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2025-07-11 10:30:37 am | Source: Axis Securities Ltd
Daily Derivatives Report 11 July 2025 by Axis Securities Ltd
Daily Derivatives Report 11 July 2025 by Axis Securities Ltd

The Day That Was:

Nifty Futures: 25,421.9 (-0.5%), Bank Nifty Futures: 57,171.6 (-0.4%).

Nifty Futures and Bank Nifty Futures experienced a modest yet notable decline of 137 points and 212 points, respectively, extending losses for a second consecutive session, primarily influenced by the inherent volatility associated with the Nifty weekly expiry, dovetailed with a confluence of domestic earnings caution and lingering global trade uncertainties. This downturn was largely driven by investor apprehension ahead of the crucial Q1FY26 earnings season, specifically due to anticipation of a soft earnings report from IT bellwether Tata Consultancy Services (TCS), scheduled for release post-market hours, which triggered a visible sell-off in information technology stocks, significantly dragging down the broader indices. Adding to the cautious mood was the palpable uncertainty surrounding a potential India-US trade deal and the persistent tariff dispute, as a delegation from India's commerce ministry was poised for discussions with their US counterparts in Washington. Sectorally, PSU banks, IT, and pharmaceutical shares registered declines, reflecting overarching cautiousness and sector-specific headwinds, while the realty, metal, and consumer durables sectors displayed resilience, posting advancements and providing some counter-balancing strength. Amidst this nuanced market performance, India VIX, a key gauge of near-term market volatility, receded by 2.24% to 11.67, signalling a marginally calming outlook on future price swings despite the day's downward pressure. Furthermore, Nifty futures premium decreased to 67 from 83 points, while Bank Nifty premium increased from 170 to 216 points.

Global Movers:

US stocks closed at yet another record high as investors looked past tariff-related news and focused their energies on corporate earnings which will hit the tape starting next week. The S&P 500 Index rose 0.3%, with more than 70% of its members rallying; the Nasdaq 100 fell 0.2% however. Some strategists are saying that clarity on trade deals or the lack of them is unlikely to come by the August 1st deadline, and that not only puts a July rate cut out of the window but also reduces the chances of a September cut. Meanwhile, data showed that unemployment claims fell, while continuing claims hit the highest level since 2021 in a mixed message about the state of the economy. In related markets, the VIX fell 1%, the dollar index was on a five-day winning run, while the 10-year treasury yield also rose, gold continued to see dip buyers, while Brent closed around $70 even on news that OPEC+ is planning to halt production increases from October after its upcoming hike.

Stock Futures:

Glenmark, One 97 Communications, BDL, and Solar Industries saw a surge in market activity yesterday, with notable spikes in both trading volumes and price volatility. The increased momentum around these stocks points to a shift in investor sentiment, suggesting that market participants are actively positioning themselves ahead of potential sector-driven catalysts or upcoming earnings reports.

Glenmark Pharmaceuticals Ltd. soared to a new 52-week and all-time high, propelled by a landmark global licensing agreement. Its innovation arm, Ichnos Glenmark Innovation (IGI), forged a significant deal with AbbVie for the cancer treatment ISB 2001. This corporate coup ignited a robust 4.7% price gain and a 9.4% surge in open interest. Futures open interest now stands at 33,877 contracts, with 2,902 new additions translating to 10.9 Lc shares in open interest. Option positioning reveals a put-call ratio of 0.54. Total open interest in call options is 25,322 contracts, while put options stand at 13,787 contracts. Call options witnessed a substantial addition of 4,314 contracts, outpacing the 3,259 additions in put options. This derivatives activity suggests a bullish bias among market participants, with option writers potentially anticipating stability or further upward movement, while option buyers are exhibiting conviction in the stock's continued ascent, particularly through call accumulation.

One 97 Communications Ltd. (Paytm) concluded trading at a monthly high, signifying a notable upward trajectory. This resurgence follows a period of market apprehension, recently eased by the Finance Ministry's definitive clarification dismissing rumours of a Merchant Discount Rate (MDR) imposition on UPI transactions, a development that had broadly impacted fintech equities, including Paytm. The stock's ascent was marked by a 3.7% price gain, indicative of robust buying interest. Concurrently, a marginal 0.7% decrease in open interest, characterised as "Short Covering," points to bears capitulating and unwinding their bearish bets. Current futures open interest stands at 35,483 contracts, reflecting a shedding of 262 contracts. In the options arena, the put-call ratio (PCR) decreased significantly from 1.15 to 0.76, signalling a shift in market sentiment towards a more bullish outlook. Call option open interest totals 8,728 contracts, while put options register 6,607 contracts. The noteworthy addition of 2,845 contracts in call options, contrasted with a decrease of 184 contracts in put options, underscores increasing conviction among option buyers in the stock's upward momentum, while option writers are increasingly writing puts, suggesting confidence in a higher floor for the stock.

Bharat Dynamics Ltd. (BDL) experienced a significant decline, as widespread profit booking gripped defence stocks after a prolonged rally. The Nifty India Defence Index also mirrored this downturn. A key catalyst for BDL's fall was a domestic brokerage's initiation of coverage with a 'Neutral' rating and a target price that implied a slight downside. The stock registered a 5.1% price decrease, coupled with a 5.7% increase in open interest, signifying "Short Addition"—a clear indication of aggressive new short selling. Current futures open interest stands at 10,591 contracts, with 567 new additions. The futures market displayed a dramatic shift: the premium to spot price plummeted by 8.7 points, closing at a discount of 0.1 points to the cash price, signalling a distinct bearish shift in short-term sentiment. In the options segment, total call option open interest is 10,093 contracts, compared to 5,339 in put options. While call options saw an addition of 2,176 contracts, put options also witnessed an increase of 611 contracts. This complex interplay suggests that option writers are fortifying call positions, potentially hedging against further downside, while the increase in put options indicates that some option buyers are actively seeking protection against potential future declines.

Solar Industries India Ltd. witnessed a notable decline in its stock price, a consequence of profit booking after a substantial rally that saw the stock surge approximately 47% in FY26 to date and reach a 52-week high on 30th June, 2025. This price dip of -3.9% was accompanied by a 4.5% increase in open interest, characteristic of "Short Addition"—a confluence suggesting that new short positions are being established, contributing to the downward pressure. Current futures open interest stands at 10,337 contracts, reflecting a new addition of 443 contracts. The futures contract closed at a premium of 43 points to the spot price, a significant decrease of 40 points from the previous session's premium of 83 points, indicating a weakening of bullish sentiment in the near term. In the options market, total call option open interest is 6,116 contracts, compared to 2,930 in put options. While call options saw an addition of 1,175 contracts, put options also increased by 355 contracts. This option activity suggests a nuanced sentiment; while some option buyers may still be holding onto call positions or anticipating a rebound, the simultaneous addition of put options indicates growing interest in downside protection, with option writers potentially hedging their exposures against further price corrections.

Put-Call Ratio Snapshot:

The Nifty put-call ratio (PCR) fell to 0.97 from 1.11 points, while the Bank Nifty PCR dropped from 1.0 to 0.92 points.

Implied Volatility:

Bosch Ltd and Glenmark Pharma are currently showing significant stock price swings, reflected in their high implied volatility (IV) rankings of 77 and 72. Bosch Ltd's IV is at 28%, while Glenmark Pharma's IV is 39%. The recent increase in implied volatility has raised option premiums, prompting traders to reconsider and adjust their risk management strategies. In contrast, Fortis Ltd and PNB Housing are among the sector's most stable stocks, with IVs of 24% and 30%. Their lower volatility and consistent price movements make them appealing options for long-term investments, especially during times of increased market volatility.

Options volume and Open Interest highlights:

Prestige Estates and GMR Airports exhibit strong bullish signals, with call-to-put ratios of 6:1 and 5:1, respectively, suggesting high optimism about short-term gains. However, such elevated ratios could also indicate overvaluation in the options market, so caution is recommended when initiating new long positions. Conversely, PIInd and Apollo Hospital tend to show signs of weakness, with higher put-to-call ratios and increased put volumes, reflecting growing investor concern over potential downside risks. While this suggests bearish sentiment, the rise in put activity might also indicate oversold conditions, creating contrarian trading opportunities for those anticipating a reversal. Furthermore, Glenmark Pharma demonstrates significant interest in both calls and puts, along with Trent Ltd (call side) and Laurus Labs (put side), implying strong expectations of price movement and potential support levels. Overall, these activity patterns in options point to increased market volatility, favouring strategies designed to profit from price fluctuations. (This data covers only stock options with at least 500 contracts traded on the day for both calls and puts).

Participant-wise Open Interest Net Activity:

In the index futures segment, a significant shift of 9544 contracts was observed. Notably, retail clients demonstrated a strong bullish conviction by adding 8394 contracts, indicating a positive outlook. Conversely, Foreign Institutional Investors (FIIs) exhibited a remarkably bearish stance, decreasing their positions by an identical 9544 contracts, suggesting a prevailing negative sentiment. Proprietary traders, meanwhile, displayed a moderately optimistic bias, increasing their contracts by 1014. Turning to stock futures, a substantial 59409 contracts underwent position changes. Here, retail clients continued their bullish trend, accumulating 24684 contracts. In stark contrast, FIIs mirrored their index futures behaviour with an equally pronounced bearish outlook, reducing their positions by the full 59409 contracts. Proprietary traders in this segment showed a considerably strong positive sentiment, adding 19686 contracts. Retail participants consistently show a net long bias across both index and stock futures, indicating underlying optimism. Conversely, FIIs overwhelmingly exhibit a net short posture in both segments, signalling a cautious to negative market outlook.
 

Nifty

Bank Nifty

Stocks with High IVR:

Stocks with Low IVR:

Stocks With High IVP:

Stocks With Low IVP:

 

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