FnO Datasheet 22--09-2011

Globe is rallying before the key event of FOMC. Rain might be around. Have a rain coat with you. 
This is what I wrote in my notes on 20th. Hope all of you had safe trading. My notes:

1. It has been bears day out. A red trend day with 4.5% fall in NF and BN.
2. FII have sold big today. They have sold 73K contracts, their net OI increasing by 98K contracts. OI increase with price fall generally means shorts are getting into the system.
3. Today the equity volumes have been high. FII sold 1400 crore and DII bought 735 crore worth equities. This equity sell off confirms my belief that equity cycle is a delayed cycle to FnO cycle. Huge shorts are created first, then equity selling climax happens where generally profit booking occurs in the shorts. Is this the selling climax, or just the trailer? 
4. PCR has risen to 1.25 - indicating the hectic activity in the Put Options. 5000PE,5100PE, 5200PE writers ran for cover. 66L contracts have been covered in the above 3 strikes. Around 48L contracts are written in the 3 strikes 4900CE,5000CE and 5100CE. Out of which, 23L contracts are written @ 4900CE, when NF traded almost the entire day above 4900, is a bit surprising. Smart money or Foolish bears - Future will decide.
5. Two days back, I said that I am sober about the chances of a breakout. I claimed that we are trading in a range. Two days later, after a 4.5% fall, I still claim that we are trading in a range and I do not find any break down. As an illustration, On 29th Aug, after the second trading day of the series, NF closed at 4933. With 5 trading days to expiry and an entire month of trading, we have closed today at 4913. A 20 point blood bath on the street!! :)
6. NF OI has increased by massive 23 lakh today. The price fall indicates that huge shorts entered into the system. In general it does suggest that more fall is ahead. However, an interesting observation is - On 12th Sep, NF closed at 4941 - and has a OI of 2.6 crore contract. Subsequently, 40L contracts ran for cover in the next 200 point rally. And 23L contracts are added again today when we closed at 4913. Looks, 4900-4950 is a major trend decider. People do think that a break down here will lead to severe downfall. Let us see if the second attempt of Short addition in this range turns out to be successful.
7. PCR and VIX tell another interesting story. On 26th Aug, the first day of the series, PCR and VIX both were exactly at the same range. We had a break down on that day as well with NF closing at 4748. There was fear all around. We are with the same PCR and VIX, let us see if the second time proves lucky and we break down to abyss. :)
8. The OI average price is 4880. We will continue to use this as SAR. You can see that, the SAR indeed worked quite nicely. Yesterday it was at 5096 and a break below it gave 200 points :). Let us continue watching this average price. 
9. The option volume trading today has been extraordinary. It has been double the average trading volume. FII bought options worth 9L contracts. Their option OI remain unchanged. So, it can not be covering their put writing alone. There has been new put writing of 30L contracts in 4800PE,4700PE and 4600PE. Similarly, there has been new call writing of 55L contracts in 4800CE,4900CE,5000CE and 5100CE. One of these two sides have written options which FII bought. Which side and what are its implications? Let us wait and watch!
10. You can find the entire data sheet here.