My notes:
- On a day when NF fell by 1%, FII bought 18K contracts in NF. With only 2 days to expiry, the buying makes things very interesting. Have they bought in October series or November Series? We have to wait for a couple of days to know.
- Friday has been another day where there has been significant rollover. There has been 32L OI reduction in October and 46L OI addition in November. Considering that NF has spent most of the day in the region 5050-5100 - there has been approximately 1 crore contracts rolled over in the price band of 5050-5150. For the next series, this price zone implies a very significant price band.
- Equity volumes continue to be on the lower end. FII sold 230 crore, DII bought 73 crore. So, as such the series continues to be played only on the FnO segment. The equities are getting used to produce the desired movement in the FnO segment.
- PCR has decreased from 1.06 to 0.94. This indicates higher activity on the Call segment - more calls being written at the various strikes. We are reaching the lower end of the PCR, be prepared for some activity on the Put writing soon.
- The option table has amateur bears written all over. Another 17L calls are written in 5000CE, 5100CE and 5200CE strikes. So, more than 50L contracts are written in the last 2 days in these 3 strikes. Looks, people are very confident that 5000 will be broken on the downside soon. It does not look like smart money which is writing these. For the last 3 days, FII are buying more options than writing them. Be prepared for a directional movement in the last 2 days.
- Looks, the bus offloaded some more people. The Call Writing at 5000CE when we are near 5100, indicates that bus is relatively less loaded. So, will it make the run now? Let us find out on Monday.
- Where do we go from here? Our SAR has reduced to 5032 from 5068 the earlier day. One interesting observation on Friday trading is ... Once NF went below 5068, it fell all the way to 5038 before recovering and closing at 5054. Considering the fact that FII net bought, have they bought near the lower end? We will know on Monday. The SAR is serving good purpose in the day trading.
- Considering that we are trading above 5014, the fairest price for the series, :) and Rm's Desi MO close to zero, a bullish rally might not be out of place.
- You can find the entire data sheet here.
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9 comments:
Thanks CK.. 2 days unto expiry, what level are you expecting for the close of series.. though there is no prizes this time.. i feel we can do a breakout and close around 5230..!!
Thanks Kris
Thank you CK sir for this lovely writing which is a pleasure to read every day. You should have a big heart to share this research output.
Dhanasekaran
Bangalore
Thanks Kris!
Thanks Kris.
For last few days BN has been stronger than Nifty has been making higher highs at every opportunity it got with positive global cues.
My guess is that if 9826 (Friday's reversal pt after a fake IB break) is crossed on Monday the we might be looking at 10k+ on BN very soon.
Hi Kris :
Thanks for the update. Gap up opening and the strong BNF as suggested by GD should work in favor of the longs. Lets see. C u tomorrow :)
Regards
Vinod
Kris,
Thanks for the notes.
Just posted a chart with the fairest price at 5082 for Oct before the market open today.
On a lighter note, what saved the market that day at 5015 (+/- 10)?
a) From a profile point of view, it was the FA point very near by, the Steildmayer distribution at 5015 and the fairest price at 5015 that day.
b) The Moving average fans would vouch for the 50 MA as saving the market and there are no arguments on that front.
c) You of course bought up the "Havala Theory" for the month of Sept, which was also right and may have saved the market also.
Whilst I have nothing against any theory which helps make money and (the more the merrier), logic does not support the havala price to be the sma of the last 30 minutes of the series when series rollovers take place about at least 5 days or ( 5 x 60 x 6.15 ) nos of minutes earlier.
Whilst the theory is good the ideal havala price should be the average price of the rollover of the past few sessions and not just the last 30 minutes.
You utilize the same to calculate the avg OI price and I feel there should not be a distinction for expiry or other wise.
I'm open to thoughts and suggestions from all.
Hi Shai,
Thanks for the charts. Same case with me - I have no bias for any theory - I look at if I can use it for being on the correct side of a trade.
I have 2 points to state here:
1. There might be a lot of old fashioned traders who take positions based on the price - and that can be the importance to the price. Rm already has stated this.
2. Regarding your last 30 minutes of series when series is 5*60*6.15 minutes of trading - I have only one thing to say - There was an effort of 5*60*6.15 minutes of effort for the price to reach there. So, the market already priced in everything for the last 30 days and reached there. :)
Kris,
If Havala Price is the closing price of the series then there's nothing old-fashioned about it's importance. It is as important as the close of any day or week and I personally give more importance to series values over monthly values in futures.
The question is if it is the actual rollover price, and the argument is that it's not!
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