Technical Derivatives Weekly, 11th February, 2013

7/29/2019 Technical Derivatives Weekly, 11th February, 2013

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2/6

February 9, 2013

For Private Circulation Only| Angel Broking Ltd: BSE Sebi Regn No : INB 010996539 / CDSL Regn No: IN - DP - CDSL - 234 - 2004 / PMS Regn Code: PM/INP00000154 6 Angel Securities Ltd:BSE: INB010994639/INF010994639 NSE: INB230994635/INF230994635 Membership numbers: BSE 028/NSE:09946 1

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Trading for the week started off on a quiet note considering

mixed trading sentiments across the globe. On Tuesday, our

benchmark indices, the Sensex and the Nifty, opened with a

downside gap considering the massive overnight correction on

the US as well as European bourses. In our previous weekly

report, we had mentioned a few negative technical evidences

such as, confirmation of 'Hanging Man' Japanese Candlestick

pattern, the negative crossover in weekly 'RSI' momentum

oscillator and the daily ADX (9) indicator. The impact of these

tools was seen during the whole week as indices continued

their negative momentum throughout the week.

On Friday, indices fell sharply during the last half an hour of

the session. As a result, the Nifty sneaked slightly below the

psychological level of 59005900590059005900; but eventually managed to close

above it. During the week, the Consumer Durable, Metal, PSU

and Oil & Gas counters experienced massive selling pressure;

whereas only the IT sector has outperformed the benchmark

indices by closing well inside the positive territory.

The Sensex and the Nifty shed 1.50% and 1.59%, respectively

during the week.

Pattern Formation

The '20-day EMA' and the '20-week EMA' are placed at

19768 / 599019768 / 599019768 / 599019768 / 599019768 / 5990 and 19160 / 581319160 / 581319160 / 581319160 / 581319160 / 5813 levels, respectively.

The Nifty has broken down from the 'Upward Sloping

Channel' (as shown in the chart).

The weekly 'RSI Smoothened' is now signaling a negative

crossover..

The 'Hanging Man' Japanese Candlestick pattern on the

weekly chart is intact.

Future Outlook

In-line with our expectations, markets experienced strong

negative momentum throughout the week. During the week,

indices precisely met with the mentioned targets of

19596 - 19406 / 5940 - 589719596 - 19406 / 5940 - 589719596 - 19406 / 5940 - 589719596 - 19406 / 5940 - 589719596 - 19406 / 5940 - 5897. The news flow continued to be

negative during the week as the Government lowered the GDP

growth projections to the lowest level in a decade.

The sharp fall during the last half an hour on Friday has now

confirmed a breakdown of the 'Upward Sloping Channel' on

the daily chart. (Please refer exhibit 2). Please note that the

Sensex has not yet confirmed a breakdown of the 'Upward

Sloping Channel' pattern. Also Indices have now precisely tested

78.6% Fibonacci retracement level of the rise from

19149 / 582319149 / 582319149 / 582319149 / 582319149 / 5823 (low on December 18, 2012) to 20204 / 611220204 / 611220204 / 611220204 / 611220204 / 6112

(high on January 29, 2013). Considering the Channel pattern

breakdown and negative placement of weekly momentum

oscillators, we can infer that indices may experience a severe

correction in the coming week if they manage to sustain below

this week's low of 19414 / 588319414 / 588319414 / 588319414 / 588319414 / 5883. In this scenario, we may

witness a corrective move towards 19000 - 18870 / 580019000 - 18870 / 580019000 - 18870 / 580019000 - 18870 / 580019000 - 18870 / 5800 -

57355735573557355735 levels. On the flipside, 19648 - 19768 / 5953 - 599119648 - 19768 / 5953 - 599119648 - 19768 / 5953 - 599119648 - 19768 / 5953 - 599119648 - 19768 / 5953 - 5991

levels would act as strong resistance for our benchmark indices.

Source: Falcon

Exhibit 1: Nifty weekly chart

1

Source: Falcon

Exhibit 2: Nifty Daily chart

Bears increase foothold on the back of lower GDP growth projections

Sensex (19485) / Nifty (5904)


3/6

February 9, 2013


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Technical Research Team

Weekly Pivot Levels For Nifty 50 Stocks

SCRIPS20,089 19,787 19,601 19,299 19,113

6,097 6,000 5,942 5,845 5,787

12,894 12,587 12,416 12,110 11,939

1,376 1,340 1,313 1,277 1,250

214 202 195 183 176

4,736 4,630 4,571 4,465 4,406

1,540 1,495 1,470 1,426 1,401

2,148 2,097 2,068 2,017 1,988

915 842 802 729 690

343 332 324 314 306

236 223 214 200 191

439 420 410 391 381

333 324 319 310 304431 406 392 367 353

367 353 343 329 319

283 276 271 264 259

2,002 1,928 1,888 1,815 1,774

352 344 339 330 325

3,138 3,075 3,006 2,943 2,874

703 687 676 660 649

845 827 804 785 762

665 657 646 639 627

1,878 1,798 1,753 1,674 1,629

118 114 111 107 105

477 465 457 445 437

1,231 1,180 1,153 1,102 1,075

179 170 163 154 147

2,855 2,822 2,784 2,751 2,712

316 309 304 297 292

434 424 417 407 400

89 81 77 69 65

710 694 681 666 653

1,579 1,545 1,516 1,482 1,452

628 613 600 585 573

920 902 889 871 858

1,663 1,625 1,601 1,564 1,539

162 155 151 144 139

345 330 320 304 295

923 893 876 846 829

115 113 111 109 107

453 441 434 422 415

918 891 874 847 830

542 515 500 472 457

2,484 2,385 2,331 2,232 2,177

192 181 175 164 158

657 637 625 604 593

785 766 740 721 695

302 294 289 281 276

107 102 99 94 91

412 400 392 380 373

1,493 1,458 1,402 1,366 1,310

2,024 1,954 1,910 1,841 1,797

424 418 410 404 395

R2R2R2R2R2 R1R1R1R1R1 PIVPIVPIVPIVPIVOOOOOTTTTT S1S1S1S1S1 S2S2S2S2S2SENSEX

NIFTY

BANKNIFTY

ACC

AMBUJACEM

ASIANPAINT

AXISBANK

BAJAJ-AUTO

BANKBARODA

BHARTIARTL

BHEL

BPCL

CAIRNCIPLA

COALINDIA

DLF

DRREDDY

GAIL

GRASIM

HCLTECH

HDFC

HDFCBANK

HEROMOTOCO

HINDALCO

HINDUNILVR

ICICIBANK

IDFC

INFOSYSTCH

ITC

JINDALSTEL

JPASSOCIAT

KOTAKBANK

LT

LUPIN

M&M

MARUTI

NTPC

ONGC

PNB

POWERGRID

RANBAXY

RELIANCE

RELINFRA

SBIN

SESAGOA

SIEMENS

SUNPHARMA

TATAMOTORS

TATAPOWER

TATASTEEL

TCS

ULTRACEMCO

WIPRO


4/6

February 9, 2013


Derivatives Review |Derivatives Review |Derivatives Review |Derivatives Review |Derivatives Review |

FII's continue to pump liquidity

Nifty spot closed at 5903.50 this week, against a close of 5998.90 last week. The Put-Call Ratio has increased from 0.940.940.940.940.94 to 0.980.980.980.980.98

levels and the annualized Cost of Carry is positive 5.67%5.67%5.67%5.67%5.67%. The Open Interest of Nifty Futures increased by6.40%6.40%6.40%6.40%6.40%.

Put-Call Ratio Analysis Implied Volatility Analysis

PCR OI has increased from 0.94 to 0.98 levels. In the week

gone by good amount of buildup was seen in 5600-5900 put

option followed by some unwinding in 6000-6100 strike price

which was much of the short covering, while in call option

5900-6200 strikes has seen considerable amount of buildup

in open interest and 6400 call option has seen decent amount

of unwinding. Highest buildup in call option is in 6100 strike

price and in put option 5900 strike has the maximum open

positions as of now, this levels will act as the major resistance

and support for our market going forward.

Implied Volatility (IV) for NIFTY has increased from

12.65% to 13.76%. Historical volatility (HV) is at 10.79% and

that for BANKNIFTY is trading at 13.96%. Liquid counters having

very high HV are HDIL, IVRCLINFRA, SUZLON, JUBLFOOD

and OPTOCIRCUI. Stocks where HV are on lower side are

POWERGRID, LUPIN, HDFCBANK, SIEMENS and GRASIM.

Nifty futures closed at a premium of 18.30 points against the

premium of 36.65 points to its spot. Next month future is trading

with premium of 45.25 points. Liquid counters where CoC is

high are WELCORP, NHPC, SUZLON, GVKPIL and PNB.

Stocks with negative CoC are SAIL, AMBUJACEM, BHEL, GAIL

and POWERGRID.

Total open interest of market has increased from

Rs.1,08,466/- cr. to Rs.1,32,675/- cr. Stock futures open interest

has increased from Rs.33,655/- cr. to Rs.33,861/- cr.

Some of the large cap names which added open interest are

NTPC, BANKBARODA, BHEL, DLF and JPASSOCIAT.

Open interest was shed in large cap names like SESAGOA,

LUPIN, ACC, BHARTIARTL and COALINDIA.

Open Interest Analysis Cost-of-Carry Analysis

Scrip :BHELScrip :BHELScrip :BHELScrip :BHELScrip :BHEL CMP :CMP :CMP :CMP :CMP : `````207.05207.05207.05207.05207.05 LLLLLot Size : 1000ot Size : 1000ot Size : 1000ot Size : 1000ot Size : 1000 Exercise Date (F & O) :Exercise Date (F & O) :Exercise Date (F & O) :Exercise Date (F & O) :Exercise Date (F & O) :

28th. Feb. 2013

Expected PayoffView: Mildly Bullish

200

205

210

215

220

225

BEP -BEP -BEP -BEP -BEP - `213

Max. Risk:Max. Risk:Max. Risk:Max. Risk:Max. Risk: `3,000/- Max. PMax. PMax. PMax. PMax. Profit:rofit:rofit:rofit:rofit: `7,000/-

If BHEL closes on or below `210 on expiry. If BHEL closes on or above `220 on expiry.

NONONONONOTETETETETE::::: Profit can be booked before expiry if BHEL moves in favorable direction.

Strategy: Bull Call Spread

Buy/SellBuy/SellBuy/SellBuy/SellBuy/Sell QtyQtyQtyQtyQty ScripScripScripScripScrip StrikeStrikeStrikeStrikeStrike SeriesSeriesSeriesSeriesSeries OptionOptionOptionOptionOption Buy/Sell RateBuy/Sell RateBuy/Sell RateBuy/Sell RateBuy/Sell Rate

PPPPPricericericericerice TTTTTypeypeypeypeype (((((`````)))))

BUY 1000 BHEL 210 FEB CE 5.00

SELL 1000 BHEL 220 FEB CE 2.00

Closing PClosing PClosing PClosing PClosing Pricericericericerice ExpectedExpectedExpectedExpectedExpected(((((`````))))) PPPPProfit/Lrofit/Lrofit/Lrofit/Lrofit/Lossossossossoss

(`3.00)

(`3.00)

(`3.00)

`2.00

`7.00

`7.00

Derivative Strategy


5/6

Weekly

Buy (> 15%) Accumulate (5% to 15%) Neutral (-5 to 5%)Reduce (-5% to -15%) Sell (< -15%)

Ratings (Returns) :

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Weekly

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Technical Derivatives Weekly, 11th February, 2013