FnO Datasheet - 19-08-11

" Institutions have shorted big time in this series around 5480 levels, and they are comfortable for any rallies below that. The grind here, is beneficial for them because of their option writing. Once, they start covering options written, we might start the trending move again. Whether we fall deep or not is debatable, but for me the upside looks capped for this series."

This is what I have written in my last notes. And two days later, we are 200 points down in the Nifty Future.

Here is my notes:

1. There is huge short covering in the Nifty Future - around 10L contracts. FII also net bought in Index futures. They bought 16K contracts and their OI also decreased by 12K contracts, indicating they have covered shorts.

2. Volatility has risen again to 29.19. Probably, grinding will resume ensuring time decay of all the premium in both puts and calls.

3. The OI in Futures has reduced - however, the OI in options has increased by 2L contracts. A lot of option writing happened today. Probably, FII are playing for the weekend time decay.

4. As we approach the expiry week, it is very surprising to observe 21L options written at 4800CE. Probably, some of these might be covered calls. 4900CE also has added 21L contracts. In a highly volatile month, writing options at such high volumes with 4 trading days remaining, has to be looked at with eyes of suspicion.

5. Desi MO is at a very high -99. And there is a price divergence building up. Probably a short term rally might materialize in the first 2 days of next week.

6. With high VIX and high premium on the put side ( 4900PE is priced at 95 - indicating 50point premium), probably next week might belong to grind where option premium erosion with time decay might be the theme. A surprise rally towards 5K for a scare to the uncovered call writers at 4800CE and 4900CE might be a route considered by Institutions.

You can find the datasheet here.