Regaining control You may not control all the events that happen to you, but you can decide not to be reduced by them.

Transcription

1 September 29, 2017 Indian Markets CMP chg 1d chg 3m chg 6m chg ytd Nifty 9, Sensex 31, BSE Small Cap 15, Midcap 15, INR/USD Developed/Emerging markets Dow Jones 22, S&P 500 2, Nasdaq 5,933 (0.1) Nikkei 20,307 (0.3) Hang Seng 27, Bovespa 73,567 (0.3) DAX 12, FTSE 7, (0.4) (0.7) 2.5 SGX Nifty 9, Regaining control You may not control all the events that happen to you, but you can decide not to be reduced by them. - Maya Angelou Aggressive buying by domestic institutions cushioned the impact of yet another day of sell-off by FPIs on Thursday. The end result was a late recovery in the last hour of trade caused by the F&O expiry, which helped the main indices post modest gains and snap its 7-day losing streak. Rollovers for Nifty were higher in terms of percentage as well as total open interest vis-a-vis last month and last three-month average. The government has kept the borrowing target unchanged at Rs.2 08 lakh crore for second half of FY18. All Asian markets are positive except Japan. US shares ended higher. The outlook is a flat start. INR which bounced back from six-month lows will be in focus as dollar index is gaining steam. Top gainers Top losers Underlying Security CMP chg Underlying security CMP chg IRB Gruh Fin. 506 (3.4) JSW Energy PC Jewel. 318 (3.3) Info Edge 1, Asian Paints 1,130 (2.6) CONCOR 1, Siemens 1,189 (2.5) Ashok Leyland Titan 576 (2.4) Recent eco. data Actual Cons. Upcoming eco. data Cons. Previous Canada Wholesale Sales 1.5 (0.7) US Personal Spending India GDP UK Final GDP US Indus. Production (0.9) 0.1 US Chicago PMI Canada Retail Sales China Mfg PMI Canada CPI Japan Housing Starts 0.7 (2.3) Nifty intra-day movement 9,810 9,780 9,750 9,720 9,690 9,660 09:15 11:20 13:25 15:30 Sectoral movement 2 0 (2) Banknifty intra-day movement 24,100 23,980 23,860 23,740 23,620 23,500 09:15 11:20 13:25 15:30 FIIs & DIIs cash activity (Rs cr) Previous day MTD YTD FII Equity (5,328) (6,715) 40,130 DII Equity 5,197 12,537 80,705 FII Debt (44) 2, ,831 DII Debt 96 33, ,755 (4) (6) (8) chg 1d chg 5d IT Auto FMCG Energy Realty Media Pharma Fin Services Infra Bank

2 Corporate Snippets & Economy Updates Corporate News Godrej Properties acquired new project in Bengaluru which is expected to offer 4.7mn square feet Petroleum and Natural Gas Regulatory Board (PNGRB) has put up a consultation document on unified pipeline tariff proposing a 60 hike in tariff by GAIL Infosys says Mediterranean Bank upgraded Finacle's lending module NTPC to start commercial operations of 500 MW unit at Feroze Gandhi Uchahar Thermal Power Station IOB sells Essar Steel bad debt to Edelweiss ARC Titan company operational performance in second quarter was close to expectation; continued gaining market share despite GST HCC says Lavasa lenders to invoke strategic debt restructuring Vakrangee promoters hike stake in company to percent from percent. Shreyas Shipping signed memorandum of association for acquiring one multipurpose vessel and one container vessel Loveable Lingerie to consider share buyback proposal on October 6 EPC Industries says sales volume of micro irrigation products declined after July Economy News India's GDP growth likely to come down to 6.7 in financial year : India Ratings ADB planning to raise annual lending up to $4 billion per year to India during Upcoming Events Sep 29: UK GFK Consumer Confidence, Japan Household Spending, Japan CPI, Japan Unemployment Rate, Japan Retail Sales, Japan Prelim Industrial Production, China Caixin Manufacturing PMI, Japan Housing Starts, Germany Retail Sales, France Consumer Spending, UK BOP, UK Final GDP, Canada GDP, US Personal Spending, US Chicago PMI.

3 DERIVATIVE STRATEGY September 29, 2017 Rollovers Analysis September 2017 Sharp uptick in Aggregate OI Relentless selling by FIIs in Cash and Derivative Market, INR depreciation and growing concerns over economic slowdown collectively took their toll on September street sentiments. Nifty ended the current series at 9,769 levels, lower by 1.5 eoe basis, recording the second consecutive month of a losing streak. Private Banks showed discernible signs of fatigue, as was evident from Bank Nifty's under performance which lost 2 eoe. Nifty/Bank Nifty rolls stood at 70/65 (2.7cr/22lacs shares) as against 58/68 (1.6cr/17lacs shares) in the previous series and 6M avg. of 68/70 (2.0cr/26lacs shares). Market wide rollovers stood at 85 (vs 84 for previous month). FII s long/short index future rolls stood at 72/58 as against previous four month average of 78/62. FII's net index futures long begins at only 24k contracts (1.25x long/short ratio lowest in past 6 months). Cost of Carry for Nifty and BankNifty was higher than the previous Month. Total aggregate open interest over to September series stood at 446cr shares (vs 406cr shares), a jump of 10 eoe basis. On Options front, October series starts at 9,700put/10,000call strike holding the maximum OI to tune of 4.1/3.4mn shares respectively. Figure 3: Sector-wise rollovers Figure 1: Market Vs Nifty Rollover 90.0 Market rollover Nifty Rollover Apr 17 May 17 Jun 17 Jul 17 Aug 17 Sep 17 Figure 2: Nifty Options Matrix 4.5 Mn Call OI Put OI Sept Expiry August Expiry July Expiry Auto & PSU Bank Pvt. Bank Anc. Source: Bloomberg, NSE, IIFL Research Cap. Goods Analyst: Hemant Nahata, Navneet Daga Cement Fertilizer FMCG IT Infra Real estate Media Metals Oil & Gas Pharma Power Textile Telecom Others

4 Figure 4: Strong Rollovers Scrip LTP Rollover () change eoe Roll cost Adanipower (11.9) 0.68 Tv18Brdcst Dalmiabha 2, (6.0) 0.59 Jswenergy Dhfl Mcdowell N 2, (5.6) 0.76 Fortis (0.8) 0.86 Bharatfin Auropharma (6.7) 0.38 Centurytex 1, (1.8) 0.72 Ifci (4.4) 0.66 Infibeam (14.5) 1.09 Figure 5: Weak Rollovers Scrip LTP Rollover () change eoe Roll cost Powergrid (4.8) 0.38 Ubl Kotakbank Indusindbk 1, Vguard (3.0) 0.39 Rblbank (7.3) 0.25 Acc 1, (8.6) 0.64 Hindalco Pageind 18, Hdfcbank 1, (0.15) Hexaware (2.5) 0.58 Ambujacem (4.4) 0.54 Figure 6: High cost of carry Scrip LTP Rollover () change eoe Roll Cost Jswenergy Mcx 1, (3.4) 1.29 Southbank (0.2) 1.26 Infibeam (14.5) 1.09 Jswsteel (6.3) 1.03 Dlf (12.3) 0.99 Hdil (10.3) 0.99 Raymond Kpit Hcc (5.6) 0.92 Cgpower (5.1) 0.92 Dhfl Figure 7: Low cost of carry Scrip LTP Rollover () change eoe Roll Cost Oil (1.60) Concor 1, (1.40) Irb (0.98) Tcs 2, (0.5) (0.38) Hindunilvr 1, (1.3) (0.28) Wipro (4.3) (0.19) Hdfcbank 1, (0.15) Coalindia (0.15) Hcltech (0.15) Colpal 1, (3.0) (0.04) Techm (0.02) Tvsmotor Figure 8: 6months Nifty movement October series VAP 9, May 31 May 28 Jun 26 Jul 23 Aug 20 Sep Source: NSE, Bloomberg, IIFL Research Figure 9: 6months Bank nifty movement Oct series VAP 24, May 31 May 28 Jun 26 Jul 23 Aug 20 Sep Source: NSE, Bloomberg, IIFL Research

5 Participation-wise rollover position Figure 10: Index future long rolls Figure 12: Stock future long rolls Retail/HNI FII Prop desk Retail/HNI FII Prop desk May June July August Sept Figure 11: Index future short rolls Retail/HNI FII Prop desk May June July August Sept May June July August Sept Figure 13: Stock future short rolls Retail/HNI FII Prop desk May June July August Sept

6 Figure 14: Index call options long rolls Figure 16: Index call options short rolls Retail/HNI FII Prop desk Retail/HNI FII Prop desk May June July August Sept Figure 15: Index put options long rolls 30.0 May June July August Sept Figure 17: Index put options short rolls Retail/HNI FII Prop desk Retail/HNI FII Prop desk May June July August Sept 10.0 May June July August Sept

7 Figure 18: Derivative rollover details Sector September Expiry August Expiry July Expiry Price Scrip Name No. of shares Inference Index NIFTY 69.9 (1.5) 20,531, (1.1) 16,410, ,218,200 Short Build up NIFTYIT 70.2 (0.3) 29, (0.5) 28, ,600 Short Build up BANKNIFTY 64.6 (1.4) 2,211, (2.5) 1,679, ,550,280 Short Build up DJIA S&P (0.4) 1, Short Covering Sector Average ,773, ,119, ,794,080 Short Covering Automobiles Two & Three Wheeler HEROMOTOCO 83.2 (6.3) 1,700, , (0.5) 828,800 Short Build up BAJAJ AUTO ,504, (0.9) 1,401, ,500 Long Build up TVSMOTOR ,710, ,742, ,272,000 Short Covering EICHERMOT 81.9 (3.9) 137, , ,025 Short Build up Sector Average ,051, ,143, ,009,325 Short Covering Four Wheeler ASHOKLEY ,991, ,757, ,043,000 Long Build up M&M 83.6 (8.5) 4,844, (3.9) 3,693, ,627,500 Short Build up MARUTI ,749, ,852, ,663,350 Short Covering TATAMOTORS ,566, (15.6) 37,245, ,792,000 Short Covering TATAMTRDVR ,843, (16.6) 19,792, (2.4) 19,351,500 Long Build up ESCORTS 81.8 (1.6) 3,681, ,573, (3.3) 4,690,400 Long Unwinding Sector Average ,676, ,914, ,167,750 Short Covering Auto Ancillaries BHARATFORG 83.6 (46.8) 7,827, (0.4) 5,009, ,998,000 Short Build up EXIDEIND ,044, (8.4) 13,804, (1.4) 14,364,000 Short Covering MOTHERSUMI ,333, (3.8) 10,661, (30.0) 7,001,250 Short Covering BOSCHLTD 84.7 (5.9) 104, (8.2) 89, ,725 Short Build up AMARAJABAT 83.5 (8.7) 1,599, (8.3) 1,178, ,738,800 Short Build up Sector Average ,909, ,742, ,174,775 Short Covering

8 Sector September Expiry August Expiry July Expiry Price Scrip Name No. of shares Inference Banking & Financial Services PSU Banks ALBK 83.6 (3.6) 11,720, (7.2) 11,500, ,800,000 Short Build up ANDHRABANK ,490, (8.2) 17,980, ,250,000 Long Build up BANKBARODA ,302, (14.4) 62,072, ,333,500 Short Covering BANKINDIA 79.2 (3.7) 16,278, (7.2) 15,570, ,742,000 Short Build up CANBK 82.6 (6.9) 9,797, (3.9) 8,120, ,495,636 Short Build up ORIENTBANK 76.2 (5.0) 13,512, (14.0) 13,296, ,948,000 Short Build up PNB 79.2 (8.9) 26,001, (6.8) 20,482, ,914,000 Short Build up SBIN 85.6 (8.9) 87,732, (7.1) 67,947, ,539,000 Short Build up SYNDIBANK 77.7 (3.5) 16,893, (14.9) 16,029, ,615,000 Short Build up UNIONBANK 86.5 (5.6) 18,996, (12.3) 15,612, ,608,000 Short Build up KTKBANK 82.9 (7.7) 22,450, (0.1) 21,576, (7.0) 26,524,000 Short Build up INDIANB 80.5 (9.6) 3,934, (7.4) 4,000, ,984,000 Long Unwinding Sector Average ,106, ,185, ,753,136 Short Covering Private Banks AXISBANK ,501, (4.7) 30,168, ,292,000 Long Build up FEDERALBNK ,216, (4.0) 56,771, ,360,000 Short Covering HDFCBANK ,264, (0.9) 19,851, ,809,000 Short Covering ICICIBANK 74.1 (7.8) 84,320, (3.0) 78,185, ,458,750 Short Build up IDBI 85.8 (4.7) 30,000, (7.5) 30,112, ,256,000 Long Unwinding KOTAKBANK ,514, (2.3) 7,569, ,860,000 Long Build up INDUSINDBK ,063, ,981, ,231,800 Long Build up YESBANK 85.2 (80.0) 37,661, (1.6) 7,962, ,578,150 Short Build up SOUTHBANK 85.6 (0.2) 132,630, (10.0) 91,038, ,549,794 Short Build up IDFCBANK ,742, (7.3) 87,795, ,318,000 Long Build up DCBBANK 85.6 (2.2) 6,079, (6.6) 6,507, (0.0) 6,745,500 Long Unwinding RBLBANK 71.9 (7.3) 4,221, ,028, ,855,000 Short Build up Sector Average ,214, ,969, ,458,994 Short Covering Financial Institution & Brokerage HDFC 75.1 (1.8) 8,802, ,076, ,037,000 Long Unwinding IDFC ,566, (5.3) 110,550, ,059,200 Long Build up

9 Sector September Expiry August Expiry July Expiry Scrip Name Inference IFCI 91.3 (4.4) 72,138, (11.3) 69,102, ,610,000 Short Build up LICHSGFIN 87.5 (7.5) 9,914, (8.6) 6,161, (0.8) 4,329,600 Short Build up PFC 85.3 (0.1) 24,606, ,352, (0.5) 40,938,000 Long Unwinding RELCAPITAL 84.2 (25.6) 8,965, ,756, ,008,500 Short Build up SRTRANSFIN ,427, ,908, (0.3) 5,850,600 Short Covering M&MFIN 79.6 (6.3) 5,475, ,617, ,655,000 Long Unwinding L&TFH 87.2 (5.2) 23,319, ,817, ,065,500 Short Build up BHARATFIN ,997, ,685, ,602,000 Long Build up IBULHSGFIN 80.1 (0.4) 6,222, ,337, ,968,000 Long Unwinding BAJFINANCE ,684, ,857, ,200,500 Long Build up DHFL ,793, ,648, ,438,000 Long Build up CAPF 83.7 (0.5) 3,035, (5.1) 3,405, ,116,800 Long Unwinding EQUITAS 74.1 (13.1) 11,398, ,696, ,419,200 Short Build up MUTHOOTFIN 86.6 (3.2) 2,214, ,840, ,434,500 Short Build up UJJIVAN 84.1 (14.0) 6,064, ,586, ,666,400 Long Unwinding MFSL 86.1 (2.6) 4,533, (0.2) 3,958, (1.2) 3,835,000 Short Build up BAJAJFINSV 90.1 (8.3) 670, , ,875 Short Build up CANFINHOME 85.1 (8.0) 639, (7.8) 619, (2.6) 543,250 Short Build up CHOLAFIN 82.8 (6.8) 446, (1.6) 289, ,500 Short Build up ICICIPRULI 83.9 (10.9) 5,679, (2.2) 4,637, ,209,700 Short Build up MANAPPURAM 86.1 (4.2) 33,366, (4.8) 29,934, ,814,000 Short Build up REPCOHOME 78.8 (5.3) 882, (15.6) 636, ,700 Short Build up SREINFRA 80.9 (19.9) 9,050, ,310, ,860,000 Long Unwinding Sector Average ,890, ,197, ,657,825 Short Covering Capital goods & Engineering BHEL 83.0 (35.7) 50,017, (9.5) 26,955, ,465,000 Short Build up CGPOWER 85.2 (5.1) 25,824, (4.7) 14,928, ,896,000 Short Build up LT 85.7 (0.3) 9,816, (3.8) 8,500, (30.7) 7,790,250 Short Build up SIEMENS 82.0 (7.2) 901, (7.7) 521, ,500 Short Build up VOLTAS 76.0 (4.6) 2,394, ,330, ,650,000 Short Build up HAVELLS 81.1 (3.3) 3,028, ,544, ,354,000 Short Build up ENGINERSIN 85.5 (4.3) 10,409, (2.6) 9,709, ,705,000 Short Build up BEL 83.4 (13.8) 14,632, ,412, ,917,000 Long Unwinding

10 Sector September Expiry August Expiry July Expiry Scrip Name Inference BEML 87.7 (6.5) 2,459, ,739, ,021,400 Short Build up CUMMINSIND 70.1 (1.8) 487, (5.1) 562, ,600 Long Unwinding VGUARD 71.9 (3.0) 1,902, (3.8) 1,647, ,321,000 Short Build up Sector Average ,871, ,201, ,820,750 Short Covering Cement ACC 72.5 (8.6) 2,036, ,195, ,003,600 Short Build up AMBUJACEM 73.4 (4.4) 11,705, ,575, ,350,000 Short Build up GRASIM 85.7 (5.6) 3,612, ,127, (12.2) 2,435,250 Short Build up INDIACEM 86.0 (4.7) 23,331, (17.3) 24,759, ,040,000 Long Unwinding ULTRACEMCO 88.3 (3.5) 1,177, (0.9) 1,323, ,401,200 Long Unwinding DALMIABHA 92.5 (6.0) 584, , ,300 Long Unwinding SHREECEM , , ,000 Long Build up RAMCOCEM 67.7 (1.8) 359, , (2.7) 632,800 Long Unwinding Sector Average ,835, ,120, ,975,350 Short Covering Fertilizers & Chemicals TATACHEM ,902, (6.0) 4,410, ,738,500 Long Build up UPL 78.1 (7.3) 7,959, (4.7) 5,373, ,840,800 Short Build up KSCL 85.1 (7.1) 3,853, (14.8) 3,487, (2.0) 4,032,000 Short Build up GSFC 88.6 (13.7) 15,696, ,978, ,381,500 Long Unwinding Sector Average ,411, ,249, ,992,800 Short Covering FMCG COLPAL 83.1 (3.0) 1,496, , (1.2) 1,396,500 Short Build up DABUR 90.2 (1.4) 12,335, ,117, ,905,000 Short Build up HINDUNILVR 83.2 (1.3) 9,076, ,872, ,547,000 Short Build up ITC 84.7 (7.2) 54,823, (2.2) 35,776, (7.4) 41,800,800 Short Build up TATAGLOBAL ,450, ,319, ,269,000 Short Covering TITAN 80.7 (6.5) 4,357, ,835, ,144,000 Short Build up BATAINDIA ,702, ,208, ,685,000 Short Covering JUBLFOOD 82.0 (1.2) 1,798, ,539, ,647,500 Short Build up BRITANNIA , , ,600 Long Build up MARICO 84.4 (1.4) 4,487, (3.5) 4,024, ,685,800 Short Build up

11 Sector September Expiry August Expiry July Expiry Scrip Name Inference MCDOWELL N 91.9 (5.6) 1,843, ,614, ,883,500 Short Build up PCJEWELLER 86.2 (10.5) 8,505, ,660, (50.4) 5,136,000 Short Build up UBL , (2.6) 734, ,300 Long Build up GODREJCP 88.6 (2.9) 1,606, (13.3) 1,501, ,247,200 Short Build up ASIANPAINT 77.2 (2.9) 2,901, ,905, ,465,400 Long Unwinding BERGEPAINT 76.1 (2.2) 1,962, (1.4) 1,705, ,062,600 Short Build up GODFRYPHLP 78.2 (2.0) 489, (10.6) 525, (5.6) 732,500 Long Unwinding NESTLEIND , , ,300 Short Covering KAJARIACER , , (0.4) 483,200 Long Build up Sector Average ,993, ,510, ,001,600 Short Covering IT HCLTECH ,508, (3.0) 6,357, ,382,300 Long Build up OFSS , (5.4) 57, ,500 Short Covering INFY 84.3 (2.1) 38,259, (5.7) 35,770, ,303,000 Short Build up TCS 85.4 (0.5) 5,844, ,630, ,283,250 Short Build up TECHM ,090, ,595, (3.0) 8,166,400 Long Build up WIPRO 88.7 (4.3) 30,962, ,350, ,694,400 Short Build up HEXAWARE 73.2 (2.5) 1,671, ,881, ,804,000 Long Unwinding MINDTREE ,450, (4.0) 3,730, (9.1) 4,636,800 Short Covering KPIT ,492, (6.4) 10,360, ,128,000 Long Build up TATAELXSI 82.1 (50.9) 1,425, (5.3) 944, ,310,400 Short Build up NIITTECH , (4.9) 1,023, (8.7) 985,500 Short Covering INFIBEAM 91.2 (14.5) 44,988, (89.0) 39,992, ,282,400 Short Build up Sector Average ,461, ,700, ,758,550 Long Build up Infrastructure GMRINFRA 89.8 (7.2) 292,545, (10.4) 268,380, ,825,000 Short Build up ADANIPORTS 82.6 (5.1) 6,882, (0.0) 6,335, ,097,500 Short Build up IRB ,695, (1.7) 16,417, ,922,500 Short Covering NCC 86.7 (2.8) 23,944, (5.4) 20,168, (0.1) 23,528,000 Short Build up HCC 84.1 (5.6) 25,704, (15.0) 20,928, ,296,000 Short Build up Sector Average ,770, ,228, ,373,000 Short Covering

12 Sector September Expiry August Expiry July Expiry Price Scrip Name No. of shares Inference Construction DLF 80.6 (12.3) 38,920, (5.7) 36,920, ,070,000 Short Build up HDIL 86.2 (10.3) 31,696, (28.0) 24,728, (1.4) 29,424,000 Short Build up IBREALEST 95.3 (11.0) 38,640, ,350, ,930,000 Long Unwinding JPASSOCIAT 86.2 (30.5) 163,676, (16.6) 166,464, ,340,000 Long Unwinding GODREJIND 88.4 (6.0) 3,070, (8.4) 2,212, ,935,000 Short Build up NBCC ,970, (1.5) 2,877, ,975,000 Long Build up Sector Average ,972, ,551, ,699,000 Short Covering Media & Entertainment DISHTV 87.5 (4.4) 14,455, (1.7) 13,027, ,240,000 Short Build up SUNTV ,669, (12.4) 6,907, (1.5) 6,447,000 Short Covering ZEEL ,447, (3.6) 5,612, ,539,300 Short Covering TV18BRDCST ,680, (5.8) 77,741, ,668,000 Long Build up Sector Average ,251, ,287, ,894,300 Short Covering Metals HINDALCO ,913, ,029, ,340,000 Short Covering HINDZINC 88.5 (0.8) 8,227, ,254, ,875,200 Long Unwinding JINDALSTEL 89.1 (1.3) 34,978, (10.2) 36,846, ,528,500 Long Unwinding JSWSTEEL 94.8 (6.3) 52,428, ,650, ,941,000 Short Build up SAIL 85.8 (12.5) 68,112, (4.1) 52,140, ,396,000 Short Build up VEDL ,842, ,553, ,218,500 Long Build up TATASTEEL ,414, ,136, ,160,000 Long Build up NMDC 85.0 (7.7) 29,760, ,468, ,274,000 Short Build up COALINDIA ,280, (7.1) 28,918, ,782,500 Short Covering NATIONALUM ,096, ,112, ,248,000 Long Build up Sector Average ,051, ,107, ,763,700 Short Covering Oil & Gas GAIL ,538, (0.1) 8,984, ,976,000 Long Build up ONGC ,773, (3.4) 54,232, ,751,250 Short Covering PETRONET 84.4 (1.5) 12,360, ,317, (52.3) 13,638,000 Short Build up

13 Sector September Expiry August Expiry July Expiry Scrip Name Inference RELIANCE 79.3 (50.7) 37,259, (0.2) 14,777, ,622,500 Short Build up BPCL 84.0 (12.5) 13,876, ,720, (23.8) 9,599,400 Short Build up HINDPETRO 83.3 (14.8) 24,896, ,361, (28.0) 23,760,450 Short Build up IOC 87.8 (12.4) 16,053, ,299, (4.4) 20,895,000 Long Unwinding IGL , , ,050 Long Build up OIL ,390, ,808, ,034,868 Long Build up CASTROLIND 87.1 (7.8) 9,210, (3.9) 8,852, ,574,600 Short Build up MGL , , (0.3) 738,000 Long Build up MRPL 81.1 (12.2) 5,994, ,118, ,445,500 Long Unwinding CHENNPETRO 86.7 (12.9) 2,268, ,926, ,254,000 Short Build up Sector Average ,293, ,910, ,263,618 Short Covering Pharma AUROPHARMA 91.4 (6.7) 17,484, (1.9) 13,332, ,782,400 Short Build up BIOCON 88.4 (2.0) 9,131, (15.5) 9,113, ,625,600 Short Build up CIPLA ,057, ,912, ,196,000 Long Build up DIVISLAB ,161, ,994, ,321,600 Short Covering DRREDDY ,579, (23.1) 4,168, (0.9) 2,652,000 Short Covering LUPIN ,696, (11.6) 7,172, ,424,800 Short Covering SUNPHARMA ,296, (16.0) 35,655, ,827,200 Long Build up GLENMARK 88.9 (2.2) 6,000, (14.9) 5,903, ,640,300 Short Build up WOCKPHARMA ,747, (2.9) 2,953, ,360,000 Short Covering STAR 89.8 (2.1) 2,149, (16.0) 1,990, ,853,000 Short Build up AJANTPHARM 83.2 (4.2) 834, (15.3) 589, (8.9) 616,400 Short Build up CADILAHC 86.7 (6.5) 3,262, (7.5) 2,051, ,262,400 Short Build up TORNTPHARM , (5.2) 217, ,400 Long Build up GRANULES 84.3 (12.1) 13,945, (6.7) 11,135, ,055,000 Short Build up PEL 84.0 (5.4) 1,144, (4.5) 758, ,500 Short Build up Sector Average ,716, ,948, ,513,600 Short Covering Power CESC 78.8 (3.2) 4,985, ,268, ,496,600 Long Unwinding NTPC 80.1 (1.8) 22,916, ,752, ,104,000 Long Unwinding POWERGRID 70.3 (4.8) 11,644, ,848, ,868,000 Short Build up

14 Sector September Expiry August Expiry July Expiry Scrip Name Inference PTC ,712, ,824, ,920,000 Short Covering RECLTD 89.1 (10.2) 41,574, (3.5) 32,190, ,566,000 Short Build up RELINFRA 85.3 (9.1) 10,600, (0.0) 9,436, ,522,800 Short Build up JSWENERGY ,548, ,008, ,965,500 Short Covering RPOWER ,108, (9.8) 54,360, ,812,000 Short Covering TATAPOWER 69.6 (2.5) 36,468, (3.5) 26,253, ,194,000 Short Build up ADANIPOWER 92.8 (11.9) 97,740, (1.6) 92,060, ,680,000 Short Build up NHPC 80.5 (8.1) 30,942, (4.0) 24,570, (5.2) 28,728,000 Short Build up TORNTPOWER 87.1 (0.8) 6,594, ,246, ,459,000 Short Build up SUZLON 84.0 (5.5) 431,160, (17.2) 439,230, ,160,000 Long Unwinding Sector Average ,991, ,046, ,856,900 Short Covering Textile ARVIND 82.8 (0.4) 6,530, ,830, ,434,000 Short Build up PAGEIND , , ,800 Short Covering SRF , (0.8) 560, ,000 Long Build up ICIL 84.6 (11.9) 10,668, (25.1) 9,796, (9.0) 8,449,000 Short Build up RAYMOND ,162, (1.3) 1,985, ,009,600 Long Build up Sector Average ,978, ,194, ,563,400 Short Covering Telecom BHARTIARTL 91.1 (10.6) 24,136, ,079, ,265,900 Long Unwinding IDEA 81.8 (16.3) 55,692, (2.5) 45,192, ,728,000 Short Build up RCOM 86.7 (15.3) 111,426, (9.2) 94,836, ,056,000 Short Build up TATACOMM ,417, (3.2) 8,589, (6.3) 8,943,900 Short Covering INFRATEL ,870, (8.6) 6,740, ,132,700 Short Covering Sector Average ,541, ,437, ,126,500 Short Covering Others CENTURYTEX 91.3 (1.8) 7,134, ,740, ,357,350 Long Unwinding ADANIENT 85.4 (12.9) 26,344, (4.2) 22,056, ,896,000 Short Build up APOLLOTYRE 80.2 (3.8) 9,972, (3.2) 10,335, ,628,000 Long Unwinding JISLJALEQS 91.1 (5.2) 38,952, (6.7) 35,334, ,297,000 Short Build up MRF 88.3 (3.4) 51, (6.8) 45, ,045 Short Build up

15 Sector September Expiry August Expiry July Expiry Scrip Name Inference APOLLOHOSP 83.8 (8.3) 1,418, (16.6) 1,440, ,500 Long Unwinding JUSTDIAL 81.2 (5.2) 3,853, ,608, ,077,600 Short Build up CEATLTD 86.4 (0.5) 1,596, (9.0) 1,411, ,155,000 Short Build up PIDILITIND 84.8 (6.8) 1,082, , ,451,000 Short Build up CONCOR ,231, ,060, ,250 Long Build up JETAIRWAYS 82.3 (17.0) 4,276, ,376, ,510,000 Short Build up RNAVAL 83.3 (9.1) 11,700, (7.5) 13,257, ,700,000 Long Unwinding PVR 80.4 (9.4) 716, (0.6) 579, (6.3) 537,200 Short Build up BALKRISIND ,800 (2.0) 535, (2.0) 580,800 Short Covering BALRAMCHIN 80.9 (8.2) 11,928, ,776, ,874,500 Short Build up FORTIS 91.7 (0.8) 38,874, (10.8) 39,700, (0.2) 31,962,600 Long Unwinding MCX 86.0 (3.4) 1,046, (5.5) 1,146, ,348,000 Long Unwinding INDIGO 68.3 (12.3) 2,395, (1.2) 1,461, ,813,200 Short Build up Sector Average ,032, ,622, ,942,045 Grand Total ,456,795, ,058,389, ,619,560,998 Stock Total ,434,022, ,040,269, ,599,766,918

16 Technical Track The recent predicament in the market has been the cumulative play of multiple factors i.e. Laboured upmove above previous peak of 10138, failure to sustain above gann numbers of & and reversal in BankNifty. In previous seven sessions, BankNifty had lost 5.3 and in the noon s trade it made a low of 23,611. However, much awaited comeback by the leadership sector proved to be the saviour. Intensity of the pullback was extreme as it quickly regained control above the four digit gann number of 2377(0) before shutting the shop at 24,008, up by 1.3. Meanwhile, snapping losing streak of seven sessions, Nifty took a pause as bulls outstrip bears near confluence of support zone of 9,700. Index sustained above 9,700 after marking a low of 9,688. Late recovery lifted Nifty towards 9,789. Friday being the monthly close, series of higher lows continues to remain intact. So, bulls would need to defend Thursday s low to keep broader structure positive. Fund action SBI MF sold 3.2mn shares of Tata Motors DVR A at Rs221 Leaders Laggards CMP 52 wk Deviation CMP 52 wk Deviation Company (Rs) high Company (Rs) Low Rajesh Exp (0.4) Apollo Hosp (0.6) P&G 8,366 8,500 (1.6) Videocon (1.3) Ashok Ley (2.7) Amara Raj (1.7) Mother Sumi (3.0) Ajanta Ph 1,141 1,120 (1.8) TVS Motor (3.2) Castrol (2.1) * Based on deviation from 52 week high/low Proximity to 20-DMA Proximity to 50-DMA Company CMP (Rs) 20 DMA Deviation Company CMP (Rs) Rajesh Exp. 50 DMA Deviation Divis Lab OIL IGL 1,459 1, Ipca Labs Rajesh Exp Dr. Reddy 2,375 2, Ipca Labs IGL 1,459 1, Info Edge 1,082 1, * Based on deviation from moving averages High delivery stocks Low delivery stocks CMP CMP Company Delivery (Rs) chg Company Delivery (Rs) chg Hdfc Bank , Jet Airways Infosys (0.4) Divis Lab Emami , Ipca Labs Zee Ent (0.8) Bank Of India Alembic Ph Canara Bank (0.7) Spurt in volumes Company (mn) Day's Vol. 2 week Avg. Vol 10 DMA CMP (Rs) chg Suzlon (2.5) Gmr Infra Icici Bank (0.2) Itc Sbi Index Pivot Index Last close Support Pivot Resistance Nifty 9,769 9,709 9,749 9,810 Sensex 31,282 31,129 31,235 31,388 Nifty Bank 24,008 23,722 23,898 24,185 Nifty IT 10,522 10,457 10,535 10,599 Intra-day advance decline 1,550 1, Advance Decline 50 09:15 11:20 13:25 15:30 Sectoral trend IT Fin Services FMCG Metal Bank Auto Pharma Energy Media Infra Realty (3.3) (3.4) (3.5) (4.2) (1.8) (2.0) (2.1) (2.1) (2.2) (2.2) (0.8) () (5.0) (4.0) (3.0) (2.0) (1.0) 0.0 * Calculations based on 10 DMA

17 Derivatives Diary Index snapshot Futures Chg Spot Basis Next Month OI in shs OI Chg PCR OI PCR Vol ATM IV's Rollovers Max call build up Max put build up Nifty 9, , , , ,000 9,700 Bank Nifty 24, , ,085 54, ,500 24,500 Snapping seven sessions losing streak, Nifty rebounds from 9700 zone. Rollover for Nifty and BankNifty futures stood at 70/64 respectively. Maximum open interest base for October series is placed at call (40.6 lakh shares) and 9700 put (29.9 lakh shares). FIIs index futures long/short ratio seen at 1.25x vs 0.99x with unwinding of ~46k long and covering of ~71k short index futures positions. SGXNifty is indicating soft opening towards 9800 zone. Zone of levels are likely to act as hurdle point. Nifty open interest distribution (mn) 4.5 Call Put Securities in ban period: Futures open interest gainers Scrip OI (lacs) OI Chg CMP (Rs) Chg Action Kotak Bank , Long Build up BEML , Long Build up AuroPharma (1.6) Short Build up ICIL Long Build up Siemens 9 (0.3) 1,197 (2.0) Short Build up IBRealEst 386 (0.8) Long Build up Relcapital 90 (1.4) Long Build up Futures open interest losers Scrip OI (lacs) OI Chg CMP (Rs) Chg Action Mothersumi 93 (27.1) Short Covering GMRInfra 5 (26.6) 899 (0.8) Long Unwinding Page Ind 0 (25.7) 18, Long Unwinding Hexaware 17 (25.3) Short Covering GMR Infra 2,925 (24.2) Long Unwinding IGL 10 (24.1) 1, Short Covering Voltas 24 (24.0) 505 (1.6) Long Unwinding Table 1: FIIs derivative activity Trading turnover Index Fut* Stock Fut* Index Calls* Index Puts* FIIs 25,183 6,991 22,473 (99,424) DIIs 6,220 (1,690) (30) 957 Prop (9,599) ,349 38,697 HNI Clients (21,804) (5,684) (217,792) 61,684 * No of contracts

18 Commodities & Currencies Cues Commodities Gold prices moved towards a six week low of US$1,280/oz at one point of time, as stronger US macro numbers augmented the prospects of a Fed rate hike in December. US Q2 GDP was upwardly revised to 3.1 (q/q) from the earlier estimate of 3. However, expectations call for a slowdown in growth during the current quarter given the havoc created by Hurricane Harvey and Irma in the energy rich Texas region and west coast of Florida. Federal Reserve Bank of Atlanta projects the economy to have grown 2.1 this quarter. On geopolitical front, Beijing has ordered all North Korean companies based in China to shut down business in next 4 months due to UN sanctions. China will also cut off gas supply and restrict exports of petroleum products to North Korea, however, there is no curb on crude oil shipments, an item not covered by UN sanctions. Non ferrous metals will derive cues from slew of Chinese macro numbers over the weekend. Meanwhile, Chinese authorities reported that profits of domestic industrial companies during August were up by 24 (yoy), the biggest monthly increase since This can be largely attributed to higher commodity prices, particularly metals and minerals. FX US dollar retraced moderately from the highs against the basket of currencies, as scepticism prevails on how Trump administration will balance budget after hefty tax cuts. Unlike the 1986 tax reform which was revenue neutral, Trump s proposal of lower taxes for corporates and households fails to answer how revenues will be created and fiscal gap will be funded. The plan does not mention about plugging the existing tax loopholes. Though the tax reform is short on substance, it seems that President Trump and Republican Senators are quite determined to enforce it into a legislation, believing that tax cuts will provide the much needed impetus to the economy. Commodities Last chg chg Last chg chg (US$ terms) Price 1d ytd Currencies price 1d ytd Gold (troy oz) 1,285 (0.2) 12.0 USD/INR Silver (troy oz) 16.8 (0.4) 5.6 EUR/INR (7.1) Copper (MT) 6, GBP/INR (5.0) Aluminium 2, JPY/INR (MT) Zinc (MT) 3,143 (0.1) 22.0 EUR/USD Lead (MT) 2, GBP/USD 1.34 (0.2) 8.8 Nickel (MT) 10, USD/JPY WTI Crude (4.0) USD/CNY (bbl) Br. Crude (bbl) USD/Real NG (mmbtu) 3.00 (0.1) (19.1) USD Index (8.8) Commodity Dynamics Latest Week ago 1m ago 6m ago 1yr ago SPDR Gold ETF (tonnes) ishares Silver ETF (mn oz) LME Cu Stocks ('000 MT) LME Al Stocks ('000 MT) 1,274 1,300 1,322 1,923 2,134 LME Zn Stocks ('000 MT) LME Pb Stocks ('000 MT) LME Ni Stocks ('000 MT) US Crude stocks (mn bbl) US Oil Rig Count Commodity v/s Currency Apr 17 Apr 17 May 17 CRB Index (LHS) Dollar Index (RHS) Jun 17 Jul 17 Aug 17 Sep 17 Sep Speculative positions on CME Gold Silver Copper Crude 400 ('000 lots) (100) Apr 17 Apr 17 May 17 Jun 17 Jul 17 Aug 17 Sep 17

19 Allocation & View Assets & Sectors Asset Allocation Model Portolios Conservative Balanced Aggressive () () () Asset Allocations SAA TAA SAA TAA SAA TAA Equity Fixed Income Real Estate Alternatives Liquid Assets Total SAA Strategic Asset Allocation; TAA Tactical Asset Allocation Source: IIFL Research Strategic and Tactical Asset Allocations across Model Portfolios Strategic Asset Allocation (SAA) is the long term asset allocation strategy for a client that is arrived at on the basis of risk assessment and investment objectives. There are five model portfolios that have asset allocations to suit different risk profiles. The model portfolios have been optimized using historical risk and returns across asset classes. Every month the IIFLW investment Committee formalizes monthly tactical views on the markets and their impact on various asset classes. Tactical views on each asset are with a one year time horizon and Tactical Asset Allocation (TAA) is a +/ 5 10 change to a Client s broader Strategic Asset Allocation. Asset Class View Asset Class Fixed Income Equity Real Estate US Dollar Gold Liquid Assets Tactical View Overweight Underweight Underweight Sector View for listed equities Sector Weight Agriculture Overweight Automobile Capital Goods BTG Underweight Capital Goods T&D Overweight Cement Underweight Consumer Discretionary Overweight Housing finance Overweight MFI's Private Bank Overweight PSU Bank FMCG Infrastructure Overweight IT Underweight Metals & Mining Oil & Gas E&P Oil Marketing Gas Utilities Pharma Underweight Telecom Underweight Power Utilities

20 IIFL Wealth Research bags 2 Best Analyst Awards IIFL Wealth Research has bagged two prestigious awards at the Zee Business Market Excellence Awards Prayesh Jain was conferred the Best Analyst Award for Auto sector and Bhavesh Gandhi bagged the Best Analyst Award for Pharma sector. Besides the twin awards, IIFL Wealth Research was also nominated in the categories of Oil/Gas, Banking and Industrials. IIFL Wealth Research, as you know, has always prided itself on its unique value proposition in a swarming market space of cut throat competition, among other things, on our wealth of actionable ideas, tailored portfolio approach and thorough research in line with client needs and priorities, distinctive practice of following up with Call Success post recommendations and a vast coverage universe of as many as 300 companies (comprising 70 of India's equity mcap). In the past, the research team has won Zee Biz Awards under different categories; Bloomberg has rated our research as the most accurate, while we have twice been winners of Business Standard Smart Portfolios, having received awards at the hands of luminaries including President Pranab Mukherjee, Prime Minister Narendra Modi and Minister of State Piyush Goyal. Recommendation parameters for fundamental reports: Buy = >15+ Accumulate = 5 to 15 Reduce = 10 to 5 Sell = > 10 ABOUT IIFL Wealth Management Limited IIFL Wealth Management Limited (hereinafter referred as IIFLW), a Company incorporated under Companies Act, 1956, is registered with SEBI as Portfolio Manager and as a Stock Broker. IIFLW is also registered with AMFI as a distributor of mutual funds. IIFLW provides wealth management services to various HNI / Ultra HNI clients and inter alia distributes various securities and financial products, including mutual funds, alternative investment funds, debentures and structured products. IIFLW has made necessary application for registering itself as a Depository Participant. Contact Details - Corporate Office IIFL Centre, Kamala City, Senapati Bapat Marg, Lower Parel, Mumbai , Regd. Office IIFLW House, Sun Infotech Park, Road No. 16V, Plot No. B 23, MIDC, Thane Industrial Area, Wagle Estate, Thane Tel: (91 22) Fax: (91 22) E mail: research@iiflw.com Website: Registration Details - 1] CIN No.: U74140MH2008PLC177884; 2] SEBI PMS Regn. No INP : 3] National Stock Exchange of India Ltd. SEBI Regn. No. : INZ , Bombay Stock Exchange Ltd. SEBI Regn. No.: INZ ] AMFI Regn No. : 59563

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