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Derivatives View
• PRODUCT 1
Intraday Positional Quant (Derivatives) Pick
Underlying Action
New recommendations in the report Lupin Buy
• PRODUCT
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Research Analysts
Amit Gupta Raj Deepak Singh
[email protected] [email protected]
Index Outlook
Nifty Future: The Nifty is likely to open gap down on the back of mixed global cues. Buy Nifty in the range of 10978-
Derivatives View
11002 Target: 11019-11047, Stop loss: 10961
Bank Nifty Future
Outperformance was clearly visible in banking stocks, which led the Bank Nifty to reclaim 28000. Kotak Mahindra
Bank was the leader whereas Axis Bank and SBI also witnessed short covering. Looking at the closure in OTM Calls,
we feel the upside is likely to continue. Once the index manages to sustain above its sizeable Call base of 28300,
short covering can be seen. Buy Bank Nifty in the range of 27800-27850, Target: 27950-28050, Stop loss: 27700
F&O Highlights
After witnessing support near 11950, the Nifty witnessed a sharp pullback and rallied nearly 90 points to reclaim
11000. Metal stocks along with oil & gas stocks and banking were leaders whereas other heavyweights provided
cushion. We feel 10950 remains a strong support on downsides
Stock Analysis
Note:
CMP: 828 CMP: 260 Call initiation message will be
Target 1: 838 Target 2: 849.3 Target 1: 257.1 Target 2: 253.7 broadcast on iclick-2-gain
30
The highest Put base is at 10800
15
11200 strike with 25 lakh shares
10
0
10600
10700
11000
11100
11200
10800
10900
11300
Note: The given index recommendation in
this report is intraday recommendation and
Strategy follow up should not be linked with positional view &
Date Stock View Strategy Reco Target SL P&L Comment
recommendations given in Derivatives
Strategy report, which may have a different
13-Sep-19 RAYMON Buy Long Fut 597.5 605.0 590.0 - Not Initiated
view
13-Sep-19 TITIND Sell Short Fut 1086.5 1078.5 1094.5 - Not Initiated
Back
Source: NSE, Seediff, Bloomberg ICICI Direct Research
200
300
500
600
800
900
100
400
700
100
150
200
250
300
350
50
0
29-Aug-17
29-Aug-17
29-Oct-17
29-Dec-17
29-Dec-17
28-Feb-18
28-Feb-18
30-Apr-18
30-Apr-18
30-Jun-18 30-Jun-18
31-Aug-18 31-Aug-18
CESC
Tata Global
31-Oct-18 31-Oct-18
31-Dec-18 31-Dec-18
28-Feb-19 28-Feb-19
Recommended Stocks : Historical price performance…
30-Jun-19 30-Jun-19
31-Aug-19 31-Aug-19
4
Long Vedanta (VEDLIM) September future in the range of | 147-149. Target: | 165; Stop Loss: | 139
Derivatives View
Rationale
Metal stocks had come under severe selling pressure in the last couple of months as the US-China trade spat hogged the
limelight. Vedanta witnessed significant short additions as OI in the stock had swelled to 70 million shares in the August series
from just 20 million shares in May. Early signs of short covering are visible in the stock as OI has declined below 60 million shares
in the last session. Moreover, the stock was able to end near its highest Call base of 150 strike. We expect positive momentum to
continue in the stock on the back of short covering towards | 165 in the short-term.
Price performance
350
24-Apr-19
24-Aug-17
24-Aug-18
24-Aug-19
24-Mar-18
24-Mar-19
24-Sep-17
24-Feb-18
24-Sep-18
24-Feb-19
24-Jan-18
24-Dec-17
24-Dec-18
24-Jan-19
24-Jun-18
24-Jun-19
24-Oct-17
24-Oct-18
24-Nov-17
24-Nov-18
24-May-18
24-Jul-18
24-May-19
24-Jul-19
Recommendation follow up
Underlying View Strategy Reco Target Stoploss Profit/Loss Comment
BPCL Bullish Long Futures 376 405 358 52200 Target Achieved
• On the data front, the highest Put base for the Nifty is at 11000 strike. The Nifty has largely remained above these levels last week.
We expect 10950 to act as an important support for the index in coming sessions. The Nifty may attempt to move towards 11200,
which is the highest Call base
• Nifty PCR-OI, which started moving higher last week has moved up from 1.08 to 1.40 on the back of Put options writing as indicated
by reducing volatility. India VIX has declined from 18% to almost 14%
• The Bank Nifty has staged some recovery, thus helping the Nifty to move higher despite technology stocks witnessing profit booking
during the week
Nifty options OI build-up
25
OI in Lacs
20
15
10
0
10500 10600 10700 10800 10900 11000 11100 11200 11300 11400
The Bank Nifty managed to sustain above 27500 for a second day in a row and moved above its highest Call base of 28000 on
the back of participation in private banks. Participation was also seen by PSU bank leader like SBI followed by PNB, which
provided a sentimental boost
IVs rose sharply and moved towards 18%, which is one of the sharpest spikes seen in the past five months. However, on the
back of huge writing in OTM Put strikes, choppiness was seen in IV. It fell below 14.5%. We feel IVs are likely to remain choppy in
the coming week, which will attract Put writing in coming sessions
Call closure was seen in most private sector heavyweight banks, which is likely to provide more steam in the coming days.
Selling pressure from FIIs has reduced sharply in the past few days along with stability in the rupee near 71 levels. We feel
upsides are likely to continue as Call writers will cover their short positions
The current price ratio of Bank Nifty/Nifty has reverted from its February low of 2.47. We feel that on the back of short covering
500
OI in Thousands
400
300
200
100
0
Source: Bloomberg, ICICI Direct Research 27400 27500 27600 27700 27800 27900 28000 28100 28200 28300 28400 28500 28600 28700
• The S&P index is likely to cap the third week of consecutive gains and is in the vicinity of life-time highs of 3028. Investors await the
outcome of the US Federal policy meeting next week wherein the Fed is likely to cut interest rate by 25 bps, a second cut in almost
a decade. Along with the policy statement, the Fed’s future rate trajectory likely to be a key trigger for currencies
• The Indian economy is finally likely to see foreign inflows last week, ending consecutive weeks of redemption pressure. Domestic
economy saw inflows of almost $120 while Taiwan also witnessed inflows of over $450 million. South Korea and Indonesia
witnessed mild outflows of $67 million and $ 37 million, respectively
• MSCI Emerging equity continues its winning streak with the index likely to register third consecutive weekly gains and is up 1.5%
over last week. US-China trade war relief, albeit temporary, along with rising expectations that major central banks would not only
cut interest rates but also fuel economies with stimulus is helping EM markets to sustain gains
• Brent oil continues to consolidate near $60/bl as its attempt to break out of the trading range attracted sharp profit booking. Oil
• The Dollar Index is slightly changed this week as a recovery in the EM, DM currency vs. US$…
Euro and gains in British pound countered dollar strength vs. the cmp pvs week change % Status
JPY. An up move in US yields also ahead of Fed policy outcome Dollar index 98.33 98.39 -0.07 Depreciated
next week helped the dollar Euro € 1.1070 1.1029 0.37 Appreciated
Japanese ¥ 108.14 106.92 1.14 Depreciated
• The euro witnessed a sharp volatile move around the ECB policy UK £ 1.2345 1.2283 0.50 Appreciated
Australian $ 0.6873 0.6846 0.39 Appreciated
outcome. It fell towards 1.093 only to see a recovery back to 1.107.
Canadian $ 1.3221 1.3173 0.36 Depreciated
ECB cut its interest rate by -0.10% to -0.50% as expected. Also, it Swiss franc 0.9898 0.9875 0.23 Depreciated
had vowed to continue bond buying @ €20 billion (US$22 billion) till Emerging currencies v/s US$
Indian rupee 71.00 71.73 -1.01 Appreciated
it achieves inflation of just below 2% Chinese yuan 7.08 7.12 -0.53 Appreciated
• The rupee witnessed decent gains during the week and rose to over Brazilian real 4.06 4.06 0.03 Depreciated
Russian rubble 64.80 65.78 -1.48 Appreciated
a month high vs. the US$. A cool-off in the CNY and gains in Euro South african rand 14.59 14.81 -1.43 Appreciated
helped EM currencies including the rupee. The rupee is likely to Indonesian rupee 13948 14101 -1.09 Appreciated
200
3.1
100
2.1
50 1.6
0 1.1
69.50
70.00
70.50
71.00
71.50
72.00
72.50
73.00
Dec/16
Dec/17
Dec/18
Feb/16
Feb/17
Feb/18
Feb/19
Jun/16
Oct/16
Jun/17
Oct/17
Jun/18
Oct/18
Jun/19
Aug/16
Aug/17
Aug/18
Aug/19
Apr/16
Apr/17
Apr/18
Apr/19
Source: Bloomberg, ICICI Direct Research
September 16, 2019 ICICI Securities Ltd. | Retail Equity Research 9
Forthcoming Events…
India:
Japan:
US:
Euro zone:
Date Scrip Action Buy Price Target SL CMP %Ret Time Frame
06-Aug-19 Marico Ltd Buy 374-381 445 342 382 1.1% 3 months
14-Aug-19 Torrent power Buy 285-292 340 260 280 -3.3% 3 months
05-Sep-19 Lupin Buy 750-765 870 690 764 -0.1% 3 months
06-Sep-19 Bharti Airtel Buy 340-348 410 315 343 -0.9% 3 months
11-Sep-19 CESC Buy 790-810 940 725 825 2.5% 3 months
12-Sep-19 MGL Buy 835-855 985 770 848 0.0% 3 months
ANALYST CERTIFICATION
We /I, Amit Gupta B.E, MBA (Finance), Raj Deepak Singh BE, MBA (Finance), Nandish Patel BCOM, Dipesh Dedhia BCOM, MBA (Finance), Research Analysts, authors and the names subscribed to this report, hereby
certify that all of the views expressed in this research report accurately reflect our views about the subject issuer(s) or securities. We also certify that no part of our compensation was, is, or will be directly or
indirectly related to the specific recommendation(s) or view(s) in this report. It is also confirmed that above mentioned Analysts of this report have not received any compensation from the companies mentioned in
the report in the preceding twelve months and do not serve as an officer, director or employee of the companies mentioned in the report.
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