FnO Datasheet 05-11-2011

My Notes:

1. The series so far can be grouped into two parts. In the datasheet, from 19th Oct to 25th Oct, the day of last series expiry. And, from 26th Oct to till date. From 19th October to 25th October, The November Series NF has added approximately 2.2 crore contracts. And in that time span, Nifty has traded with a low of 5085 and high of 5229. It is interesting to note that from 25th October, NF is trading above that range and made a low of 5221 on 3rd Nov, only to stage a 130 point rally. It looks the repelling effect of the highest volume zone. :)  In my view, the longs should feel comfortable as long as we are trading above that zone. 
2.  The FII OI in this series has started at 5.7L contracts on 25th Oct. It has increased to 6L contracts on 31st Oct, when we made the top of the series at 5402 and has decreased to 5.36L contracts as of now. So, approximately 10% of their OI has been reduced - it is safe to assume that they have booked profit. 
3. In the same period, NF OI is almost unchanged. On 25th Oct, the OI was 2.61 crore and now it is at 2.68 crore - a change of 7L contracts - which is negligible. So, most of the contract holders are still playing for a bounce much bigger than what we got so far. Remember, they are into this position from 5100-5200 zone - and they will start reacting only if NF gets down below 5200. So, as long as 5200 is held, nothing to worry for Bulls.
4. On 31st Oct, the day of euro deal, FII bought equities worth 2100 crore. If we take that out, from 19th Oct to till date, they have net bought 300 crore equities - almost negligible. It is interesting to note that, during the same period DII have net sold equities approximately 3K crore. There are 2 inferences we need to take out of this - firstly, this rally is again something that is being played out in FnO segment only - The huge premium in NF is an evidence of that. Secondly, DII are selling equities into this rally. 
5. From the above observations, my personal take - We are not still into any bull market. Still, this is a game played out on the FnO front. We do not get into strong bull trend with out sufficient backup in the equity segment. Probably the institutions also are adopting a wait-and-watch policy till the global dust settles down - and are playing the market with a very short term outlook - perhaps manipulating the index on a series by series basis.
6. The option table indicates that 5400CE writers are unmoved in the upmove and 5200PE writers provide good support on the downside. We might trade for some more time in this zone, before a meaningful move occurs. From the Market Profile dimension, Shai says 5250-5350 is a zone where we do need to spend some time - as it has been a zone which was always crossed with a gap up or gap down. So, playing for the range bound trading might be a useful strategy. 
7. Our FII OI SAR stands at 5255. It has been proving to be a reliable number to depend on - we will continue to monitor it. Stay long above it - and short below it.
8. Where do we go from here? Though it is a matter individual opinions - I have to responsibility to state my opinion being the writer of this article. I do believe we are closer to a top than bottom mainly due to the equity selling by DII. Again there might have been instances of DII selling closer to bottom - but still - let market correct my opinion. :)
9. You can find the entire datasheet here.