Friday, November 19, 2010

Options/futures data for 18th Nov (EOD)




Summary:
1. From Options table, now the range is expanded to 5900-6200 with 6200 the strong resistance and 5900 the strong support. 
2. The two intermediate levels 6000 & 6100 are now close to balanced, the reason being - like we have ATR to measure the volatility/day swings, I want to coin a term called OTR (OI True Range) - which measures - by how much option OI at a level can change. In the last few days OTR for 6200/6100/6000 (PE or CE) has been around 15L. So if there is just 15L difference between CE/PE at a given strike, we can consider that level to be close to balanced because of the high OTR we saw in last 4-5 sessions. The conclusion is that if a strong buyer or seller emerges at that level it can be easily crossed or shattered.
3. Immediate worry to bulls is that of the 36L calls written @6000 and 15L calls @5900 in last 2 days, only 4L have been covered. But these guys may back off if Nifty manages to cross 6090+
4. PCR changed from 1.05 to 1.08 - still in the "reversal possible" range


Nifty Futures:
NOV: 2.38Cr OI down 4% (10L shares cut) 
DEC: 42L OI up 28% (9L shares added)


Banknifty Futures:
NOV: 14L OI down 4% (0.65L shares cut) -- Despite that mega fall, no new shorts have come in. Its been only OI reduction in the last few days.
DEC: 1.34L (0.43L shares added)


Monthly MP charts:
The only thing that has happened in this month's fall is the test of Monthly VWAP. Is that coming?


2 comments:

r m said...

Thanks Girish, the OTR concept is good!

Vtrender said...

6045-6031-6002 in Nifty & 12400-12300-12235 in BN