FnO Datasheet 15-09-2011

Another highly volatile day. An absolute short squeeze was on from the morning. My notes:

1. FII net bought around 10K contracts. However, their OI has decreased by 50K contracts. So, there is significant OI reduction. We have to see whether the OI reduction is due to the long liquidation or short covering. Probably, it is long liquidation if they are covered in the afternoon and short covering if covered in the morning. :) 
2. There has been significant short covering in the NF. There is a reduction of 13L contracts. Looks like the weak bears who were expecting the 4500's are running for cover now. 
3. The high VIX is not helping either. The option premiums are not decreasing - and NF is doing bi-directional moves of 100 points very easily. So, people are getting quite confused on to the next move.
4. The defining aspect of the data is the equity volumes. No buying there at all. Now, is this rally induced to flush shorts or genuine FnO buying happened - is what we have to look at. We will get further clues in the next few days.
5. A rally before a key announcement has to be always looked at with suspicion. With such a key announcement pending today, a rally of 1.5% does not look right to me. Do some people have the ability to see through sealed covers? Or is it the standard "Buy on Rumor, Sell on News" technique? We will know it today. :)
6. Where do we go from here? As I said in yesterday notes, I will look at all rallies below 5200 with suspicion. The rally yesterday was not backed up by any commitment by Institutions in the form of equity buying. The high premium of 22 points on NF is an indication that, the rally is induced in the form of FnO segment. Will we get a follow up or not is the key question. We will know it soon. 
7. PCR stayed almost the same. The Option table gives the snapshot of a picture of beaming bulls who think the bottom is in place. With 70L+ OI at each of the strikes from 4500PE to 5000PE, looks like there is reasonable support at every strike. But the most obvious is the most deceiving in stock markets. Be cautious.
8. You can find the entire datasheet here.