty Net Amt OI Qty OI Amt
INDEX FUTURES 42,033 2,884 57,767 4,025 -15,734 -1,141 383,312 26,346
INDEX OPTIONS 436,638 31,076 445,798 31,900 -9,160 -824 1,277,512 88,236
STOCK FUTURES 316,983 21,591 308,738 21,051 8,245 540 1,172,544 78,583
STOCK OPTIONS 78,194 6,013 78,441 6,005 -247 8 125,899 8,906
ALL 873,848 61,563 890,744 62,980 -16,896 -1,417 2,959,267 202,070

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.

Disclosure:
We /I, (Subash Gangadharan), (MBA), 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.
Research Analyst or his/her relative or HDFC Securities Ltd. does not have any financial interest in the subject company. Also Research Analyst or his relative or HDFC Securities
Ltd. or its Associate may have beneficial ownership of 1% or more in the subject company at the end of the month immediately preceding the date of publication of the
Research Report. Further Research Analyst or his relative or HDFC Securities Ltd. or its associate does not have any material conflict of interest. Any holding in stock No
Disclaimer:
This report has been prepared by HDFC Securities Ltd and is meant for sole use by the recipient and not for circulation. The information and opinions contained herein have
been compiled or arrived at, based upon information obtained in good faith from sources believed to be reliable. Such information has not been independently verified and no
guaranty, representation of warranty, express or implied, is made as to its accuracy, completeness or correctness. All such information and opinions are subject to change
without notice. This document is for information purposes only. Descriptions of any company or companies or their securities mentioned herein are not intended to be
complete and this document is not, and should not be construed as an offer or solicitation of an offer, to buy or sell any securities or other financial instruments.
This report is not directed to, or intended for display, downloading, printing, reproducing or for distribution to or use by, any person or entity who is a citizen or resident or
located in any locality, state, country or other jurisdiction where such distribution, publication, reproduction, availability or use would be contrary to law or regulation or what
would subject HDFC Securities Ltd or its affiliates to any registration or licensing requirement within such jurisdiction.
If this report is inadvertently send or has reached any individual in such country, especially, USA, the same may be ignored and brought to the attention of the sender. This
document may not be reproduced, distributed or published for any purposes without prior written approval of HDFC Securities Ltd.
Foreign currencies denominated securities, wherever mentioned, are subject to exchange rate fluctuations, which could have an adverse effect on their value or price, or the
income derived from them. In addition, investors in securities such as ADRs, the values of which are influenced by foreign currencies effectively assume currency risk.
It should not be considered to be taken as an offer to sell or a solicitation to buy any security. HDFC Securities Ltd may from time to time solicit from, or perform broking, or
other services for, any company mentioned in this mail and/or its attachments.
HDFC Securities and its affiliated company(ies), their directors and employees may; (a) from time to time, have a long or short position in, and buy or sell the securities of the
company(ies) mentioned herein or (b) be engaged in any other transaction involving such securities and earn brokerage or other compensation or act as a market maker in the
financial instruments of the company(ies) discussed herein or act as an advisor or lender/borrower to such company(ies) or may have any other potential conflict of interests
with respect to any recommendation and other related information and opinions.
HDFC Securities Ltd, its directors, analysts or employees do not take any responsibility, financial or otherwise, of the losses or the damages sustained due to the investments
made or any action taken on basis of this report, including but not restricted to, fluctuation in the prices of shares and bonds, changes in the currency rates, diminution in the
NAVs, reduction in the dividend or income, etc.
HDFC Securities Ltd and other group companies, its directors, associates, employees may have various positions in any of the stocks, securities and financial instruments dealt in
the report, or may make sell or purchase or other deals in these securities from time to time or may deal in other securities of the companies / organizations described in this
report.
HDFC Securities or its associates might have managed or co-managed public offering of securities for the subject company or might have been mandated by the subject
company for any other assignment in the past twelve months.
HDFC Securities or its associates might have received any compensation from the companies mentioned in the report during the period preceding twelve months from the date
of this report for services in respect of managing or co-managing public offerings, corporate finance, investment banking or merchant banking, brokerage services or other
advisory service in a merger or specific transaction in the normal course of business.
HDFC Securities or its analysts did not receive any compensation or other benefits from the companies mentioned in the report or third party in connection with preparation of
the research report. Accordingly, neither HDFC Securities nor Research Analysts have any material conflict of interest at the time of publication of this report. Compensation of
our Research Analysts is not based on any specific merchant banking, investment banking or brokerage service transactions. HDFC Securities may have issued other reports that
are inconsistent with and reach different conclusion from the information presented in this report.
Research entity has not been engaged in market making activity for the subject company. Research analyst has not served as an officer, director or employee of the subject
company. We have not received any compensation/benefits from the subject company or third party in connection with the Research Report.
This report has been prepared by the Retail Research team of HDFC Securities Ltd. The views, opinions, estimates, ratings, target price, entry prices and/or other parameters
mentioned in this document may or may not match or may be contrary with those of the other Research teams (Institutional, PCG) of HDFC Securities Ltd.

RETAIL RESEARCH