23 Sept 2016

RETAIL RESEARCH

Weekly Options Report

For the week ended 21 Sept 2016

Weekly Perspective This report examines the options data on a weekly basis. It analyzes the changes in PCR, IV, Open Interest in Nifty and
Stock options trying to identify pockets of strengths and weaknesses in the process.
Options Open Interest Activity Overall
As on 210916 (No. of shares (000s)
Type of
Option
Nifty
Option
Stock
Option
Total
Option

As on 140916 (No. of shares (000s)

% Change w-o-w

Call Option

Put Option

Total

Call Option

Put Option

Total

Call
Option

Put
Option

Total

81,967

91,551

1,73,518

77,492

83,127

1,60,619

5.77

10.13

8.03

10,08,017

4,48,686

14,56,703

8,97,726

4,11,446

13,09,172

12.29

9.05

11.27

10,89,984

5,40,237

16,30,221

9,75,218

4,94,573

14,69,791

11.77

9.23

10.92

The week ended Sept 21, 2016 saw the Nifty gradually moving higher from a low of 8,704. The Nifty gained 0.57% W-o-W. Total option OI
increased by 10.92% W-o-W. Examining the table above, we notice that the build up of positions was more in the Stock option segment.
While the stock option OI increased by 11.27% W-o-W, the Nifty option OI rose by 8.03% over the same period. This indicates that traders
preferred to bet on individual stocks rather than the index probably due to uncertainty in market direction of Nifty.
The table below shows the stock options that witnessed the maximum increase in OI W-o-W. Glenmark 940 Puts stole the show as there was
heavy build up of OI. Combined with the fall in the option prices, it indicates heavy put writing and strong support at 940. DLF 115 puts also
witnessed heavy put writing indicating strong support at the 115 levels. Axis bank 570 Calls and Bharat Fin 980 Calls were the other options
that witnessed heavy build up of OI.
Stock Options with the biggest OI build up W-o-W

Option

Price

Price
%

spot

spot%

volume

volume%

oi

oi%

iv

iv%

GLENMARK 940 P Sep

10.0

-53.9

945.8

1.7

99.0

0.0

48300.0

6800.0

25.4

-4.7

DLF 115 P Sep

0.1

0.0

155.9

1.4

60.0

0.0

305000.0

6000.0

51.2

0.2

DLF 105 P Sep

0.1

0.0

155.9

1.4

60.0

0.0

305000.0

6000.0

51.2

0.2

AXISBANK 570 C Sep

6.5

-77.8

557.5

-5.8

3851.0

128267.0

1179600.0

3176.7

38.3

16.1

SRF 1850 C Sep

15.1

3000

1787.9

10.1

179.0

0.0

32500.0

3150.0

40.5

9.4

AXISBANK 550 C Sep

16.8

-61.2

557.5

-5.8

447.0

0.0

368400.0

2690.9

41.0

5.2

AXISBANK 560 C Sep

10.7

-70.1

557.5

-5.8

1611.0

11407.0

631200.0

2290.9

38.6

-15.4

CEATLTD 1180 P Sep

22.0

-13.9

1183.2

0.3

148.0

1750.0

28700.0

1266.7

36.5

36.5

BHARATFIN 980 C Sep

0.4

14.3

847.2

4.3

83.0

0.0

22000.0

1000.0

54.2

-4.0

RELIANCE 1110 P Sep

15.4

-36.3

1102.8

1.3

335.0

1761.0

74000.0

957.1

20.1

2.2

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Nifty Index Option Activity
Active Near Month Strikes Based on OI Addition (In Contracts)
Strikes

Call OI

% chg Call OI

Strikes

Put OI

% chg Put OI

9,000

84,350

8.17

7,800

21,056

45.35

8,900

74,094

8.02

7,500

33,981

38.66

8,800

61,368

7.25

8,700

71,839

11.94

Active Near Month Strikes Based on OI Unwinding (In Contracts)

Strikes

Call OI

% chg Call OI

Strikes

Put OI

% chg Put OI

8,500

10,834

-14.90

8,400

43,636

-17.09

8,600

18,443

-11.84

8,100

19,518

-3.03

9,200

36,455

-3.88

9,500

9,661

-2.38

Nifty OI Build Up across strikes

In the call segment, the highest OI build up was seen in the 9000 and 8900 call strikes (see the first table above). Maximum call OI is
currently being seen in the 8900 and 9000 call strikes (See the blue bar in the chart above) indicating strong resistance at these levels.
Unwinding was seen in the 8500 and 8600 call strikes as the markets moved higher.
In the put segment, maximum build up was seen in the 7800 and 7500 strikes. Maximum Put OI is currently being seen in the 8600 and 8500
put strikes (See the red bar in the chart above) indicating strong support at the 8500 levels for the near term.

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Derivative Sentiment and Volatility indicators
Nifty Vs. Nifty OI PCR as on September 21, 2016

Nifty IV Vs. HV as on September 21, 2016

Volatility expectations increased as the Nifty IV climbed to 16% from 15% in the previous week. The HV dipped to 13% from 15% indicating
that options have become more expensive.
The Nifty OI PCR rose sharply to 1.12 from 1.09 in the previous week, indicating more puts were built in the market. Given that the OI PCR is
in an uptrend and not yet overbought, this is a bullish signal for the markets.

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Liquid Options that have become expensive W-o-W
Stock

IV

HV

Current IV/HV

Last week IV/HV

Diff in ratio

DIVISLAB

37.50

24.62

1.52

1.06

0.46

MCLEODRUSS

38.89

31.61

1.23

0.85

0.38

IGL

35.58

32.70

1.09

0.77

0.32

HEXAWARE

44.24

30.19

1.47

1.14

0.32

MRF

42.75

42.75

1.00

0.68

0.32

DRREDDY

27.96

23.92

1.17

0.86

0.31

IRB

49.44

45.09

1.10

0.79

0.31

NCC

50.92

39.10

1.30

1.01

0.29

IV

HV

Current IV/HV

Last week IV/HV

Diff in ratio

BEML

39.59

63.16

0.63

1.26

-0.64

CASTROLIND

42.04

60.32

0.70

1.05

-0.36

HINDZINC

30.33

37.71

0.80

0.97

-0.16

INFRATEL

35.71

39.28

0.91

1.02

-0.11

RCOM

53.06

48.84

1.09

1.19

-0.10

GODREJIND

28.44

24.71

1.15

1.25

-0.10

COALINDIA

22.75

19.97

1.14

1.21

-0.07

TV18BRDCST

49.84

50.76

0.98

1.04

-0.06

Liquid Options that have become cheaper W-o-W

Stock

The above two tables show which options have become expensive and cheaper. Options that have become more expensive indicate there is
more trading interest in these options and there could be more activity in the near term. On the other hand, it could also imply that these
options have become expensive and thus may not be suitable for buying. Selling strategies may be more suitable in such cases.
Options that have become cheaper indicate there is a decline in trading interest in these options and there could be less activity in the near
term. On the other hand, it could also imply that these options have become cheaper and thus may be suitable for buying. Selling strategies
may not be more suitable in such cases.

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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
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