Weekly Derivatives

February 8, 2013 Nifty Options OI Distribution

80 70 60 50 40 30 20 10 0 Nifty Call Put Concentration (Feb)

Nifty highlights
Week on week Current Previous Change (%) Spot 5903 6004 (1.7) Fut 5922 6036 (1.9) COC(%) 5.5 1.6 Tot Fut OI 15995100 14329350 11.6 PCR OI 0.97 0.9 PCR Vol 0.91 1 ATM IV (%) 13.15 13.7 -

Shares in Lacs

74.4

Source: NSE, Seediff, ICICIdirect.com Research

61.3 43.8

54.0

60.8

46.9 42.6

Weekly Analysis
18.4 3.2

17.3

15.8

10.6

5.1

4.3

Weakness continued in the market as FIIs changed their positive stance on the F&O

5800 5900 6000 6100 6200 6300 6400 CALL OI PUT OI

FII statistics
Index Fut Date 1-Feb 4-Feb 5-Feb 6-Feb 7-Feb Net Buy -100 -710 -663 -564 -105 Stock Fut Net Buy -258 377 184 602 17 Index Opt Net Buy 1331 490 1279 503 729 Cash Net Buy 2565 888 5019 1343 NA

NSE Turnover
120,000

segment for February. They created shorts in index futures, which shrank the basis on the Nifty to sub-20 levels. They also went ahead and bought index options worth over | 7000 crore. In the Nifty, they focused on OTM Put options ranging from 5900 to 5700. As a result, the Nifty shed over 100 points during the week. Major weakness was infused by banks and oil & gas stocks. Technology space continued to provide support along with HDFC In the Nifty options space, the highest open interest on the Call side has shifted from 6200 to 6100, which has now over 7.5 million shares. On the Put side as well OTM Put strikes of 5600 to 5900 saw strong OI additions. Currently, the highest OI is placed at the 5700 Put India VIX closed 10% higher at 15.16, above its 100 DMA of 15. Since June 2012, this fear gauge has not given two consecutive closings above 100 DMA. With high leverage of over 210 crore shares already in the stock futures segment, leverage closure is likely to set in if India VIX continued its stickiness near 15 Index Outlook

Nifty: The Nifty has immediate resistance at 5940. If the Nifty is unable to move

107,330

112,824

116,075

121124

125646

90,000 87290 92417

30,000 1-Feb 4-Feb 5-Feb 6-Feb Market OI (in | Cr) Turnover (in | Cr) 7-Feb

Nifty Spot , Advance Decline and India VIX

Date 1-Feb 4-Feb 5-Feb 6-Feb 7-Feb Nifty Spot 5999 5987 5957 5959 5939 Nse Advances 636 526 434 764 439 NSE Declines 857 977 1075 729 1056 India VIX 13.8 14.3 14.6 14.3 14.9

71928

60,000

above this level then it could topple to 5800. In such a scenario, leverage closure could also magnify selling pressure Bank Nifty: The index gave up its outperformance trend as it fell close to 4% during the week. The index has closed at 12280, which is the lowest close since December, 2012. Major resistance for the index is at 12500, which was the major support in the January series. The index is heading towards its highest Put placed at 12000 Stock OI activity OI addition: Among heavyweights, TCS, Infosys and HDFC saw long build up while short addition was seen in the PSU banking space like PNB and SBI. Short addition was also visible in capital goods stocks like L&T, Voltas and Bharat Forge OI closure: Kotak Bank, JSW Steel and Syndicate Bank, which were outperformers in their respective sectors, have seen closure of positions Sectoral OI Change
25 15 5 Infrastructure Technology Autom obile Telecom -5 FM CG Banking Finance Realty M edia Capital_Goods Fertilisers Oil_Gas Pharm a M etals Cem ent Pow er Textile

84996

104914

% Chg in Futures OI

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

Source: Company, ICICIdirect.com Research

Weekly Strategy*
i) HAVELLS INDIA (HAVIND) Buy HAVIND in cash in the rng of 661-666 View: Bullish Target : 695 Stop Loss : 639.5 ii) DLF Limited (DLFLIM) Bear Put Spread Buy DLFLIM Feb 260 Put at 4.5-5 and Sell Feb 250 Put at 2.9-3.3 View: Bearish Target : 250 Maximum Loss : 2100

In Cash Market lot : 1000 Note: Initiate the stock recommendation within +/- 0.5% of the stated price range.

Strategy follow-up
Date 01-Feb-13 Underlying DRREDD View Buy Strategy Reco Target 2030 SL 1850 Profit/Loss -500 Comment Exit near cost Buy Future 1910.0

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Derivatives research product basket

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

Pankaj Pandey

Head Research ICICIdirect.com Derivatives Desk

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

pankaj.pandey@icicisecurities.com

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