FnO Datasheet 18-10-2011

My notes:

1. On the last day of September expiry, NF closed @ 5030 and FII had an OI of 5.09L. On 18th Oct, with 5 days left for expiry, we have NF closing at 5044 and FII have an OI of 5.43L.  Add to that NF had an OI of 1.934 crore and on 18th Oct, NF OI was 1.945 crore - a difference of 10L contracts. In between, 25L contracts entered and exited hoping for a directional movement. All in all, a month where nothing happened so far.  
2. Even on the equity front, if we take out the 2300 crore sale by FII and 1200 crore buy by DII in the last series last days,  nothing significant happened. All in all 1000 crore selling by FII and 700 crore buying by DII in this series of 13 trading days so far.
3. The stand out number in the entire series is the VIX. From highs of 35, it fell to 25. So, it has been a month of option writers. At VTrender, most of us wrote options on either side in the first 2 days of the series.
4. As Girish quotes regularly in the trading room, retail traders lose money by looking for a trending move in non-trending environments and staying out in trending environments. You can see evidence of that in the 10L shorts exiting on 13th Oct and 17L longs exiting on 18th Oct. So far the month has been a low volume, directionless and option writer friendly month. Direction might be round the corner.
5. The option table data indicates decent support at 4800 and reasonable resistance at 5200. OI covering at both the strikes today, indicating that a directional movement is round the corner. I am guessing that we will have an expiry at one of those two strikes.
6. Where do we go from here? The SAR number that we have been using, which is the average price of OI contracts of FII is at 4996. I continue to believe this number, and it is prudent to stay long above this number and short below it.
7. Most of you might be expecting a Diwali rally. But as RM says in the trading room, it is always the minority which wins in the markets. So, be open for possibilities. My take on this month is ... an absolute neutral month with no bias. But, it will be forcefully bent to one direction by the institutional players in the last 5 days so that maximum damage can be caused to maximum players. So... As the Jedi says "May The Force Be With You" :)
8. You can find the entire datasheet here.