Weekly Derivatives Strategiest Note

Weekly Data Feeler:

 

Ø  OI of Nifty future increased by 6.51% with a rise in price by 5.00% from the previous week, indicating that overall built up of long position was seen in the market.

Ø  Implied Volatility of Nifty (which is calculated from the movement of option prices) fell down sharply from 32.22 to 25 levels and stood at weekly lower levels.

Ø  Put Call Ratio based on Open Interest of Nifty moved up from 1.38 to 1.56 levels.

Ø  HV (Historical Volatility) of Nifty slightly moved down from 33.02 to 32.33 levels.

Ø  Maximum Put OI at 4800 and Call OI at 5200 strike.

 

On Option front, maximum Put OI is at 4800 followed by 5000 and 4900 strike. Maximum Call OI is at 5200 and fresh writing activity seen at 5300 strike prices. As of now, OI concentration suggests a broader market range of 4800 to 5200 levels, so market may face selling pressure near upper band of the current range. Nifty future has strong up side cap around 5200 levels, if it sustains above 5200 mark, then unwinding in 5200 and 5300 calls may push market to higher levels and it may head towards 5350-5400 levels, but if it fails to hold 5150 levels then momentum may fizzle out and market may again go down towards 5050-5000 levels.

 

If Nifty future fails to hold 5150 levels unwinding of long position may take market to its middle area of 5000 strike. If Nifty future fails to hold 5150 levels then one can initiate bear put spread to get the benefit of down side movement. On contrary, if it manages to cross and hold 5200 levels then one can initiate Ratio Bull Call spread strategy, by buying one lots of 5200 strike and selling two lots of 5400 strike.

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Derivatives Strategist 17 October 2011

Data Feeler:

Nifty future has immediate hurdle around 5170 levels if market surpasses these levels and sustain above these levels then rally may be continued towards 5230 whereas on downside sustaining below 5100 levels selling pressure may get intensified towards 5050 or below levels. On option front maximum PUT OI is intact at 4800 strike price followed by 4700 whereas maximum CALL OI lies at 5200 strike price suggesting Nifty has major hurdle around 5200 levels. IVs are decreasing continuously since last week indicating the Volatility are cooling off in the market due to less participation and traders are not willing to take major risk.. Nifty on weekly basis has seen built up on Long front with addition of 6.5% OI along with weekly price gain of 5%.

The PCR OI of Nifty moved up from 1.48 to 1.56 levels. HV of Nifty moved slightly down from 32.69 to 32.33 levels and IV moved down from 27.45 to 25 levels.

Nifty October future closed positive at 5143.35 levels. Nifty future saw decrease in open interest with rise in prices by 2.62%. Market witnessed buying interest in Banking, IT Tech, Oil & Gas, FMCG and Auto sector stocks whereas selling pressure was seen in Realty, Metal and Capital Goods sector stocks. Nifty October future closed at premium of 11 points as compare to previous trading day's discount of 4 points.

The F&O segment of the market saw decrease in turnover as compared to previous trading day. The market turnover decreased by 8.06% in terms of number of contracts traded vis-à-vis previous trading day and in terms of rupees decreased by 7.88%.

Derivative Calls:

ESSAR OIL :Counter looks strong with buying seen at lower levels and ready for upside rally from current levels. Looking at the OI data it has witnessed short covering rally with built up of -1.86%. Sustaining above 83 levels will lead to further short covering followed by fresh built up on long side. One can initiate buy with stop loss below 79 levels and for the target of 87 levels in coming days.


MARUTI :

Counter has given breakdown after a long consolidation phase and looks weak. Till the time it sustains below 1060 levels selling pressure will remain continue and sustaining below 1035 levels it may head towards 990 or below levels. One can initiate sell with stop loss above 1065 levels and for the target of 990 levels in coming days.

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First Morning Technical Call_17102011

Market Outlook:

S&P CNX Nifty has made lower low and higher high making a engulfing candle, But Nifty managed just 5points higher than previous day. Market is seeing supply around 5100-5140 so around 5170 more supply is possible and focus could shift to midcap and small cap which is underperforming market. Nifty for the day 5070 is important for 5170 & 5230 on higher side. RELIANCE results have come below our expectation and after almost 8% rally last week on result expectation profit booking can be high. Nifty first time crossed 5000 in 2007, we saw 5000 in 2008, 2009, 2010 and now in 2011 so in real terms booking regular profit is more important and being in right stock @ right time. RELIANCE, INFY and L&T are investors most liked stock but leadership is changing and latest OUTLOOK profit article on L&T shows insider selling from peak levels, and stock has made Head & Shoulder pattern and near term target for the stock comes to around Rs.940.

 

§  Sensex- Sensex holding 16850 now can target 17230 & 17360 on higher level, 100DMA 17541 would be a major resistance on higher side where profit booking is possible as rally from 15745-17112 has been sharp and many investor who are struck @ higher level would reduce position. RIL, HDFC and Tech stocks are to be watched and range for Sensex 16500-17500 could be possible for the week.

 

Technical Calls:

 ICICIBANK-Rs.890 Stock has made positive island, which means after Gap-down (866-860) on 03/Oct and latter it was followed by Gap-up(863.35-866) and till Rs.863 is not breached on the downside chance of stock giving 6-8% return is higher. Stock recovery has been V-shape, above Rs.905 the move would be faster.

 

ABAN-Rs.405 Stock after making double bottom formation around Rs.331 in daily, weekly and monthly has shown good strength, closing around 10weeks high. Stock has gained 19% in this settlement which would attract more short covering going forward.

 

 Technical View: RELIANCE-866 Post results -RIL has gained 7.9% week that ended on expectation of result, now stock holding Rs.840 this week is important. Results were inline are slightly below market expectation, no major positive trigger as KG-D6 basin production ramp up would take 2-3years, PETCEM & Refinery margin may cool off due to falling global demand. Study says RIL in last 8quater after results has corrected 9-20% and average being 13% and after INFY Gap-up of 5% where many traders are trapped short now many are long in RIL and if stock fails to hold Rs.875 then correction can be big.

 

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