Feb 27, 2017

RETAIL RESEARCH Daily FNO Overview

Derivative Commentary

Markets could open lower

Markets ended with marginal gains on Thursday after a volatile session on the back of derivative expiry of the Feb series. The Nifty tested
the 9000 levels intraday. The Nifty Feb Fut closed 19.9 points or 0.22% higher at 8,940.0. As is normal on expiry day, the Nifty Feb Fut
closed almost at par to the underlying spot. Nifty March Fut closed at a premium of 17.1 points. Total Nifty OI declined by 37.12% while
overall OI decreased by 1,40,500crs. to 2,22,441crs.

Nifty IV dipped to 12.93% from 12.99% indicating a drop in volatility expectations. The Nifty OI PCR declined to 0.98 from 1.18 in the
previous session indicating there was more buildup in the Call segment. Buildup of OI was seen in the 10500 and 11000 March Calls.
Combined with a rise in option prices, it indicates call buying at these strikes, implying that traders are betting on further upsides. Put
writing was seen in the 8950 and 8450 March strikes indicating support at these levels.

Long build up was seen in Idea, TCS, Wipro and Kotak Bank. Short build up was seen in Reliance, Grasim, Auro Pharma and Powergrid. The
most active Fut contracts were HDFC Bank, Reliance, Bharti Airtel and ICICI Bank. Sectorally, OI long build up was seen in the Auto, Banking,
Metals, Realty, IT and Telecom indices. Short build up was seen in the Cement, FMCG, Infrastructure, Pharma and Power indices.

Technically, with the Nifty testing the psychological levels of 9000 today, selling pressure emerged from the highs. The underlying trend
nevertheless remains up and further upsides are likely in the coming week once the immediate resistance of 9016 is taken out. Weakness
could emerge if the support of 8809 is broken.

Market Futures and Options Data

Nifty Futures and Options Data

RETAIL RESEARCH
 Sectorally

Stock Futures trading at the widest discount to underlying spot

Symbol Price Price % Spot Basis Basis % Volume
UNIONBANK 147.95 -10.01% 153.9 -5.95 -3.87% 16,933
OIL 334.8 1.82% 344.25 -9.45 -2.75% 365
HINDPETRO 561.4 0.47% 576.9 -15.5 -2.69% 3,125
BPCL 712 0.71% 726.85 -14.85 -2.04% 3,136
CANBK 303.25 -2.02% 309.45 -6.2 -2.00% 6,795

Most Active Stock Futures

Symbol Price Price % Volume Volume % OI OI %

HDFCBANK 1,394.30 -0.42% 78,627 73.97% 66,604 -23.47%
RELIANCE 1,182.75 -2.28% 75,848 -50.42% 38,233 -21.02%
BHARTIARTL 366.25 1.31% 52,020 141.07% 23,060 -9.98%
ICICIBANK 284.50 -1.11% 40,964 28.90% 25,780 -18.76%

Top Futures OI Gainers

Symbol Price Price Chg Volume Volume % OI OI %

SINTEX 93.25 -0.85 6,176 49.18% 4,727 2.12%
NIFTYINFRA 3,013.35 -16.35 0 0.00% 0 0.00%
NIFTYMID50 4,150.75 -19.5 0 0.00% 0 0.00%
NIFTYPSE 4,100.85 -36.65 0 0.00% 0 0.00%
IFCI 29.65 0.1 7,105 122.59% 2,604 -0.69%

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 Price Gainers

Symbol Price Price % Volume Volume % OI OI %

HINDPETRO 571 6.75% 9,666 -5.79% 8,111 -18.47%
IDEA 119.6 5.79% 40,035 67.41% 10,165 -32.32%
JINDALSTEL 116.6 5.66% 8,474 30.73% 4,116 -13.82%
JPASSOCIAT 14.75 4.98% 3,676 35.50% 2,203 -5.29%
COALINDIA 327.7 4.71% 9,177 -12.82% 5,986 -40.19%

Top Volume Gainers

Symbol Price Price % Volume Volume % OI OI %

BRITANNIA 3,227.00 -0.67% 7,726 409.29% 5,929 -5.23%
DCBBANK 153.3 1.62% 4,262 324.50% 860 -7.03%
HDIL 68.25 2.79% 7,174 197.92% 3,289 -4.39%
UBL 786.05 -1.26% 2,210 191.94% 1,598 -11.91%
EICHERMOT 24,877.70 -0.90% 10,445 181.99% 5,782 -33.30%

Nifty/Bank Nifty Options Top Volume Changes

Symbol PutCall Strike Price Price % Volume Volume% OI OI% IV

NIFTY P 7400 0 -100.00% 2,976 5310.90% 4,421 -0.70% 11.58
BANKNIFTY P 21100 223.35 -4.30% 8,667 1169.00% 27 -67.10% 16.67
NIFTY C 7700 1,239.50 2.10% 1,690 983.30% 32 -97.90% 11.58
NIFTY P 7100 0 -100.00% 1,853 665.70% 4,054 0.10% 11.58
BANKNIFTY P 21000 123.35 -25.30% 1,71,140 500.60% 2,822 12.40% 16.67

Stock Options - Top Volume Changes

Symbol PutCall Strike Price Price % Volume Volume% OI OI% IV

IDEA P 120 0.4 -96.40% 2,304 230300.00% 207 5075.00% 84.03
BHARTIARTL C 410 0 -100.00% 1,481 73950.00% 317 589.10% 34.12
BHARTIARTL P 380 13.75 -25.70% 2,046 12687.50% 67 148.20% 34.12
IDEA P 115 0 -100.00% 4,098 4039.40% 687 524.60% 84.03
BHARTIARTL C 400 0 -100.00% 5,306 3830.40% 963 206.70% 34.12
BHARTIARTL C 390 0 -100.00% 4,064 2702.80% 567 215.00% 34.12
IDEA C 130 0 -100.00% 1,391 2218.30% 666 134.50% 84.03
IDEA C 125 0 -100.00% 6,351 1630.50% 973 307.10% 84.03
JUSTDIAL C 550 0 -100.00% 1,514 1121.00% 222 258.10% 60.97
KOTAKBANK C 810 0.95 -29.60% 1,598 1110.60% 206 21.20% 25.13

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 Stock Options - Top OI Changes

Symbol PutCall Strike Price Price % Volume Volume% OI OI% IV

SOUTHBANK P 17.5 0 -100.00% 1,721 0.00% 1,717 171600.00% 31.26
IDEA P 120 0.4 -96.40% 2,304 230300.00% 207 5075.00% 84.03
BHARTIARTL C 410 0 -100.00% 1,481 73950.00% 317 589.10% 34.12
IDEA P 115 0 -100.00% 4,098 4039.40% 687 524.60% 84.03
IDEA C 125 0 -100.00% 6,351 1630.50% 973 307.10% 84.03
JUSTDIAL C 550 0 -100.00% 1,514 1121.00% 222 258.10% 60.97
BHARTIARTL C 390 0 -100.00% 4,064 2702.80% 567 215.00% 34.12
RELIANCE P 1180 0 -100.00% 13,629 348.30% 1,656 208.40% 51.61
BHARTIARTL C 400 0 -100.00% 5,306 3830.40% 963 206.70% 34.12
BHARTIARTL P 380 13.75 -25.70% 2,046 12687.50% 67 148.20% 34.12

FII Statistics (In Contracts and Crs.)

Buy Qty Buy Amt Sell Qty Sell Amt Net Qty Net Amt OI Qty OI Amt
INDEX FUTURES 125,271 8,746 91,809 6,315 33,462 2,431 273,895 18,838
INDEX OPTIONS 873,710 65,091 854,544 63,331 19,166 1,761 686,670 46,428
STOCK FUTURES 359,292 24,679 357,724 24,643 1,568 37 927,293 62,637
STOCK OPTIONS 61,840 4,429 55,180 3,945 6,660 484 2,457 153
ALL 1,420,113 102,946 1,359,257 98,233 60,856 4,712 1,890,315 128,055

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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
Phone: (022) 3075 3400 Fax: (022) 2496 5066 Website: www.hdfcsec.com Email: hdfcsecretailresearch@hdfcsec.com

HDFC Securities Ltd. is a SEBI Registered Research Analyst having registration no. INH000002475.

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