Daily Derivatives - IDBI Direct
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Daily Derivatives
1Daily Derivatives
Key Market Indicators Key Observations
04-Feb 05-Feb % Chg.
Nifty (Spot) 14895.65 14924.25 0.19 Nifty breaks the 15000 mark
Nifty (Future) 14895.35 14930.65 0.24 Nifty during the trading session went past the 15000 mark to make a
Basis -0.30 6.40 - new high for the third consecutive session. Bank Nifty also made a
Nifty OI (Sh) 12.11 12.27 1.28 fresh new high for the fourth consecutive session, though both the
Nifty Vol (mn) 11.97 12.17 1.67 indices lost most of the gains be the close of the session but still
PCR (OI) 1.51 1.41 - managed to close with minor gains.
PCR (Vol) 0.95 0.95 - Nifty futures OI saw long build up to the tune of 1.28% i.e addition of
IV’s (Jan) 22.30 22.20 - 0.16mn shares with total outstanding position currently at 12.27mn
India Vix 23.10 23.40 - shares. The advance decline ratio was positive with 103 stocks on the
HV’s 29.30 29.00 - gaining side against 40 stocks on the losing side.
Fut Adv/Dec 107/37 103/40 - Nifty PCR (OI) saw a down-tick to close at 1.41 as compared to its
NIF50 Ad/Dec 29/21 30/19 - previous close of 1.51 levels. Major covering happened in put options
front at 14700 strike with reduction of 3.2mn shares each, while on
Market Wide OI (INR In Cr) the call option front 14900 and 15000 strikes saw liquidation of more
% Chg.
than a 3.62mn and 4.21mn shares respectively.
04-Feb 05-Feb
IDX – Nifty 180473 183208 1.52 Top long additions were seen in BHEL, TATASTEEL, TORNTPHARM,
IDX - Others 68148 68718 0.84 DIVISLAB and SBIN While top short buildup were seen in ZEEL,
Stock Fut. 1375450 1384736 0.68 RBBANK, ASIANPAINT, BANDHANBANK, and L&TFH. Nifty has a strong
support at 14600 and resistance at 15100 mark.
Nifty Opt. 2488563 1818181 -26.94
Other –Opt. 1430019 780523 -45.42 Most active +ve stock: APOLLOTYRE, BHEL, COALINDIA .
Stock Opt. 817895 896838 9.65 Most active –ve Stock: GODREGPROP, ASIANPAINT.
Total 6360548 5132205 -19.31
FII as % of Mkt Wide OI (INR. MN) Nifty Future Technical Indicators
Mkt OI FII OI %
Index Fut. 251926 64919 26% Key Price Points
Index Opt. 2598704 437573 17% Support Pivot Resistance 5 DEMA 21 DEMA 55 DEMA 200 SMA
Stock Fut. 1384736 509157 37% 14862 14935 15004 14700 14359 13805 11698
Stock Opt. 896838 63732 7%
Total 5132205 1075381 21%
FII Statistics
F & O Market Turnover (INR. MN)
FII Flows (Derivatives)
04-Feb 05-Feb % Chg.
04-Feb 05-Feb
Index Fut. 400196 512030 27.94 (INR Cr.)
BUY SELL NET BUY SELL NET
Stock Fut. 904799.2 996385 10.12
IDX Future 4558 6113 -1555.11 5933 6394 -460.7
Index Opt. 81539169 21666501 -73.43
IDX Option 934820 928113 6706.44 344473 342069 2404.27
Stock Opt. 1712021.3 1908584 11.48
Total 84556185 25083500 -70.34 STK Future 15780 15262 518.42 17057 17092 -35.14
STK Option 12545 12581 -35.71 15150 15111 39.11
Securities in Ban Period 05-Feb-2021 Total 967703 962069 5634.04 382614 380666 1947.54
SAIL
PNB
BHEL
2Daily Derivatives
Options Statistics
NIFTY Strike Wise OI Concentration
Month Maximum Call OI Maximum Put OI Max OI (Call + Put)
Feb 15000-14500-14700 13500-14000-13700 13500-14500-14000
Total NIFTY Call OI Shares Total NIFTY Put OI Shares
04-Feb 05-Feb Diff : 04-Feb 05-Feb Diff :
69322500 52796475 -16526025 104975550 74448675 -30526875
Nifty Option OI Strike Wise
NIFTY OI STRIKE WISE
Call OI Put OI Total OI
7.00
6.00
5.00
4.00
OI
No of Share
In Mn 3.00
2.00
1.00
0.00
14400 14500 14600 14700 14800 14900 15000 15100 15200 15300 15400
Strike Price
Source: NSEINDIA.COM
Nifty Change in OI Strike Wise
NIFTY CHANGE IN OI STRIKE WISE
Call OI Put OI Total OI
1.00
0.00
14400 14500 14600 14700 14800 14900 15000 15100 15200 15300 15400
-1.00
OI
-2.00
No of Share
In Mn -3.00
-4.00
-5.00
-6.00
Strike Price
Source: NSEINDIA.COM
3Daily Derivatives
Stock Future Statistics
Top 5 OI gainers (No. of shares) Top 5 OI gainers (%)
STOCK OI (MN) OI (%) LCP Price (%) STOCK OI (MN) OI (%) LCP Price (%)
BHEL 153.07 7.5 43.7 2.9 ZEEL 36.77 15.1 215.8 -13.9
IDFCFIRSTB 172.98 6.1 47.75 -2.8 RBLBANK 19.19 14.5 249.55 -3.1
IDEA 847.35 0.6 12.05 -1.6 ASIANPAINT 7.04 11.8 2389.35 -1.1
ZEEL 36.77 15.1 215.8 -13.9 BANDHANBNK 27.05 8.9 329.2 -4.7
BHARTIARTL 108.36 3.9 584.7 -3.2 BHEL 153.07 7.5 43.7 2.9
Top 5 OI loser (No. of shares) Top 5 OI losers (%)
STOCK OI (MN) OI (%) LCP Price (%) STOCK OI (MN) OI (%) LCP Price (%)
PNB 197.94 -20 40.2 -1.1 GODREJPROP 1.44 -24.3 1397.2 4
FEDERALBNK 82.54 -5.3 83.35 -2.7 PNB 197.94 -20 40.2 -1.1
SAIL 94.18 -3.9 65.35 0.7
APOLLOTYRE 16.36 -11.5 242.75 -1
NTPC 66.27 -4.8 97 0.3
CONCOR 6.38 -8.8 468.25 -2.4
APOLLOTYRE 16.36 -11.5 242.75 -1
CONCOR 6.38 -8.8 468.25 -2.4
Option Strategies
Daily Strategy
Stock Strategy Action BEP Risk Reward
RELIANCE BUY CALL BUY RELIANCE 1940 CE AT 65 5000 10000
SL 45 TAREGT 105
Abbreviations : OI – Open Interest, IV- Implied Volatility, HV- Historical volatility, Fut. – Futures, Vol – Volumes, PCR – Put Call Ratio, DEMA – Daily Exponential
Moving Average, DMA - Daily Moving average, SMA – Simple Moving average
4Daily Derivatives
Research Head
A. K. Prabhakar ak.prabhkar@idbicapital.com
Derivative Analyst
Miraj Vora miraj.vora@idbicapital.com
IDBI Capital Markets& Securities Ltd. (A wholly owned subsidiary of IDBI Bank Ltd.)
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