FnO Datasheet 16-09-2011

"The 16th RBI meet and 21st Fed meet might provide some direction. Another possibility is one or both the events might prove to be non-events. "
And 
"So, the violence might increase - and wild moves might start appearing - but I do not see a clear direction appearing to the market till the closing stages of the series."


This is what I wrote in my notes on 14th. Hope the analysis was useful to you. My notes:

1. FII have day traded on Friday. They have net bought 3K contracts - and their OI has decreased by 25K contracts. A further case of long liquidation/short covering.
2. FII have traded with large volumes on option front. Friday Option Volume is highest in the series. Clearly, the Institutions want to capitalize on the Premium decay in options over the weekend. I will not be surprised if we get a ranged movement in the next two days - where option premium gets killed.
3. PCR has decreased to 1.09. Most notable is profit booking at 4500PE. Option writers are playing for a ranged market with slight positive bias. For me the most surprising is 11L OI addition at 5100PE and 5200PE. The most logical explanation that I can think of is ... they are covered puts. As it is FII are hugely short in the Future Segment as we have observed over the series - and these puts are covered puts.
4. Where do we go from here? In the data sheet, I have introduced a new column average price. You can see that, the average lot price for the OI of FII is 5046. It means that FII are holding 6.35L NF contracts at an average price of 5046. Are they long or short? We may not know immediately. But it might help to use that number as an SAR. Stay long above 5050 and stay short below it. That will help you stay on the side of Institutions and which has a greater risk-reward ratio.
5. You can find the entire datasheet here.