September 5, 2013

Daily Derivative
ICICI Securities Ltd. | Retail Equity Research




Nifty Snapshot & Pivot Points
Spot Fut COC Tot Fut OI PCR OI PCR Vol ATM IV
Current 5448 5458 3.03 20296750 1.26 1.16 31.65
Previous 5341 5345 0.92 20334150 1.20 1.19 31.10
Change (%) 2.00% 2.12% - -0.18% - - -
Pivot levels (Sept) S3 S2 S1 Piv R1 R2 R3
Nifty future 5105 5261 5360 5417 5516 5574 5730
Source: NSE, Seediff, ICICIdirect.com Research
F&O Highlights
Post the opening sessions negative action, the Nifty witnessed a sizeable rally
in the days trade. It closed strongly near the days high at 5458, up 113 points
for the day. India VIX dipped nearly 5% and at the end closed at 31.11
FIIs bought | 173 crore in the cash segment. In index futures, FIIs were net
buyers to the tune of | 648 crore while in index options they sold options
worth | 206 crore. In stock, FIIs bought | 318 crore
Highest Put base stays at the 5300 Put strike with over 74 lakh shares. Highest
Call base is seen at 5500 Call strike with over 41 lakh shares. The 5000, 5100,
5300 & 5400 Put strikes witnessed significant OI addition. On the other hand,
5500, 5700 & 5800 Call strikes saw addition of nearly 3.5 lakh shares each
Index Outlook
Nifty: The Nifty is likely to open positive with a gap up on the back of positive
global cues. The index is likely to trade in the range of 5450-5560. The trading
strategy would be to create longs near 5475-5480 for targets of 5510 and 5530.
On the other hand, one can enter shorts if it meets resistance at 5550
Bank Nifty: Immediate support for the banking index is seen at 8500. If it
sustains above the same that is likely to allow it to test back the hurdle of 9000-
9300 in the near future
Stock Analysis
OI addition: We saw long build-up in Dabur, Tata Motors, Lupin, Aurobindo
Pharma and Biocon while short build-up was seen in Tata Chemicals, Zee
Entertainment, Hexaware and ITC
OI shedding: We saw short covering in Godrej Industries, Hindustan Zinc, Idea
and Arvind while long closure was seen in Indian Hotels
Intraday Strategy
i) Siemens (SIEMEN)
Buy SIEMEN Sep Fut in rng of 433-434
View: Bullish
Strategy: Buy Future
Target 1 : 440 Target 2 : 447
Stop Loss: 426
Market Lot: 500 Market Lot: 250
Target 1 : 1384 Target 2 : 1373
Stop Loss: 1412
i) Tech Mahindra (TECMAH)
Sell TECMAH Sep Fut in rng of 1397-1398
View: Bearish
Strategy: Sell Future
Source: Company, ICICIdirect.com Research
"Initiate the stock recommendation within 0.3% of the stated price range"
Open Interest Activity
Symbol OI(Lots) %Chg Price %Chg Symbol OI(Lots) %Chg Price %Chg
SIEMENS 872500 24.02 431.7 2.57 GODREJIND 601000 -14.02 255.1 4.19
AXISBANK 12157250 16.12 807.4 2.61 HINDZINC 2226000 -9.07 122.8 3.89
DABUR 2564000 15.39 171.4 4.10 IDEA 9404000 -6.74 159.0 5.20
HEXAWARE 6692000 11.68 129.5 -2.12 ARVIND 2672000 -4.98 80.5 2.03
ZEEL 4513000 11.40 220.4 -1.41 DENABANK 11708000 -4.72 44.4 2.78
Strategy follow-up
Date Stock View Strategy Reco Target SL Profit/Loss
Comment
4-Sep-13 CAIIND Buy Long Fut 326.20 334.00 322.90 7800 Target Achvd
4-Sep-13 JINSP Sell Short Fut 217.90 214.50 221.00 -3100 SL Triggered

Nifty Futures OI vs. Price
2
0
.
6
2
2
.
8
2
5
.
2
2
9
.
2
2
8
.
8
2
9
.
1
2
9
.
8
3
0
.
8
3
1
.
8
1
6
.
1
1
8
.
9
1
9
.
7
2
0
.
3
2
0
.
3
10
13
16
19
22
25
28
31
34
1
6
-
A
u
g
1
9
-
A
u
g
2
0
-
A
u
g
2
1
-
A
u
g
2
2
-
A
u
g
2
3
-
A
u
g
2
6
-
A
u
g
2
7
-
A
u
g
2
8
-
A
u
g
2
9
-
A
u
g
3
0
-
A
u
g
2
-
S
e
p
3
-
S
e
p
4
-
S
e
p
O
I

i
n

L
a
c
s

5200
5305
5410
5515
5620
Nifty Futures OI Nifty Fut Price (RHS)

Nifty Options OI Distribution
Nifty Call Put Concentration (Sept)
1
2
.
0
1
2
.
4
1
7
.
1
3
1
.
9
4
1
.
9
3
4
.
4
4
1
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0
3
6
.
4
4
7
.
6
7
4
.
3
4
2
.
8
2
5
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4
9
.
1
9
.
1
-10
10
30
50
70
5100 5200 5300 5400 5500 5600 5700
S
h
a
r
e
s

i
n

L
a
c
s
CALL OI PUT OI

Active Nifty Strike
Call (%) Put (%)
Strike OI chg % IV (%) OI chg % IV (%)
5200 -5.70 33.42 5.17 34.93
5300 -1.74 31.48 8.66 32.81
5400 3.40 29.75 10.63 30.64
5500 8.92 28.14 0.10 28.55
5600 -2.65 26.78 -5.78 26.80

F&O Turnover
Instrument No. of Contracts Turnover (Cr) %Chg
Index Futures 694743 18085.92 -1.58
Stock Futures
608109 14805.8 -19.00
Index Options 3842029 103961.67 -6.70
Stock Options
245257 6400.76 -10.03
F&O Total 5390138 143254.15 -7.69

FII Activities (In crore)
Segment Buy Sell Net OI (lots) %Chg
Index futures
3924 3276 648 391254 -6.8
Index options 19610 19816 -206 1927592 5.6
Stock futures
2139 1821 318 1064580 2.0
Stock options 650 629 21 39637 14.6
Total 26323 25542 781 3423063 3.0

Analyst
Amit Gupta
amit.gup@icicisecurities.com
Rohit Gokhale
rohit.gokhale@icicisecurities.com
Azeem Ahmad
azeem.ahmad@icicisecurities.com
Raj Deepak Singh
rajdeepak.singh@icicisecurities.com


September 5, 2013
Page 2
ICICI Securities Ltd. | Retail Equity Research



































Derivatives research product basket
Directional Non-directional Quant products
Long build up/Short covering Futures Theta & Vega strategies Pair trading
Short build up Futures Delta differential strategy Enhanced Basket
High OI stocks delivery product Option indicators analysis VIX Analyser
Plain vanilla options Gamma neutral delta neutral strategy Quant Picks
Deep Value Strategy Reverse, Synthetic options & Situational arbitrage Volatility Insights
Hybrid Strategies Index/Stocks Opportunity Matrix
Rollover week product ( Long/Short rollover stocks) Calendar Spreads
VWAP(expiry day product) Ratio Spreads



Pankaj Pandey Head Research pankaj.pandey@icicisecurities.com
ICICIdirect.com Derivatives Desk

ICICI Securities Limited,
1st Floor, Akruti Trade Centre,
Road No 7, MIDC
Andheri (East), Mumbai 400 093

research@icicidirect.com







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