FnO Datasheet 12-09-2011

 "Considering the high OI accumulation at 4900PE and 5000PE, there might be a visit there to see how they react. Their reaction more or less determines the series outcome." This is what I wrote in my Friday notes. Well, both of them have been tested today. Hope you are on the right side. Here is my notes:

1. FII have sold another 43K contracts today. Their OI has increased by the same amount. So, they have increased their shorts. Not a good sign.
2. Not much is happening on the equity front. In the series so far, FII have net sold 42 crore and DII have bought 105 crore. Hardly any buying/selling happening there. However, the huge volatility and wild moves on the FnO front are indicating that the game is being played between the big players.
3. PCR has decreased slightly from 1.11 to 1.09. If we look at closely on different strikes, 5000PE writers ran for cover - and closed 10L contracts. 5100PE comes next with 6L contracts. Around 10L addition at 4900CE is notable. However, the most interesting strikes have been 4600PE and 5100CE. Both of them saw huge unwinding.  6.5L contract unwinding at 4600PE is quite surprising. Even if we assume it is profit booking by weak longs, the 8.7L unwinding of 5100CE on a massive down move day is quite perplexing. Do these 5100CE are expecting a gap up tomorrow? I do not know. But still we are 150 points below the strike price. A gap up is probably not the answer. The best answer that I can think of is ... someone played for a ranged movement between 4600-5100 for this duration. They covered their profits today. The high volatility is not making the writer's job any easier. 
4. Zoom a couple of steps out - Let us look at the picture from 5th September till date. On 5th September, NF closed at 5010. Today NF closed at 4942. A fall of 68 points. During this fall, FII have net sold 1.3L contracts and their OI has increased by 1.04L contracts. So it is easy to make out they are building shorts on every rally. However, during the same period NF OI has increased only by 9L contracts. That is 1:9 which is very less compared to the general leverage of 1:30 or so that FII generally get. :)
5. Today's option volumes by FII are also highest in the series. I suspect that either 4600PE or 5100CE covering is by them. Probably that is what will determine future course of action.
6. Remember, last series we have expired at 4839. As such we are still above the settlement price. As long as we are above that, bull rally possibility does exist. However, considering the OI accumulation of FII, there is less possibility for that.
7. 16th RBI Meet, and 21st Fed Meet are two crucial news events which can effect the direction of the market. I will not be surprised if we do make a short term bottom this week, and do a green rush for the rest of the month to facilitate the half-yearly closing of NAV's. As it is, such long time projections are useless and in fact injurious to your trading account. So, stay in present, and try to play this rough week as expected. We can take things as they come.
8. You can find the entire data sheet here.