Technical & Derivatives Report

November 24, 2016

Sensex (26052) / Nifty (8033)

Exhibit 1: Nifty Daily Chart

Yesterday's session too opened higher but similar to previous day,

we witnessed a decent selling pressure at higher levels during the
initial trades. However, we witnessed modest recovery throughout
the day to end the session well above the 8000 mark.
After a massive correction, the index has taken a breather. We
continue with our view that the market is deeply oversold and we
may witness a decent bounce soon. Traders are advised not to
trade on the short side. On the lower side, 7940 - 7900 would be
seen as immediate support level; whereas 8055 - 8120 would act
a resistance zone.
Key Levels
Support 1 7940

Resistance 1 8055

Support 2 7900

Resistance 2 8120

Nifty Bank Outlook - (18541)

Exhibit 2: Nifty Bank Daily Chart

The Nifty Bank index traded in a narrow range yesterday and

ended the session almost near its previous session's close.
The Nifty Bank index formed another small body candle yesterday
ahead of the expiry session, indicating lack of directional
momentum in intraday trades. As highlighted yesterday, the
momentum readings are in oversold territory on lower time frame
charts which could lead to a pullback move. However, citing
recent volatility, traders are advised to focus on stock specific
moves and trade with proper risk management. The intraday
supports for the Nifty Bank index are placed around 18320 and
18145 whereas resistances are seen around 18795 and 18955.
Key Levels
Support 1 18320

Resistance 1 18795

Support 2 18145

Resistance 2 18955

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Technical & Derivatives Report

November 24, 2016

Comments

Nifty Vs OI

The Nifty futures open interest has increased by 0.29%

BankNifty futures open interest has decreased by 3.42%
as market closed at 8033.30 levels.
The Nifty November future closed with a discount of 8.45
against the premium of 4.50 points in last trading
session. The December series closed at a premium of
31.40 points.
The Implied Volatility of at the money options has
decreased from 18.89% to 18.24%. At the same time,
the PCR-OI of Nifty has increased from 0.71 to 0.73
levels.
The total OI of the market is Rs. 2,98,769/- cr. and the
stock futures OI is Rs. 73,161/- cr.
Few of the liquid counters where we have seen high cost
of carry are JPASSOCIAT, IDEA, TORNTPOWER,
GODREJCP and EICHERMOT.

Views

OI Gainers

FIIs continue their selling streak in cash market segment;

SCRIP
they sold equities worth Rs. 1023 crores. While, in index
SIEMENS
futures, they sold marginally with rise in open interest,
ULTRACEMCO
indicating blend of long and short formation in last
NHPC
trading session.
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BHARTIARTL
In Index options segment, FII were net seller worth
CESC
Rs. 1054 crores with marginal change in open interest.
BAJAJ-AUTO
In call options, 8050 and 8100 strikes added some fresh
CUMMINSIND
positions, followed by unwinding in 8000 call option.
HINDALCO
While on the other hand in put options, good amount of
build-up was visible in 8000 strike. Highest OI in current
series has been shifted to 8200 from 8500 call and of
OI Losers
put options remains intact in 8000 strike.
SCRIP
From last 2-3 trading sessions, we are witnessing
IBREALEST
formation of mixed position in Index Future by FIIs;
JETAIRWAYS
wherein, majority of positions formed were on long side.
MRF
But, these positions have been formed in December
GODREJIND
series. In addition, we are also witnessing good amount
ENGINERSIN
of long formation in Stock Futures since last couple of
UNIONBANK
days. However, FIIs continue to write call options of
COLPAL
November series. Thus, looking at the options data, we
HAVELLS
believe we may see November expiry below 8000 mark.

Historical Volatility

OI

OI
CHG. (%)

PRICE
CHG. (%)

PRICE

986000

19.88

1056.05

-2.01

1821200

15.46

3449.80

1.03

26946000

14.19

26.00

2.36

30253400

11.43

300.95

-0.76

2098800

11.32

569.40

-0.82

1747250

9.94

2596.60

-0.07

598200

9.20

760.50

-1.30

41615000

9.01

173.55

4.23

OI

OI
CHG. (%)

33490000

-13.55

5746000
28890

PRICE

PRICE

CHG. (%)

68.75

9.47

-13.49

361.05

5.79

-13.32

47548.50

1.17

1492500

-12.33

374.50

-1.81

5736500

-11.93

276.25

0.31

13028000

-11.71

149.50

-0.76

586600

-10.85

922.60

2.01

3486000

-9.64

327.10

3.69

Put-Call Ratio

SCRIP

HV

SCRIP

PCR-OI

PCR-VOL

LUPIN

43.38

NIFTY

0.73

0.80

NTPC

35.09

BANKNIFTY

0.73

0.77

RELINFRA

60.08

SBIN

0.49

0.42

TATAELXSI

53.54

ICICIBANK

0.50

0.66

CADILAHC

60.31

RELIANCE

0.46

0.59

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Technical & Derivatives Report

November 24, 2016

FII Statistics for November 23, 2016

Turnover on November 23, 2016

Open Interest

Detail

Buy

Sell

Net
Contracts

Value
(in Cr.)

Change
(%)

Instrument

No. of
Contracts

Turnover
( in Cr. )

Change
(%)

INDEX
FUTURES

6183.55

6238.13

(54.58)

304004

19062.99

4.92

INDEX
FUTURES

442512

24523.07

-0.67

INDEX
OPTIONS

53603.75

54657.34

(1053.58)

1321143

82097.41

0.23

INDEX
OPTIONS

6911166

409100.42

6.94

STOCK
FUTURES

25490.45

24032.87

1457.58

982889

58709.02

2.88

STOCK
FUTURES

975739

75897.09

23.41

STOCK
OPTIONS

4777.75

4816.37

(38.62)

127572

8075.54

(1.98)

STOCK
OPTIONS

435175

26984.61

-2.39

90055.50

89744.71

310.79

2735608

167944.96

1.57

8764592

536505.19

8.08

Risk

Reward

BEP

54.65

45.35

8045.35

74.75

125.25

8025.25

20.10

79.90

7979.90

TOTAL

Nifty Spot = 8033.30

Lot Size = 75

Bull-Call Spreads

Bear-Put Spreads

Action

Strike

Price

Buy

8000

47.30

Sell

8100

6.90

Buy

8000

47.30

Risk

Reward

BEP

40.40

59.60

8040.40

46.00
Sell

8200

1.30

Buy

8100

6.90
5.60

Sell

8200

TOTAL

1.30

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154.00

94.40

Action

Strike

Price

Buy

8100

81.30

Sell

8000

26.65

Buy

8100

81.30

Sell

7900

6.55

Buy

8000

26.65

Sell

7900

6.55

8046.00

8105.60

Note: Above mentioned Bullish or Bearish Spreads in Nifty (November Series) are given as an information and not as a recommendation.

Nifty Put-Call Analysis

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Technical & Derivatives Report

November 24, 2016

Daily Pivot Levels for Nifty Constituents

Scrips
ACC

S2

S1

PIVOT

R1

R2

1,259

1,281

1,299

1,321

1,339

ADANIPORTS

256

260

262

266

269

AMBUJACEM

191

195

197

200

203

ASIANPAINT

899

921

933

955

968

AUROPHARMA

711

721

726

736

742

AXISBANK

464

472

477

486

491

2,535

2,568

2,604

2,636

2,672

BANKBARODA

158

160

163

164

167

BHEL

121

123

125

127

129

BPCL

615

625

634

643

652

BHARTIARTL

294

297

303

306

312

INFRATEL

353

356

360

364

368

18,254

18,615

18,838

19,198

19,422

CIPLA

541

547

553

559

565

COALINDIA

300

302

304

307

309

3,072

3,100

3,123

3,151

3,174

BAJAJ-AUTO

BOSCH

DRREDDY
EICHERMOT

20,209

20,585

21,025

21,401

21,841

GAIL

402

407

414

419

425

GRASIM

796

804

811

819

826

HCLTECH

751

757

763

769

775

HDFCBANK

1,168

1,176

1,190

1,198

1,212

HDFC

1,179

1,203

1,229

1,253

1,279

HEROMOTOCO

2,978

2,996

3,013

3,031

3,048

170

172

176

178

HINDALCO

166
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HINDUNILVR

808

820

827

839

846

ICICIBANK

258

262

264

267

269

IDEA

70

71

72

74

75

1,050

1,057

1,068

1,075

1,086

INFY

908

914

919

925

929

ITC

221

223

225

227

230

KOTAKBANK

759

763

768

772

777

LT

1,326

1,342

1,363

1,379

1,400

LUPIN

1,385

1,436

1,466

1,517

1,547

M&M

1,162

1,177

1,202

1,217

1,241

MARUTI

4,810

4,846

4,895

4,931

4,980

NTPC

147

154

157

164

167

ONGC

274

277

279

282

285

POWERGRID

175

178

183

186

191

RELIANCE

995

1,002

1,006

1,013

1,017

SBIN

252

255

258

261

264

SUNPHARMA

685

693

699

707

713

2,113

2,135

2,149

2,170

2,185

TATAMTRDVR

286

291

295

301

305

TATAMOTORS

456

464

470

477

483

68

69

69

70

70

374

384

389

398

404

INDUSINDBK

TCS

TATAPOWER
TATASTEEL
TECHM
ULTRACEMCO
WIPRO
YESBANK
ZEEL

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442

448

453

459

464

3,342

3,397

3,436

3,491

3,530

438

443

448

453

457

1,102

1,114

1,130

1,141

1,158

430

444

453

467

477

Technical & Derivatives Report

November 24, 2016

Research Team Tel: 022 - 39357800

For Technical Queries

E-mail: technicalresearch-cso@angelbroking.com

For Derivatives Queries

E-mail: derivatives.desk@angelbroking.com

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