OrderFlow charts for today

Ahead of the budget speech on Monday, the market chose today to build volume between 5260 and 5340 which is a low volume zone from earlier this month.

What remains is the region between 5340 and 5376/91 much of which has already been addressed in yesterday morning's trade.

Here are the OrderFlow charts of today :

BankNifty :



Nifty :



Good analysis + Great Indicators = Successful trading.

From Vtrender Live

I will just do a simple copy-paste of some analysis we do at Vtrender Live based on Market profile charts :

( Charts are not included)

Profile charts for 24th Feb : Posted by Shai at 10:00 PM , Wednesday, February 23, 2011

Bank Nifty :

- The poor lows created around 10800(-40) gave way today.
- Positions can be carried below 10616 for 10165 with a closing stop at 10830 for a 450 point move.
-Only 10400 is a minor support below 10616

Nifty :

-5367 is the top of the minus development region from 11/2.
-Below 5367 we can see 5229 all over again and a possible 4975.

SBI :

- New selling activity clearly seen off 2724 at the open.
- SBI attempted today to break into the buyer zone of 11/2 and 14/2 in last 45 mins of trade.
- As a leader of the rally, we wait to see if it confirms a break early below lows for 2514 as a target.

Reliance :

- An inside day today in RIL.
- a break of 986/ 1016 can give 20 points either direction.

-----------------------------------------------------------------------------------

Profile charts for 25th Feb : Posted by Shai at 11:15 PM , Thursday, February 24, 2011

BankNifty :

- support zone at 10160 close by ( to be watched at the open)
-risk/ reward does not favor new shorts here.
-10560 is the pull back high above which short term trend changes to up.

Nifty :

-Like the BankNifty, the Nifty also moved swiftly through the minus development region.
-With two minus development regions back to back the odds increase of a rotation in the 5250-5375 zone to fill up the volume and form a distribution curve.
- lower side support is 5229
-upper side resistance is the pull back high of 5391.

SBI :

- SBI opened in the spike area of Wednesday and continued lower.
- 2514 almost done. is a good support zone.
- Holding 2514, is expected to rotate to 2644.

Reliance :

- Inside day broke to the downside and hit 966.
- 966 represents upper end of the prior bracket, as also gap fill.
- One can take a long position here for 991/1010 with a stop at 952.

At the time of this post, the Nifty futures are at 5335, SBI at 2615, Relaince at 982 and Bank Nifty at 10430.

Vtrender Live Weekly offer

We just finished off an extremely non-volatile expiry day with price probing lower all day and a session which closed at the lows.

The day was extremely profitable for a lot of us at Vtrender Live, with OrderFlow doing the bulk of the work for us.

With expiry out of the way, next week also promises to be an eventful one, starting with the budget session on Monday.

It's always been our endeavor that we offer the best of our tools and our experience to you to ensure your profitability in return for a small monetary consideration from you for our time and attention paid to your details as a win-win situation.All this whilst ensuring that you see the same charts as I do and trade the same way as I do.

With that objective, we want to introduce a small offer for you to get a feel of what we do at Vtrender Live.

Come trade with us at Vtrender Live all of next week for Rupees 999/- only and catch the movement of the market as it unfolds through OrderFlow indicators and Market profile Charts.

This offer is valid only for next week, starting Monday 28th Feb and ending on Friday 4th March.

What it includes :

- Access to the Vtrender Live Trading Room for 5 days
- Live charts of the Nifty, BankNifty, Reliance and SBI delivered to your desktop.
- OrderFlow indicators within charts to ensure the right trades for yourself
- 1-3 calls everyday on Nifty / BankNifty with very clear entry, stops and targets.
- Real time analysis of market action
- Audio seminar everyday at 10.00 am and 2.45 pm on the day's developments
- Answers and assistance on individual positions
- Education on Market profile

What it does not include :

- sms alerts ( only for regular subscribers)
- Access to Vtrender Live site and the analysis there ( only for regular subscribers)
-analysis on other positions besides the 4 instruments mentioned above

The weekly offer is only for the coming week. If you are interested in being a part of the team, then you can send your subscription for the weekly offer by following this link.

We begin On Monday 28th Feb at 9.15 am and you will be accommodated in the same room as our regular subscribers and have access to the same tools as they do.

See you there.

Bank Nifty Trading

Here's some analysis about the bank Nifty posted at Vtrender-2 :

- The poor lows created around 10800(-40) gave way today.
- Positions can be carried below 10616 for 10165 with a closing stop at 10830 for a 450 point move.
-Only 10400 is a minor support below 10616

And here is the OrderFlow confirmation for the same.



When Order Flow and profile analysis matchup, nothing stands in the way !

Expiry for Feb

Over the weekend, Viren had posted an interesting chart about the Point of control for the series holding price down and a flat market for the week.

Unfortunately the profit for the straddle has been severely affected by a rampaging Vix which has put paid to hopes of a theta decay for most writers from last week.

But the importance of the chart for direction cannot be undermined.



The Vix range for expiry tomorrow is 5500- 5381 and the market should operate within that range tomorrow provided we do not have another 10 % bump-up in the Vix during the day.

The values developed for the series are 5385-5475-5553.

5475 has been a pivot around which most of the trading has been happening and attempts to break down below 5429 have been stopped by an adamant VWAP which has converted those moves into day lows right around there !

Very clearly fresh downward impetus will be below 5385 and upward bias will resume over 5553 for the month of March.

My charts indicate new shorts in march futures at current levels, could also be rollovers, and we would wait for price to confirm that downward bias.

For tomorrow, there is a 30 point trade above 5460 to consider, a 20 point trade below 5427 and a further 30 points from there to work out of.

Happy Trading.

Vix

Here is some recent Vix discussion from the trading room :

The excerpt in unedited and recent :

[10:55] Shai C: a higher vix and lower price is actually a false notion of the mkts
[10:55] Shai C: does not happen all the time
[10:56] Lingaraju Haralahalli: Shai, I fully agree on that
[10:56] Shai C: maybe when people buy and sell india volatility, the corelation will be better
[10:57] Chandra Shekhar: LH... just read something on nseindia online. It is computed from option prices itself. So it should be higher because option writers are asking for higher prices and buyers are paying those prices.
[10:57] Lingaraju Haralahalli: But the VIX stops rising or falling whenever indices are abt to reverse their direction many times
[10:58] Chandra Shekhar: those of you who may be interested, here's a small writeup with a link to bigger paper ... http://www.nseindia.com/content/vix/India_VIX_comp_meth.pdf
[10:58] r m: VIX is calculated from Option premium volatility so the pain to writers means higher VIX
[10:59] Lingaraju Haralahalli: Yes may be even with wild nifty movements. But to calculate VIX as per option premiums defeats the very purpose
[11:00] Shai C: agree
[11:01] Shai C: and considering how lopsided the option mkt is, it fails to impress as a lead indicator
[11:01] Chandra Shekhar: LH... according to my theoretical knowledge, volatility is calculated over historical data but market is interested in future volatility which is better reflected in current prices at which options are getting traded.
[11:02] Chandra Shekhar: no doubt if markets are not liquid and highly competitive, such calculation based on recent premiums would tend to become meaningless
[11:02] Lingaraju Haralahalli: Yes it is playing into the hands of Option writers/market makers
[11:03] r m: @CS, it is calculated on the basis of near and next series Out of Money option spreads
[11:03] Lingaraju Haralahalli: All in all there is no level playing ground in options mkt
[11:08] Shai C: http://www.scribd.com/doc/19240573/Volatility-Index
[11:08] Shai C: another paper on india vix
[11:11] Lingaraju Haralahalli: Yes RM. You r right. There is no evil in the methodology. But we are entitled to a volatility index which will reflect on the Index movements as the presenr VIX as Shai rightly said fails to impress as a lead indicator.
[11:12] Chandra Shekhar: thanks Shai... that's a good paper
[11:13] Chandra Shekhar: LH... I believe a lead indicator is just a dream. Volatility calculated with historical data is far removed from current conditions. Atleast VIX is based on current market quotations. There is nothing else really
[11:16] Lingaraju Haralahalli: CS Yes it makes sense. Agreed

OrderFlow

After two days of activity, the Nifty Future has managed to close at exactly the developing point of control and today's lows were exactly at the VWAP for the series.

Viren's charts posted over the weekend haven't changed much and neither has been the assessment for the series.

During such times it is better to sit back and let the action unfold through pre-determined levels ( Value areas suggested by him) than alternate between buying and selling views for every 40 point move the index makes.

Speaking of taking views on buying and selling, our OrderFlow indicators continue to amaze us with their accuracy even in these side-ways markets.

As a trader, you only want to be on the right side of the days trend and whilst you may not be able to capture every rupee from the markets, our OrderFlow indicators at least help us to decide which side to lean on for our trades.

It's a strict "No" to trade opposite the main trend as indicated by the OrderFlow Red-Blue.

Have a look :



The Order Flow captures all the moves of the market and occasionally when it goes side-ways, it tells us to lie low or trade less aggressively than we normally do.

You don't need great technical analysis to know which side to trade on. Short when OF is red and Long when OF is Blue.The two reversals (blue OF) at 10.00 am and 3.00 pm with each measuring 40 points tell us clearly when the trend is changing and are a warning to book existing profits if not to reverse the trade.

Here's the bank nifty :



It's great to see such a volatile instrument being tamed to such perfect signals by the OrderFlow indicators. 6 signals in 2 days and each measures over 80 points at the minimum.

You just require two things to trade the OrderFlow :

1) belief in the method ( we have put all the thinking in the indicator)
2) patience.

with these two things, you will surely "kick the habit of losing money in the markets"

Options/futures data for 18th Feb 2011 (EOD)

I apologize for not posting regularly. Most of last week I was so overwhelmed with lots of tasks/meetings/travel that I couldn't post.

Summary:
1. With expiry week weighing upon Nifty, Friday's action seemed like cows coming back home after grazing the entire day. The range for expiry as indicated by options table is 5400-5500
2. 5500 is the resistance. With 14L new calls added with VWAP of 56 bucks on Friday it would be interesting to see if these new call writers - with almost no time premium for expiry - will hold on to their calls till expiry. One the same lines 32L 5500PEs covered.
3. 5400 is the current support with a monstrous OI of 1 Cr+ and only 5L covered on Friday despite an almost 150+ point intraday fall 
4. For March series highest OI of puts is at 5400 (40L) and highest OI for calls is at 5500 (17L)
5. PCR dipped from 1.28 to 1.18 - due to call addition and put covering @5400/5500


Nifty Futures:
Feb: 2.49Cr OI down 4% (10.7L shares cut)
March: 58L OI up 51% (19.8L shares added) -- 50% more roll over on Friday


Banknifty Futures:
Feb: 10.8L OI up 4% (0.45L shares added) - BN still suffers from OI deficiency but the trend seems to be that more OI is getting added after the low of almost 10000 was made day before 'Bad IIP day'. 


Market makes the news and not the other way round:
Just wanted to point out that this massive 1300 point rally in Banknifty & almost 400 point rally in Nifty - started on the day when bad IIP data was announced. 
Still not convinced about the fact that its not the news that makes the market but its the market that makes the news? - Wake up Sid!

Expiry

Viren here.

My current commitments prevent me from watching the market action in the way I love, the screen flickering every second in front of me.

Even though it's painful to see so many opportunities pass by, I take recourse in the next best thing I know.Swing Trade with Market profile.Actually Market profile is a great tool, if you want to trade options, especially if you understand the ebb and flow of market behavior.

With expiry next week and the markets coming off the resistance of 5577 and the support of 5370 close by ( All NF Prices ), I wrote the 5500 March Calls and Puts late yesterday for a combined premium of 312.

Let's look at the charts and see what is in store next week :



The chart has a volume profile chart for the feb series overlaid with delta at the bottom which is the net difference between the volume traded at the bid prices and the ask prices.Delta is the effective volume and can be used as a replacement for the combined open interest in options as well as futures. A positive delta is akin to new money entering the markets and the opposite is also true.

To explain the charts I want to use a similar style employed by Shai in an earlier post.

Point 1 : Lows of the feb series
Point 2 : Low of delta. Notice how delta stopped going down earlier to price.
Point 3 : A pause at the Developing point of control
Point 4 : Delta moves up
Point 5 : Price at Developing value high
Point 6 : is DPOC again
Point 7 : Point 7 is vwap at 5421 currently
Point 8 : Value low at 5385 . Support on closing basis.
Point 9 : Delta at the close. Much higher than point 4.

Inference : Price between VWAP and DPOC for the series as of the close on Friday. Upper break out levels ( VAH ) and Lower breakdown level ( VAL) clearly defined.

Bank Nifty :



1) The difference between this chart and the one posted above is that delta is net positive for the bank Nifty.
2) Price is above VAH
3) VWAP and DPOC at 10587 ( very strong support )
4) Green lines are the value areas.
5) even though delta came off on Friday, it is relatively higher than the open on Thursday.

Inference : Region around 10820 can be used as a stop n reverse for a move higher.

Back to the 5500 straddle :

1)The POC is the best time to write an option as price tends to rotate around it.DPOC is 5475 and hence the 5500 strike was chosen.

2) Exit of the losing leg would be a break of value either side.The position should be profitable by upto 15 % on Thursday if price hold up around 5500 and volatility does not increase much.

Have a great weekend.

Order Flow

In our markets it is always profitable to trade on the right side.

Our Order Flow indicators help to confirm which side market participants are placing their bets on.

Along with our analysis, OrderFlow helps us to determine which side to trade on.



It's very simple to understand. A blue in the chart calls to keep longs and red is for initiating shorts or exiting longs.

The OF turned red at 5575 today.

A EOD report from Vtrender Live

Here is an analysis posted every evening at our subscriber site www.vtrender-2.com.


-------------------------------------------------------------------------------------
The Italics are the comments from the previous day.


Bank Nifty :



------

- Clearly the mkt stalled at the upper end of yesterday's profile
- Momentum from the DD seems to be losing
- above 11020 seems to be a clear move to 11144
- but mkt now seems to be a "p' in the 2 day profile.

----

- The BN did not find willing sellers below val.
- first part was the 80 % rule from VAL to VAH.
- strength above the DD took the market straight up to 11144.
- 11008/ 11064 are new short term supports

------

Nifty :





------

- Symmetry came in through balance profile
- 2 day profile is another pointer to a move lower to 5435
- strength above highs will lead to the previous 5567/ 5577.

-------


- good volumes seen above 5508
- a DD pattern is a sign of continuity
- a previous failure at 5567 needs to be considered
- 5508/ 5494 are short term supports.



SBI :


-------

-Profile shows single print buying at 2721.

-------

-- 2787 almost hit.
-- a low volume zone between 2787 and 2841 now.
-- this market can easily rush up those points between the levels.
-- 2718 is minor support.

RIL :




------

- RIL operated completely in the upper end of the bracket.
- This profile is also balanced and should give a directional move tomorrow.
- In a weak market rejection at 953, should set up good stops with a 3 point stop.

----

- Reliance did come off the bracket and should move higher
- Do not expect the pace to be on the higher side as it moves away from the congestion zone
- 943 will be support on downside.


----xx------xx---------

I will be back with a report EOD.

Options/futures data for 16th Feb (EOD)

Summary:
1. Options table is now at a point that its now looking too bullish. That's where one has to be cautious. 
2. 5600 is the current resistance
3. 5500 is a 50-50 level with equal puts and calls
4. 5400 is the strong support. Yesterday 17L 5300PEs were added. Someone buying?
5. PCR up 1.22 from 1.17


Nifty Futures:
2.57Cr OI up 0.5% - still no sign of big OI cut. OI is up almost 25% from the first day of series.


Banknifty futures:
10.9L OI up 6% - Almost 1.8L of OI has been added in last 2 days! I presume these are longs but only a good move with volumes above 11280-11440 will confirm. 

Tsharafna

That- from the part of the world I have been to recently means "It's nice to meet you".

Happy to be back on Vtrender and doing a post after 45 days +.

Lots has changed and it's very difficult to see the markets at 5500 levels instead of the 6xxx levels.I was in the trading room yesterday which has also changed and it was good to see some happy people and a room size which is up 30 % in one month.

More importantly, there are some smart people with sound opinions and it always is beneficial to trade in an environment conducive to personal growth and the like.

When I was struggling with my trading back in 2003, it was community support from the likes of Shai and one or two others which helped me get going.The power of trading with people can never be underestimated as long as everybody has got one consistent objective to remain profitable.NewBie traders wanting to learn the markets will never be disappointed with Vtrender Live in it's present form.

I know Shai has been putting a lot of efforts behind the scenes not just in putting out some immaculate trades, but also some great educative articles at Vtrender-2, which should make aspiring profilers learn auction market theory quickly.



My inputs at Vtrender have been restricted off late owing to some additional demands on my time, but I have agreed to work on the "positional aspect" of the trading room with analysis and trades to meet our swing trading requirements.These include the long term OrderFlow charts which should help us keep positions for more than a few days.

About the markets today, we had a neutral day. It's a pattern with neutral days and they can be repetitive or follow each other closely.But today was also a balanced profile and if you have been reading this blog long enough you would understand the importance of those two words.They are game changers in more ways than one. I hold the view that we have broken out of the downtrend and should challenge 5577/ 5625 next.The swing traders would hold 5370/ 5410 as their stops.



I would post details about these charts in my next post.

Options/futures data for 14th Feb (EOD)

Summary:
1. Finally bulls decided to show their love for Nifty on Valentine's day and presented a 140+ point gift. Puts were being written as if a paid person is distributing pamphlets for the upcoming politician's visit. Also the enigma of 2 50-50 levels was cleared in style now with 5400 now becoming the support. We have seen in the past that when we get one of those "too good to be true" kind of option table changes, one has to be cautious.
2. 5500 is the current resistance but still can be considered a weak resistance. 5600 seems to be a better resistance with some puts also added
3. 5400 is the support with 90L+ puts 
4. More supports exist at 5300/5200
5. PCR jumped from 1.02 to 1.14 due to massive put writing/call covering


Nifty Futures:
2.56Cr OI down 1.85% -- Still no big short covering.


Banknifty Futures:
9.1L OI down 3.2% -- BN OI is now at its lowest level in last 6 months.

SBI

At Vtrender we are firm believers in inter market and intra market relationships between stocks, currencies, commodities and the like.

Within an index also we keep looking for symmetry( to use a Market profile term) or the co-relation between indices to get an edge to benefit our trading.

It is a well-known fact that the BankNifty leads the Nifty up and down, a fact we have been pointing out over the past one year. But today we have to look at one of the major generals of the army, to get an idea of how the broader market will perform over the shorter term.

Our leader of the lead index ( Bank Nifty) is of course SBI.

One need not look much beyond the last Mahurat session in early November and the SBI price of 3500 printed that day. It need not be stressed that the index never saw 6335 after that day.

So whilst SBI came off a whopping 1000 points, the Nifty followed. The army always follows a general.

That's in the past, we now come to the present and see what SBI has been doing recently.

Here's a composite profile of the SBI futures :



Earlier on friday morning , when we were watching for signs of acceptance in the Nifty futures below the 5200 level, we had one eye on SBI which had formed a "b" shaped profile the previous day. In Profile a b shaped pattern on the charts is often an indication of shorts covering.Also the lows of friday were the same spot from where SBI had done a jump of 250 points in 4 sessions previously in Jan.So the level had it's importance clearly marked.

The composite profile completes the rest of the story.

The 'b' shape was confirmed friday as well and this morning the profile accepted the activity on friday and closed at the upper end of the bracket below the important 2706 zone.

Coincidentally the Nifty future closed around 5445 levels, an important reference level for us for the next 125-150 points.

Tomorrow we will watch SBI again to see if it can once again show the way.

Options/futures data for 11th Feb (EOD)

Summary:
1. The enigma of two 50-50 levels in the options table continues. Despite massive 150+ points rally from low of Friday, the options table hasn't changed significantly.
2. 5400 and 5300 are both 50-50 levels as per options table.
3. 5200 seems to be the support but for whatever reason 5200CEs added almost 13L on Friday. I would have expected 5200/5300/5400CEs covering massively for a sustainable rally.
4. Lower level put addition continues with 5100PE now having the highest OI of puts at all strikes
5. PCR up to 1.02 from 1.00


Nifty Futures:
2.61Cr OI up 1.9% -- No sign of short covering at all despite a big rally on Friday


Banknifty Futures:
9.44L OI down 9% -- Banknifty put in a bottom @10030 (BN Fut)?

Order Flow : 11th FEb

Earlier today, we noticed a not very confident probe of price below value lows, though the distance covered was around 45 points to 5175 levels.

What was noticeable was an important part of the index - the banks not moving below value or to new lows.

If you had watched the value areas closely especially the relevance of the point of control, it was not at all a difficult day to trade today.

The OrderFlow charts made the job even easier. Take a look :



Order Flow suggested buyers coming to replace reluctant sellers at 5194.These confident buyers managed to take the Nifty up to 5328 in one continuous move measuring 134 points.



The BN got resisted at VAH early in the morning, but once it broke through there was no stopping. I tried to take a counter trend trade around 10265 levels, but had to quickly give up to persistent buyers for a minor 30 points of profits.When the previous highs around 10290 were taken, there was no looking back.

The profile charts of today throw interesting possibilities for Monday, many of which we will discuss in the webinar tomorrow.

So if you have not registered for it yet, try the link at the top right of the blog or send a mail to vtrender@gmail.com.

Market profile is one study which can call the major levels and the moves of the market right, 90 % of the time.So if you are still struggling in your trading, start reading up about profile.Your trading will get the edge it requires!

Options/futures data for 10th Feb (EOD)

Summary:
1. The puzzle of 2 50-50 levels in the table continues! Despite almost 200 point tank below 5400, there is still significant OI of 5400PE/5300PEs. The only explanation I have is that these are covered puts (short Nifty+short 5400 or 5300PE). May be they are waiting to see if some significant level like 5180 (the Oct-Nov-Dec 2009 high) breaks?
2. 5400 and 5300 are 50-50 levels as of now but with negative bias
3. 5200 is the support as of now
4. Significant buying in 5100 and 5000PEs has been observed in last few sessions.
5. PCR tanked further from 1.07 to 1.01


Nifty Futures:
2.56Cr OI flat -- Remember that OI is up 32% from beginning of the series. And that amounts to 60L increase in OI. I would assume most of them are shorts!


Banknifty Futures:
10.4L OI down 6% -- In last 2 days OI is down almost 13%. BN OI is now almost same as what it was at the beginning of the series.

Historic Volatility

As an intra day trader, you have to keep an eye out for the volatility index.

A lot of people always think about the VIX as fear which is actually a skewed definition, though technically correct. The actual effect of the VIX is on the trading range for the day.

This is commonly referred to as the ATR or the average trading range.

Take a look :



I have smoothed the ATR with a 20 point moving average to give approximate values.

The chart of the Nifty projects an average trading range of 111 at current prices.This is way up from the 60 since last September.

There is additional movement to negotiate for the intra day player and he has to be careful in setting his stops and targets, as what worked for him maybe in sept may not work for him today.



The Bank Nifty's ATR is at 289 up from the 160 in sept last year.

Options/futures data for 9th Feb 2011 (EOD)

Summary:
1. I have never seen this kind of confusion in options table in the last few months. As of now we have both 5400 and 5300 as 50-50 levels. Interestingly even though Nifty is at 5260, the 5400PEs have highest OI of all three strikes 5200-5300-5400!  
2. 5400 is a 50-50 level with almost equal number of puts and calls and also that has the highest cumulative OI (puts + calls). So either one more attempt towards 5400 would come or these put/call writers will shift to 5300 if the market tanks below 5200
3. 5300 is also now also a 50-50 level with with slight edge to the put writers. 
4. 5200 looks to be the strong support.
5. PCR is 1.07 vs 1.09 yesterday


Nifty Futures:
2.57Cr OI up 1.5%


Banknifty Futures:
11.17L OI down 7.5% -- Good amount of OI cut. Some shorts closed?

Order Flow : 9th Feb

By far, the most toughest place to make money in the markets is through intra day trading.

Relationship managers from brokerages would tell you how their phone diaries and email addresses need an updation every month, as clients drop off in many cases never to return to the markets again.

At Vtrender we understand the pressures of intra day trading, which is why we have worked on a system which will give you consistent results irrespective of the movement of prices on your screen.

You need to know only two things if you want to trade successfully intra-day :

a) Know the Trend

b) Know your reference levels.

The charts which we use to trade everyday have the best trend indicators as well as the best reference points, the industry uses today.

Take a look :



The points marked in blue are the reference points and the points marked in orange is the reaction of Order Flow ( Trend Indicator) at these points.

Point 1 ( Blue ) : 5264 given as a ref level even in the chat room here and was the low of the day till the afternoon news broke.We booked overnight shorts here.

Point 2 (Blue ) : POC- we noticed the market's reluctance to move above this level and waited for OF to confirm the red.

Point 3 ( Blue) : VAL- Notice OF going red again sending a clear message that sellers want action.

Point 4 ( blue ) : 5224 another HVN where we covered shorts and waited for the OF signal.

In The Bank Nifty :



Notice the high of the day is Value Area High and the Low of the day is another Important reference level. Notice how VWAP ( Orange Line ) helps to arrest the trend at numerous times during the day.

You do not need anymore. Trading is actually a simple job. It's information converted to knowledge which yield successful trades.

You have to have the right information though....

Auction Market Theory- Webinar

As you know there is more noise than ever before in the Intra-day Time Frame.

One of the major reasons, why traders lose money is because they are constantly trading on the opinion of others.

Between the TV analyst calling for a bull run, the newspaper predicting a wipe-out and your friendly blog asking you to "stay with the trend", you always are at a loss to take a correct decision on your trade.

What is sad to note, is that no one is willing to pass a basic eduction on trading the markets.

At Vtrender it's been our endeavor to teach as many people as we possibly can, auction market theory principles, which help define the role of buyers and sellers in the market.

We like to know market structure and market development through the lens of the Auction Market process. We like to see favorable risk to reward trades in any instrument (stocks, bonds, futures, commodities -- this methodology is robust). We like to interpret stock market internals, dynamic market relationships and most importantly - when to trade and when NOT to trade. Whether you favor short term intraday trades or longer term swing trades these same strategies apply.

This seminar is free (on Invitation basis) to all and will be held on Saturday 11.00 am to 12.15 pm.

This webinar should be a cornerstone for any serious student of auction market principles/Market Profile. We will address how to approach trading in the intraday timeframe and specifically how to "avoid the noise". Myths and magic regarding "Market Profile" are popping up all over the place and with our experience with these concepts, we will expose the myths and magic in addition to showing what is valid and how it can be traded.

To receive an invite, send us an email to vtrender@gmail.com.

Options/futures data for 8th Feb (EOD)

Summary:

1. The options table is now in confused state with broad range suggested as 5300-5500. But unlike our traditional support/resistance analysis with options, we have 5400 which has the highest number of both calls and puts. So the market is evenly poised for a movement in either direction.

2. 5500 is the resistance with 65L calls vs 38L puts

3. 5400 is the 50-50 level but with massive puts/calls

4. 5300 is the support with 59L puts 25L calls. What is strange? For last 2 sessions 5100PEs have added 30L OI. Speculative buying or someone expecting a US market crash to join and Nifty's bear party going full blast till 5100?

5. PCR down to 1.09 from 1.14. Still not as bad as Jan series when we had PCR below 1 for quite a few sessions

Nifty Futures:

2.5Cr OI up 3% -- No big addition

Banknifty Futures:

12L OI up 2% -- OI has been flattish to slowing increasing for last few sessions. 10170-10096 is the breakout point from beginning of August series. Yesterday's morning low was close to 10170 and afternoon it even managed to get close to 10096. Below that it could head to 4 digits (which is not too far anyway)

Market Profile Glossary

Auction :

The bid-ask process of the market is described as an auction. The purpose of an auction is to facilitate trade. The auction results in the formation of the value area which the buyers and the sellers agree as the fairest price for the day. As the auction moves away from the value area, buyers and sellers change their definition of value. If higher prices are agreed in the auction, value is supposed to move higher and consequently the market moves up. The market will auction as high as it needs to in order to find sellers or as low as it needs to in order to motivate buyers to see it as “relatively cheap”.

Buyers :

Individuals of any timeframe who feel that the present market is underpriced and therefore less in value. These individuals will move price up.

Buying Tail :

The failure of the auction at lower levels to attract new sellers results in the buyers swiftly moving in forming what is called a buying tail.

Close :

The final auction of the day

Delta- Buyer/ seller Delta:

Delta describes the quantity of contracts bought at the offer minus sold at the bid. It simply measures the “aggressiveness” of buyers versus sellers. We use the term motivated or aggressive buyers or sellers who input market orders as opposed to limit and are in a hurry to move the market their way.

Excess :

Excess marks the end of one auction and the beginning of a new auction. It is visible within the two-way auction process via buying and selling tails. Excess occurs in all timeframes; it completes an auction

Gap :

Is another form of excess. Price moves rapidly away from a prior trading level or reference; a gap signifies a total reordering in market thinking. NOTE: In profile, we measure a gap from the previous day’s high or low—not from the settlement price/ close. A gap signifies a market that is out of balance and presents a large opportunity.

HVN- High Volume Nodes

This describes a range of prices where there is a particularly high amount of volume or bulge in the profile.The market likes to sat here and will spend considerable time. It is noted to be the best place to re-look at your trading str ategy,

Initial balance :

The first 60 Minutes of a trading day are called the initial balance. As the name suggests, the IB tries to set up the day's balance or define value for the day. The IB is important for the type of open to be monitored. See section on Opens below.

Initiative activity :

Control by the buyer or seller in the first few minutes of the trading day is called initiative activity.As the name suggests, the action determines conviction on the part of the players to move the market.The strength of the initiative activity is useful to determine which party will have a role to play in the day

Long Liquidation :

It is a process in which "old business" reverses earlier positions.Long liquidation is a process that adjusts inventory that has gotten too long. It occurs within every timeframe; day timeframe long liquidation may be over quickly while longer timeframe long liquidation may last for much longer periods of time.

LVN- Low Volume Nodes

This describes a range of prices where there is a particularly low amount of volume or dip in the profile.


Open :

The first auction of the day.There are various types of open:

OAOR- Open auction out of Range

OAIR- Open Auction In Range

OD- Open Drive

ORR- Open Rejection reverse

OTD- Open test drive




One time framing :

A trending sitauation where in value is built successively higher in an uptrend or lower in a downtrend. One timeframing is applicable to all timeframes, from a monthly chart to the shortest timeframe Recognizing a one-timeframing mode can keep a trader from fading a market at inopportune times while also enabling a trader to employ the most appropriate strategic and tactical plan for the current market conditions.

Poor Highs/ Lows :

Auctions, within the market’s natural two-way auction process, end in one of two ways: 1) Most commonly the auction ends through a more aggressive counter auction that creates a buying or selling tail; or 2) The auction ends through simple exhaustion.We refer to the exhaustion as poor high/ low.the poor high/ low is a temporary halt in the ongoing auction. What is noticeable is the lack of opposite auction in such cases and hence the original auction has a higher possibility of restarting.

Reference levels :

These are points in time which hold information.That information may simply be available for very short periods of time or for extremely extended periods. Larger reference levels are of great importance to the long term player.Successful trading is about managing change and taking advantage of it.

Pullback low/Rally high :

Applicable to trend days and is a late afternoon price migration against the prevailing trend. During a trend day there is usually one afternoon inventory adjustment; the pullback high or low is the extreme of this inventory adjustment. On the following day the pullback high or low is used to determine if there has been any meaningful change relative to the previous day; if the pullback high or low is not violated, there has been no meaningful change in the opposite direction of the prior day’s trend.


Timeframes :

The market profile recognizes five distinct types of individuals who operate in the markets. These are a) Scalper, b) Day trader, c) Short term player, d) Intermediate term player, e) Long term player. Each of these individuals have a perception which they bring to the market and this perception helps move the markets. The scalper and the day trader are responsible for maintaining the liquidity of the markets.

OTF ( Other Time Frame ):

This describes all participants with a time frame that is greater than the one you are in. Major trending or vertical moves are completed by larger participants who are using a greater time frame than the one you are looking at. When the OTF participates, it generally takes many prices and a lot of volume transacted to complete an order. Funds, swing investors, governments and financial institutions in general are operating at the OTF level. They are recognized when we move from “horizontal development” to “vertical development”. They are also recognized using the opening swing, initial balance and other indications.

Responsive activity :

This is a response to Initiative activity, the strength of which can determine changes to the trend of the timeframe.


Range extension :

The movement away from the initial balance is called the range extension.Success or failure of the range extension gives us an indication of the type of day unfolding.

Value :

The perception which all of the above mentioned players bring to the markets after the bid-ask process helps build what we call "value". Value is different for each of the mentioned players and they will move price up or down depending on this perception. For example if the intermediate term seller thinks that the market is overpriced he will jump in to move price down.On a daily timeframe, the period where 70 % of the volume action takes place is defined as the value area.Similarly we have a weekly and a monthly value area.

Point of Control Volume ( POCv) :

The Point of Control in Market Profile terms stands for the most commonly traded price closest to the center of the range. This is the price where the most activity occurred during the day ; it is therefore the price considered to be the fairest during any trading day.The migration of the fairest price at which business is being conducted is of great importance in monitoring longer timeframe activity (greater than day timeframe) in any single day.


Sellers :

Same role as expained above for Buyers except they think that the market is overpriced and will move price down.


Selling tail :

The failure of the auction at higher levels to attract new buyers results in the sellers swiftly moving in forming what is called a selling tail. The selling tail is a failed upwards auction.The greater number of single TPOs that form the selling tail the more aggressive the sellers’ reaction.

TPO's :

The basic building blocks of the Market Profile® are called Time Price Opportunities, or TPOs. Each half hour of the trading day is designated by a letter. When a certain price is traded during a given half hour period, the corresponding letter or TPO is recorded next to the price.


Short Covering :

Opposite activity of the Long Liquidation. What's important to understand here is that it is again "old Business" which is covering.These become violent and misleading if you don’t understand the difference between old and new business.

Options/futures data for 7th Feb 2011 (EOD)

Summary:
1. Its was a quiet day in options land with the range pretty much staying between 5400-5500 as per OI table. Neither the 5400PE writers nor the 5500CE/5400CE writers want to cover so far. So may be the market needs a push either way.
2. 5500 is the resistance but since the difference between 5500PE and 5500Ce is only 23L it could turn out to be a 50-50 level if we see a forced call covering/short covering in Nifty
3. 5400 is the support but now the 5400CEs have increased up53L which is not a small number. If a strong sell off emerges below the lows of last two days may be the 5400PE writers will be forced to cover.
4. PCR slightly up from 1.11 to 1.15 mainly because of the 14L 5100PE addition.


Nifty Futures:
2.45Cr OI down 1% - that's nothing compared to the 13% increase on Friday. So something is waiting to happen. This is clearly looking like 'calm before the storm'


Banknifty Futures:
11.8L - OI flat. - Eventhough Banknifty made a lower low compared to mid Jan low of 10380, the only positive as of now is that SBI is not making lower low than mid Jan low of 2470. The flip side is that SBI has highest weightage in Banknifty and if market makers want a faster fall, SBI can give that turbo effect during the fall!