Feb 18, 2014

Key Parameters

Current

Previous

Cash Closing

6073.20

6048.35

Jan Future Closing

6091.20

6058.00

Traded Vol. (Cntrcts)

167030

227135

Open Interest ( in Lk.)

162.54

162.05

0.49

-4.51

Change in OI (Lk.)
CoC %

11.95

4.85

6123.85

6091.70

Traded Vol. (Cntrcts)

11584

11851

Open Interest ( in Lk.)

18.90

17.38

Volatility (HV) %

15.71

15.98

Feb Future Closing

PCR OI

1.09

1.07

PCR Vol

1.05

1.04

Call IV (Avg)

14.47

14.71

Put IV (Avg)

17.36

17.17

Put

3.84
2.34
3.13
2.17
0.01
0.62
0.16
0.87
0.12

13.00

2.65

2.60

4.13

0.78

1.09
0.39

0.01

4.01

10
0.00

OpenInterestinLk.

15

Call

NiftyChangeinOption Open Interest

ason170214

0.67

6500

6400

6300

6200

6100

6000

5900

5800

5700

5600

5500

5400

5350

10

Nifty Most Active Call

Strike

Close

6100
6200
6300
6000
6400
6150

No.Of Lots

50.1
15.75
3.55
114.4
1.05
29.45

465769
318621
193293
134631
70551
47737

OI

OI Chng

4849950
6561100
4875450
3077100
2940650
1041150

66800
233700
-217150
-259700
-62100
275250

Nifty fut opened on positive note. The market remained ranged

bounded with stock specific momentum, but recovered in late
afternoon session. Nifty Fut consololidated in nerrow range for major
part of the day and surged in last half an hour of trade to close the
session at days high, gaining 33
points.
Nifty Feb contract premium increased
to 18 points to cash.

India VIX (volatility index) decreased

by
4.98% to 15.83

Banknifty Feb Fut closed at 10342.4,

up
by 105 points and shed 0.42L

shares in OI shows unwinding of some short positions.

Nifty call side shed total 3L in OI, 5800, 5900, 6000 and 6100 strike
of some short positions, while 6200,
shed OI of 18L shows unsinding
and above strike add OI shows addition of some short positions.
Nifty Feb Put side add total 14L in OI, 6200,6100 and 6000 strike add
OI of 13L shares, shows addition of some long positions, while 5900

and 5700 shed OI shows unwinding

of short positions.
call observed to 6200 strike and put
Maximum OI build up in Nifty Feb
side at 6000 strike price followed
by 5900 strike price.
Stock Futures OI increased by 1.45Cr. Shares, about 1.88% of total OI
with increase in average CoC (cost of Carry) shows addition of some

long positions.
Finance and Pharma stocks led the
Among sectoral indices, Power,
recovery in the market, while Telecom, Realty and Metals stocks
closed negative.

Major
Gainers:
TATAPOWER,
DRREDDY,
ICICIBANK,

HEROMOTOCO, IDFC and LUPIN

in frontline.
Major Losers: NMDC, COALINDIA,
DLF, HINDALCO, RELIANCE,

BHEL, and BANKBARODA in frontline

Market Outlook

Nifty fut expected to open flat to negative following mixed global market
cues. Nifty fut may open around 6090 level as indicated by SGXNifty.
Nifty fut may trade widely in the range
of 6040 6130 with higher degree

of swinging action. Nifty fut Resistance at 6110 6125 and support at

6055-6040. As stated earlier, If Nifty Fut sustained above 6080,
possiblity of rally up to 6130 and 6180, on the other side, failing to hold
again up to 5990 and 5965 may not
6040 level, possiblity Nifty fut to drag

be niglacted..

Nifty Most Active Put

Strike
Close
No.Of Lots
OI
OI Chng

6000
27.1
411729
10015300
1299800

6100
61.15
270931
3965500
383500

Most Active Call ( by no. of contracts)

Symbol

TATAMOTORS
RELIANCE
TCS
RELIANCE
ICICIBANK
DLF
MCDOWELL-N
AXISBANK
M&M
INFY

Strike
Pri.

390
820
2200
840
1000
150
2400
1150
920
3700

SBICAP Securities Limited

Closing
Pri

6.75
8.65
20.9
3.15
26.15
1.45
24.15
11.6
22.3
23.25

No.of Lots

2845
2760
2683
2662
2439
2104
2091
1670
1593
1568

Change
in OI

232000
166250
4500
217000
-78250
188000
11125
-16000
-22750
-250

5900
5800
5700
5600

11.05
4.3
1.95
1.05

265133
163777
98066
43100

5780150
5083300
3584100
2028200

Most Active Put ( by no. of contracts)

Strike
Closing
Symbol
No.Of Lots
Pri
Pri.

MCDOWELL-N
2300
41.45
2349
TATAMOTORS
380
4.55
2324
TATASTEEL
RELIANCE
TCS
ICICIBANK
DLF
AXISBANK
INFY
RCOM

-401150
265300
-584850
-78250

Change in
OI

370
800
2150
980
140
1100
3600

6.05
5.8
23.45
8.95
3.15
16.45
14.6

1818
1775
1747
1545
1522
1232
1128

11625
88000
170000
15500
5250
61000
132000
-10000
22125

120

4.05

980

-234000

Price

%
Chg

OI Chng

OI %
Chg

3.95

Capital_Goods

2.83

Textile

2.30

Cement

2.18

Fertilisers

2.09

Pharma

1.95

Media

1.49

Automobile

34.35

3.93

104000

0.37

TATACOMM

M&M

932.1

3.14

141750

7.05

CROMPGREAV

JPPOWER

14.05

2.93

260000

1.00

RCOM

505.95

2.72

984000

7.55
1.06

ADANIPORTS

1.76

1.30

Telecom

Scrip

ADANIPOWER

AUROPHARMA

Realty

1.30

1.14

Others

0.32

Power

Negative Trend

Positive Trend
Scrip

Index

0.19

Finance

0.72

0.05

Oil_Gas

Technology

0.11

FMCG

0.70

0.36

Infrastructure

Metals

0.51

Banking

%chnginOI

SectorwiseChanginOIPositionon170214
5
4
4
3
3
2
2
1
1
0
1
1

151.35

2.58

44000

Derivative Strategy

Price

%
Chg

OI Chng

OI %
Chg

280.85

-9.55

180000

3.55

118.5

-3.85

880000

10.24

118.45

-3.15

2238000

4.98

SAIL

58.35

-1.40

440000

1.66

ASHOKLEY

15.45

-0.30

1530000

3.55

Payoff Profile

Rcom Buy 1 lot of 120 Put @ 3.8 - 3.9

Rcom Sell 1 lot of 115 Put @ 1.8 - 1.9
Initial Margin : aprox Rs.37044
Max Profit Rs.6000
Max loss Rs.4000
BEP : 118

Future Calls

Options Calls

Buy ZEEL Fut @ 260 SL 257 Trgt 266

Buy M&M 920 CE @ 22 SL 20 Trgt 26

Sell CROMPGREAV Fut @ 119 SL 122.5 Trgt 114

Buy ICICIBANK 1000 CE@ 25 SL 22 Trgt 29

Buy TATASTEEL 370 CE @ 10.5 SL 7.9 Trgt 14

SBICAP Securities Limited

Name

Designation

Alpesh Porwal

SVP & Head (Retail)

Ashu Bagri

Dy. Head - Technical Analyst

Jaldeep Vaishnav

Derivatives Analyst

Regd. Office: SBICAP Securities Limited

191, Maker Towers 'F', Cuffe Parade, Mumbai 400 005. I Tel.: 91-22-30273300 (Board) Fax: (022) 30273420

nd

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