FnO Datasheet 30-08-2011

My notes:

1. Another day, where NF rallied by 1%. FII bought 21K contracts. Their net OI increased by7K contracts. Price rise along with OI increase means longs into the system. So, there might be further steam in this rally.
2. There has been a small reduction in NF OI - around 4L contracts. So, there is some short covering.
3. FII bought 600crore worth equities, and DII bought 100 crore. So who sold - mostly the retailers.
4. As pointed out in yesterday notes, the FII do hold a lot of shorts. This rally is counter trend. As I have pointed out, most of the shorts are created in the NF range 4880-4950. This zone will provide violent reactions. So, manage your longs with a SL around this zone.
5. My thinking is - if the shorts are already trapped at 4900 zone, we will never move closer to that point again in the series as that will provide a smooth exit to the trapped. So, for this rally to stay alive, we should not go into the zone again. Once in the zone it is prudent to stay short which offers better rewards.
6. There has been a lot of put writing between 4400-4800 strikes.Which has resulted in the PCR to drop from 1.1 to 1.03. But the striking strikes - 4300PE and 4900PE. Both of them saw an addition of 10L. 4900PE is understandable, The ultra bullish writers. But 4300PE? - well may be institutional hedging. I will not be concerned above my defining zone of 4880-4950. However, below the zone, this put buying needs to be considered quite seriously.
7. Add to the above observation is - FII bought a lot of options yesterday. Now, correlating the above buy  to 4300PE buying is a long stretched option. But, as I said, be cautious once we are below the zone.
8. You can find the entire data sheet here.