FnO Datasheet 07-10-2011

The series is 10 days old. As I could not post the daily views for the series, I am giving my observations on the whole series so far. We will continue with daily notes from tomorrow. My notes:

1. I have updated the data sheet to reflect the OI changes from 23rd September, for the October series. On 23rd September, the OI was at 50L. So, from now on we will start observing a series a bit early to note down the roll-over price.
2. October series had a maximum roll-overs of around 1 crore contracts ( 50% of present) between 27th, 28th and 29th. The NF was trading in the range between 4950-5030. Whenever, the price band is approached, expect some violent reactions. When we broke it on the downside, we made 200 points very fast. Though, we made a rally on Friday, it looks more of a short covering rally than greens entering the series. So, the theme is ... watch out for the reactions at 4950-5030. Ideally stay short below 4950 and stay long above 5030. Any existing shorts probably can use 5030 as the stop loss.
3. Though volumes for the entire week are on the lower side, Friday's volumes attract attention. FII have bought 65K contracts. However, equally perplexing is the observation on OI. It remained unchanged. NF closed around 4900, so let us wait for another 50 point rally and consider the reactions there.
4. Equity volumes are one significant factor in the series so far. What is most notable is the continuous selling by FII on reasonably high volumes. FII have sold around 3000 crore equities so far this month (counting from starting of this series.) Out of which only 1500 crore has been bought by DII. So, the remaining 1500 crore is bought by retail. FII withdrawal from equities is not a good sign for bull - all the more - when we consider that most of the selling is absorbed by retails - rather than DII.
5. On the last day of the September series, FII have an OI of 5L contracts and NF has OI at 2 crore contracts - so this OI 99% belongs to this series. We are still around the same mark - 10 days into the series. Let us watch how it develops this week.
6. The SAR number we have been observing, the net contract value of the OI is at 4838 now. So, if one wishes to play on the long side, greens can be bought at a price close to that with Stop Loss at 4838. Let us continue observing the number.
7. One other concerning factor for me is high PCR. PCR at 1.28 indicates a value in the higher range. 0.9-1.3 is the normal range - and I have observed that below 0.9 attracted a rally and above 1.3 attracted a fall. Let us observe how things unfold.
8. In the option table, the activity at 4300PE and 4400PE is interesting. 4300PE has 12L OI covering where as 4400PE has equal addition. So, may be bull confidence which shifted the lower end of spectrum one notch higher. Let us see.
9. You can find the entire datasheet here.