FnO Datasheet December Series

It has been a wild series so far. November series has expired at 4756. Today, we have closed at 4711. More or less - a nothing series. The statistic is presented just to bring to light the fact that, we are almost overwhelmed with bearish sentiments. Most of the bears calling for a short term bottom yesterday. In this context, I would try to present my notes on December series so far. Again, the notes tries to comprehend the entire series - and will try to put today's rally into that perspective.

1. To understand December series in a perspective, we have to watch the FnO data from 21st November - 3 days before November expiry. On 21st Nov, FII OI was at 7.43L contracts and by 23rd Nov, it reached a peak of 8.76L contracts. On 24th Nov, after expiry, the OI was at 6.26L contracts - more or less all of them belong to December series. Now, the addition of those 1.3L contracts between 21st and 23rd happened in the price band 4800-4900. Now, between 25th and 28th Nov - the OI has fallen to 5.1L contracts. In this span FII bought 38K contracts - and NF moved in the price band 4680-4750. OI reduction even when they bought - indicating they have covered the shorts taken in the earlier 3 days. 
2. The second phase to be considered is from 28th Nov to 1st Dec. During the period FII bought 50K contracts - their OI increased by 50K contracts - and NF traded in the range 4750-4850. So more or less longs are added into the system. Then we rallied to 5134 by 7th December. It can be seen that, their OI has not changed much during the time - on 7th Dec, the OI is at 5.5L contracts - more or less the same as on 1st Dec. So, they got decent benefit out of the rally. 
3. The third phase to be considered is - from 7th December to 9th December. During the period NF has fallen from 5100 to 4950. During this period, FII have net sold more than 90K contracts - and their OI has decreased by 90K contracts. So, they have booked out their longs taken earlier. 
4. The fourth phase to be considered is - from 9th Dec to 15th Dec. During the period FII have sold 90K contracts their OI has increased by 90K contracts and NF has moved in the range 4750-4920. So this is the price where they have built shorts. 
5. The fifth phase is from 15th Dec to 19th Dec - where their OI remained unchanged - and they were day trading mostly.On 20th Dec, when NF made a bottom of 4540 - FII have bought only 12K contracts - which showed in the OI reduction - so they have covered their shorts. 
6. Finally, today they have net bought 66K contracts, however their OI has decreased by 50K contracts. Considering the heavy volumes in the morning around 4620 - we can almost deduce that they have covered their shorts around that zone. So, even today, their buying is mostly short covering - and not buying.
7. Well - to summarize - firstly you can see that FII are playing our market more as an FnO game rather than any investment opportunity. Secondly, we are oscillating from the mean by 200-300 point range - and we are at the mean position now. 
8. There are a few other things that are important to analyze this series. FII have been relentlessly selling in equities. They have net sold approximately 8K crore so far this month. From 9th December, till date, not even one day did they buy equities. And, during the period they have approximately sold 2L contracts in Fno - the effects of INR clearly visible.
9. On the total OI front, this month is quite interesting. We have accumulated an OI of 2.13 crore by Nov 24, the expiry date and that remains the highest OI through out the month. It can be also observed that most of the OI is built in the range 5000-4850 zone and most of the time we have traded below the range. And through out the month, only reduction in OI took place - no significant addition any time.
10. So finally after all the explanation where do we go from here? I do not know. :) On a serious note - I would want to keep my stand perfectly neutral. Here are my considerations for staying neutral. We are in the all important zone 4700-4800, where most of the action took place. Either from longs to shorts or shorts to longs. The FII OI and NF OI both are at their lowest levels in the series  - and they can be taken any where. Secondly, during the month, in the zone 4700-4800, DII have bought more than 4K crore of equities. If we assume they know what they are doing - they consider this to be an important level. However, it is important to note that most of FII shorts are in the zone 4750-4920 and we have not touched that zone still. Once, we go into that - a short covering might take it to 5K plus expiry. However, till we go into that zone - and see an evidence that shorts are covering - it might be prudent to be biased on the short side. Yeah - we are below the all important 4756 still. :)
11. You can find the entire data sheet here.

FnO Datasheet Nov Expiry

My notes:

1. I said in my last notes that there is a possibility that "the longs in the zone this week are like a deer in front of the headlights" and panic will strike expiry week. Hope you are on the right side of the trade.
2. There has been relent less selling in the market for last one week. In the series, FII have sold approximately 1.2L contracts. From 30 points premium NF has slid to 5 point discount at one point today. RM's MO at -95 and staying above -80 for 3 days consecutively demonstrates the extent of selling. 
3. Wednesday FII sold 1300 crore worth 54K contracts again. So, it appears the series would expire at its lows. It is important to note that at no point of time, the OI of any strike did not cross 80L. From my observation, it is difficult to count any strike as support till it crosses 80L OI. 
4. Starting 15th Nov, FII have net sold 4000 crore worth of equities. That indicates the gravity of the situation we are in. The INR at life time lows is not helping the matters either. It is interesting to observe that the equity selling increasing in its quantum from 195 crore to 1200 crore yesterday. It confirms my belief that equities are delayed FnO cycle now. Probably this cycle gets terminated with some spectacular display today/first day of new series :) It is important to note that DII have stepped up their equity buying in the last 3-4 days. Otherwise the damage could have been more severe. Now, whether DII are buying the equities as an opportunity or as a compulsion is what will determine the next course of action.
5. I said in my last notes that, referencing the OI table is not prudent - as none of the strikes have an OI that can withstand such movement. I continue to carry the same opinion. However, I would like to point to two significant observations that Girish shared in the trading room which proved to be decisive. Firstly, when the market was trading in the 5200s, for two consecutive days, huge buying happened in 5100PE Dec - approximately of 23L contracts. While bringing it to the room's notice, Girish said that - either the fall will come in December or it is done so as to escape immediate attention. How correct he has proved to be! The second important factor happened yesterday again. Yesterday there has been 12L addition in 4500PE Dec. Is it a case of the same story or a double bluff this time? Take your call - there is the key to next series. :)
6. I have added the sheet for December series as well - and am trying to monitor the OI increase and roll overs to December series. NF Dec series has built 1.88 crore OI so far - and out of which 1.1 crore has been built in the last 3 days. It is important to note that in 2 out of those 3 days, FII have been net buyers in index futures. Further, their OI has increased by 2.2L contracts in these 3 days. NF traded in the zone 4750-4850 in the first two days, and traded between 4680-4750 on the last day. So, this is the zone which will be important reference to the December series. There are two possibilities that one can see. The 2.2L contracts addition are shorts and 4500PE December has been bought by smart money - indicating much lower lows in December. Secondly, The 2.2L contracts addition are longs at the lows, and 4500PE December has been written by smart money - indicating a smart year end rally on the cards. Take your pick and right pick will be handsomely rewarded. :)
7. The FII SAR that we have been tracking has reached 4658 yesterday. Our experience suggests that, we should stay long above it and stay short below it. Keep following that number as it gives a very good clue to the institutions' view on the market.
8. All the columns in the data sheet have their value in understanding the complete picture. For example, take the net average figure of 22nd November. It shows 4163. It is far lower to the range in which Nf has traded in the day. When the Net Figure is very low, it indicates that there is a lot of profit booking/day trading that happened. If we observe the action on 22nd November, there was a minor rally in place. So, we had a rally and profit booking happening on the part of institutions. That will help you equip yourself for an impending fall coming the next day. One of the reasons, I carried those 4700PE. :) All I am suggesting is keep your eyes and ears open to the data in the sheet. Slowly, the data sheet will start speaking to you. Listen to it - It will equip you much better to handle the next trading day. 
9. You can find the entire data sheet here. 

Fno Datasheet Weekend Update

My Notes:

1. I have said in my last notes that we are going to touch 4900 or 5300 soon. I stated that 4900PE buying and DII equity selling are my reasons for thinking that we are closer to the top then. Hope the food is tasty. :)
2. We are into relent less selling and 500 points down on NF in the week. In the last 5 trading days, FII have net sold 1.2L contracts of NF worth 3K crore approximately. We have to add 2000 crore worth of equity selling to that - it shows that FII are withdrawing money big time from the Indian Markets.
3. The option table is undergoing a real transformation - with each day one CE level is targeted with huge volumes of writing and the strike is giving way to much lower strikes.
4. Talking about supports and resistance based on OI at this stage is not quite relevant because, with the kind of mayhem going on, no strike is safe. All this happening with VIX below 27, and with no strike having 80L+ OI is what is making this interesting. 
5. I have stated in my last notes that 2.2 crore contracts have been added to Nov series in the price zone 5100-5200. I said that there will be violent reaction any time the price hits the zone. Now, in the last one week, approximately 30L contracts only have been reduced. That is a very low 12%. It basically means that, most of the additions in the zone are still trapped in the system. Now, that leads to the following possibilities: Firstly, they are shorts and they are enjoying the fall. I give this possibility minimal chance because after the addition of OI, NF rallied for around 200 points - and not much reactions were visible during the rally. Secondly, they are long but completely hedged with some PE. I give this the maximum possibility. Thirdly, the longs are caught completely off-guard, and they still have not reacted. If they run for cover, we might be in for another 200 point fall. I give this also minimal chance - because, the fall so far has been 250 points from their zone, and at any scale, that is huge and the manic running should have started by now.
6. Out of 30L OI reduction in the last week, 2 interesting points stand out. Firstly, the entire 13L covering of Friday, have been rolled over to December. So, in effect only 17L contracts covered during this entire fall. Even more surprisingly, there has not been much OI addition on any of the fall days - so it is all pointing to long liquidation rather than short addition. 
7. Another important factor to be considered is, DII have been buying equities during the week. Add, the high equity selling yesterday by FII indicate that we are closer to the bottom. ( I go with premise that equity cycle is a delayed FnO cycle - and high activity in equities generally indicate culmination of that particular cycle.) RM's MO at -95 also suggests that we are closer to a bottom - time wise, if not price wise. :)
8. The FII SAR we are following is at 4850. I said in my last notes as well that, the significant lowering of SAR is a cause of concern as, it indicates profit booking from the institutions. From the highs 5256, it reached 4850 - 400 points down in a week's time. The only solace is, it did not fall down much yesterday, indicating a pause.
9. Where do we go from here? I distinctly see 2 possibilities. Firstly, there is smart money involved in the longs between 5100 and 5200. They are hedged so far - they are booking their hedges now, and they will get a  decent exit with a rally towards the zone. Secondly, the longs in the zone this week are like a deer in front of the headlights and they did not react at all. Panic will strike them next week, when they find no hope of retrace. In which case, what we saw is only a teaser and the real movie is in the expiry week. Take your call on one of these possibilities and it should reward handsomely, if you are on the right side. 
10. You can find the entire data sheet here.

FnO Datasheet Weekend Update

My notes:

1. In my last notes, I have stated that November series has added 2.2 crore OI which is approximately 80% of total OI between the price range 5100-5200. I said longs are safe above the zone. I further said that the reaction when  price reaches the zone will determine the outcome of the series. Friday, we made an entry into the zone and promptly 8.6L contracts OI reduction happened. Now, is it the smart money or the weak money which covered the longs is what is interesting. 
2. FII have net sold 52K contracts yesterday and their OI has increased by 15K contracts. We already know that they are long in the series, so, it is safe to assume that they have covered 37K long contracts. 
3. From October 19th, when we started tracking this series, in 15 days of trading, DII have sold equities on 11 days. Not a comforting statistic, if you are a bull. Even on the 4 days, when they did not sell, the buy amount is very minimal. So, one thing is obvious - the DII do not think that, the equities are in for any major bounce soon. 
4. I said in my last notes that, even the institutions are playing it on a series by series outlook, and FII buying in equities is an example of that. The high premium on NF is another illustration that, the game is being played in FnO segment only.
5. In the option table, some very interesting things happened. The 5200PE and 5300PE covering and call writing at 5200CE are the first things that come to attention. The second aspect that caught my attention was the put covering at 4900PE and 5000PE. We are trading a decent 200 points above - why some one was in a hurry to cover 4900PE - weak longs or smart longs? Make your conviction and trade it. :)
6. To continue with the option table, there has been Call covering at 5600CE - probably profit booking. But, the absolute reluctance of people to write calls at 5300 is another interesting aspect. If 5200CE has added 15L contracts, 5300CE at a decent 43points by close should be inviting significant writers' money. But, absolutely no addition there. My take, we are going to touch 4900 or 5300 soon - depending on which side the smart money is. :)
7. The PCR is in the neutral zone of 0.95. In November series, so far, there is total OI of 3.35 crore on the Call side and 4.25 crore on the Put side. So, the activity is more on the Put side, indicating option writers are bullishly confident. However, on Friday, 18.7L of Calls are written and 2.9L of Puts covered. It indicates that Put writers are not really scared as yet for any steep fall. Further, out of 18.7L calls, 15.3L calls are written at single strike 5200CE. So, Call writers are also still not confident of any steep fall. My first guess - a range bound movement for the next few days before we make a directional movement. We will continue to monitor this activity and study its implications as we move along.
8. The FII SAR that we have been tracking stands at 5118 on Friday. The SAR presents an interesting observation. If you observe in the last two days, the SAR fell significantly lower. It was at 5255 on Tuesday and fell by 140 points in 2 days to reach 5118. I would like to bring to your notice that in those 2 days, we have traded significantly higher than the average suggests - in fact in high 5200s and 5300s in the span. The average SAR price reduction means that - there is no fresh buying done by FII in the last 2 days - and further they have booked profits in significant lots in these 2 days on the long side - as the average came down considerably. ( Your average price comes down - when you book profit.)  My guess is - due to this activity - the upside is limited - and we may be in for some range bound movement with slight negative bias. 
9. Where do we go from here? I have an interesting stat for you - the average option buy price and average option sell price. The average option buy price 5164 is less than the average sell price 5180. And in fact both the average prices are less than the lower end of the traded zone. It basically means that most of the activity happened at lower strikes than the Nifty traded zone. To illustrate - if there is more activity at 5300 strike, the average price will move higher - due to that activity. So, most of the activity happened in the lower strike prices. A quick glance in the option table shows that, there can be two places where options can be bought. I find that 5200CE or 4900PE suit our requirement. My guess - FII bought one of those two. We will know soon what it is :)
10. Though I may not be able to present complete verbal notes regularly,I will be updating the datasheet on a daily basis. I believe that by this time most of you are quite familiar with my thinking process - and can make out what I write based on the data. :). Please keep offering your feedback - it is quite valuable to me.
11. You can find the entire datasheet here .

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.

FnO Datasheet 21-10-2011

My notes:

1. 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. 
2. 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.
3. 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.
4. 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.
5. 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.
6. 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.
7. 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.
8. 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. 
9. You can find the entire data sheet here. 

FnO Datasheet 20-10-2011

I said yesterday that "the bus is getting crowded". Looks some off-loading happened today.
My notes:

1. FII have net sold 24K contracts today and their OI has increased by 19K contracts. So, most likely they have added some shorts. 
2. There has been 18L contract roll-over happened today. When you add 24L contracts rolled over yesterday, we have 42L contracts have been rolled over between 5050-5150 price zone. Considering that we are having around 2 crore OI on an average for the series, this is approximately 20%. So, this price zone will have a crucial bearing in the next series as well.
3. Yesterday I have pointed to the abnormal addition of 5100PE. I further said that the rally can be easily manipulated as it is not backed up by equity volumes. You can see the effects today.
4. We have opened today at 5098 and closed the day at 5103. So, it has been a scalpers day. 
5. In the equity segment, both FII and DII have been sellers. However, not in large volumes, but look just sufficient enough to induce the fall. :)
6. The option table is providing an alternate color every day. There have been 42L calls written in 5000CE, 5100CE and 5200CE. Though 5100PE covered 10L contracts in the morning, during the recovery in the afternoon, entire volume has been written back.  Those 42L calls do look like written in haste. 
7. FII have bought significantly more number of options than writing them today. It matches with our estimate yesterday that, a direction is round the corner. There are 2 possibilities of them buying options. The 13L contracts written at 4500PE is one and the 5000CE, 5100CE and 5200CE are the second. Either of them indicate that a direction is round the corner. :) I would be more biased to the Calls than Puts. For the Puts to come into money, we need a down circuit. :). 
8. Where do we go from here? Our OI SAR is at 5068. Yesterday the SAR was at 5106, we opened below that and promptly NF fell by 60 points. Let us continue to monitor this SAR.
9. The complete datasheet is here. 

FnO Datasheet 19-10-2011

My notes:

1. We have a 2% rally on NF, almost breaking the perceived trading zone. This is the 4th closing above 5110 in the last six trading days. Everyone in the trading room knows the importance of 5110. :) Will this be a sufficient requirement for us to proceed to the conquering the all important 5200? Let us see.
2. Shorts really ran for cover today. 12L contracts in NF have been covered today. I remember one of the early lessons in the trading room by Shai - "Short covering leads to a price rise. But, it weakens the market internally." I do not see much buying happening. So, is market structure weakening? We will know in the next 2 days.
3. Though FII have bought 10K contracts, their OI has increased only by 4K contracts. So, we have to assume that, they have covered shorts of 6K contracts. Now, NF has reduced OI by 12L contracts. So, FII could obtain a short covering of 12L contracts for their 6K contract short covering. Amazing leverage. :) Leaving jokes apart, I feel that, there is a serious mismatch between the FII and the other traders on the direction of Future of Nifty Future. :) Who has more chances of being right? Take your call.
4. Turning to equities springs another surprise. For a rally of 100 points on NF, both the FII and DII turned out to be sellers in the equity segment. That indicates that, this rally is done via short covering only and ... is limited to FnO segment.
5. The option table paints a bullish picture. Lot of call covering at different strikes, and mammoth put writing. The most interesting part is the put writing at 5100 and call covering at 5000. 5000CE covered approximately 10L contracts. There has been a writing of 6L contracts at 5300CE. So, bears are not confident that 5200 also can hold the bull rally. For me the defining part is 24L contracts being written in 5100PE. If we look into the last 3 days, each day 5100PE has been the focus. Yesterday, after covering 18L contracts, it looks the bulls are back with a vengeance. Is their bullishness justified? Looks a lot of people are playing for a Diwali rally.
6. The troubling part for me, is in the correlation between the option table and the Institution data. The data sheet shows that, FII bought more options today than writing them. It is perfectly plausible to opine that, their option buying has to do with 5000CE and they are covering their loss. However, the other alternative is if they are buying the 5100PE. We will soon know.
7. Where do we go from here? Our SAR number is at 5106 - quite close to Vinod's 5110. Stay long above it - and stay short below it. It is working quite well.  
8. It is alright to play for the Diwali rally - historically, it is a proven thumb rule. However, remember that the bus is getting crowded. Additionally, it is important to remember that, we are in the midst of a rally, which is only happening in the FnO segment. There is no corresponding equity buying at all.
9. The complete datasheet is here. 

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.

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. 

FnO Datasheet 22--09-2011

Globe is rallying before the key event of FOMC. Rain might be around. Have a rain coat with you. 
This is what I wrote in my notes on 20th. Hope all of you had safe trading. My notes:

1. It has been bears day out. A red trend day with 4.5% fall in NF and BN.
2. FII have sold big today. They have sold 73K contracts, their net OI increasing by 98K contracts. OI increase with price fall generally means shorts are getting into the system.
3. Today the equity volumes have been high. FII sold 1400 crore and DII bought 735 crore worth equities. This equity sell off confirms my belief that equity cycle is a delayed cycle to FnO cycle. Huge shorts are created first, then equity selling climax happens where generally profit booking occurs in the shorts. Is this the selling climax, or just the trailer? 
4. PCR has risen to 1.25 - indicating the hectic activity in the Put Options. 5000PE,5100PE, 5200PE writers ran for cover. 66L contracts have been covered in the above 3 strikes. Around 48L contracts are written in the 3 strikes 4900CE,5000CE and 5100CE. Out of which, 23L contracts are written @ 4900CE, when NF traded almost the entire day above 4900, is a bit surprising. Smart money or Foolish bears - Future will decide.
5. Two days back, I said that I am sober about the chances of a breakout. I claimed that we are trading in a range. Two days later, after a 4.5% fall, I still claim that we are trading in a range and I do not find any break down. As an illustration, On 29th Aug, after the second trading day of the series, NF closed at 4933. With 5 trading days to expiry and an entire month of trading, we have closed today at 4913. A 20 point blood bath on the street!! :)
6. NF OI has increased by massive 23 lakh today. The price fall indicates that huge shorts entered into the system. In general it does suggest that more fall is ahead. However, an interesting observation is - On 12th Sep, NF closed at 4941 - and has a OI of 2.6 crore contract. Subsequently, 40L contracts ran for cover in the next 200 point rally. And 23L contracts are added again today when we closed at 4913. Looks, 4900-4950 is a major trend decider. People do think that a break down here will lead to severe downfall. Let us see if the second attempt of Short addition in this range turns out to be successful.
7. PCR and VIX tell another interesting story. On 26th Aug, the first day of the series, PCR and VIX both were exactly at the same range. We had a break down on that day as well with NF closing at 4748. There was fear all around. We are with the same PCR and VIX, let us see if the second time proves lucky and we break down to abyss. :)
8. The OI average price is 4880. We will continue to use this as SAR. You can see that, the SAR indeed worked quite nicely. Yesterday it was at 5096 and a break below it gave 200 points :). Let us continue watching this average price. 
9. The option volume trading today has been extraordinary. It has been double the average trading volume. FII bought options worth 9L contracts. Their option OI remain unchanged. So, it can not be covering their put writing alone. There has been new put writing of 30L contracts in 4800PE,4700PE and 4600PE. Similarly, there has been new call writing of 55L contracts in 4800CE,4900CE,5000CE and 5100CE. One of these two sides have written options which FII bought. Which side and what are its implications? Let us wait and watch!
10. You can find the entire data sheet here. 

FnO Datasheet 21-09-2011

"I will be viewing all rallies with suspicion till they convincingly cross 5174" NF made a high of 5173 today. Hope, you were able to benefit from it. 
My notes:

1. Today has been the lowest FII trading volume in the entire series. They have net sold 3.6K contracts worth 88 crore. Though, the trading volumes are less, they have closed positions in 29K contracts ahead of an important event FOMC. 
2. Equity volumes continue to be minimal. The whole month is characterized by FnO driven rallies and falls. The 16 point premium on NF vanished today completely. As we reach towards the final week of the series, we are still direction-less and the entire game is being played only in FnO segment.
3. NF shorts are running for cover. Today another 12L shorts covered today. It is interesting to note that, the series high OI is on 13th Sep, when NF closed at 4941. Today, after a 200 point rally @ 5141, approximately 25% shorts ran for cover.
4. PCR has slightly decreased today to 1.15. Though, there is a fall of 60 points from the day high, not much call writing is visible any where in the option table. The fall has been used by call writers to get out of their positions. A meagre 2L addition of 5200CE is the notable part. On the other hand, put writers continue to be aggressive. The continued writing at 5200PE is evidence for it. The most striking aspect of today's option table is the 11L writing @ 4800PE at Rs.6-8. Why 4800, when we are trading 300 points above?  A bit perplexing. FII option writing volumes today are not very high - so it may not be them. Who else? 
5. FII average OI price fell slightly by 6 points and reached 5096. We can continue to use this number as SAR. Yesterday, the number was 5104 - and the fall getting arrested from 5113 may not be completely unrelated. :)
6. Where do we go from here? The 5000PE with 93L OI, should provide solid support on any down side. On the upside, I do not see any major resistance. The Fed Meeting tonight might provide the direction. Remember the 5174 number - a clear sustenance above it might lead to a 5350 expiry! 
7. Will we have the NAV management? Will global cues prevail up on us?  "So, the violence might increase - and wild moves might start appearing - but I do not see a clear direction appearing to the market till the closing stages of the series." this is what I wrote in my notes on 13th Sep. As you can see, we are 6 trading sessions away from expiry.We are closer to finding the answers.
8. You can find the complete data sheet here.

FnO Datasheet 20-09-2011

My notes:

1. For all the mega rally that we have today, FII have net bought 100 crore today. Definitely does not look like an FII induced rally. Even if they have, they have day traded today. Further, they are reading the notes here daily, and planned to such a degree that, they have closed sufficient shorts and created approximately same number of longs, so that the OI does not change much. :)
2. Equity Buying is still on very low volumes. In fact today, DII have net sold equities. So as such, this rally is induced in the FnO Segment and continues to stay so. Till this is backed up by significant equity buying, please be careful with your positional longs.
3. PCR has decreased slightly to 1.18. The underlying theme for the entire day has been the Put writing at will and Call Covering in panic. Most notable is the addition of 45L addition of OI at 5000,5100,5200PE. 12L addition of OI at 5200PE, when NF closed around 5158 is a point of concern. Bullishness bordering foolishness, and is causing some uneasiness in me. :) In fact there is not much resistance to bull rally in any of the upper strikes, so, if this is a genuine rally, look forward to a 5400+ expiry. 
4. Remember trading is a game played on perceptions. I have been looking at various forums and blogs for the last couple of hours to find how we have a genuine breakout today - and - a new high - targets of 5300-5700-7000 targets are flying around. The Desi MO is at a healthy 56. So, people are reasonably bullish. But forgive me for staying sober. NF has closed at 5157 today. On 8th Sep, NF has closed at 5155. So, after 12 days of trading we have a mega breakout of 2 points. Reason to be really bullish. :) We have not even scaled the 8th Sep day high of 5174. As I said in my earlier notes, I will be viewing all rallies with suspicion till they convincingly cross 5174.
5. NF shorts ran for cover today. Approximately 8L OI has decreased. It is interesting to compare the OI of 8th Sep and today - the days where NF closed the same. On 8th, we have 2.6 crore OI and today we have 2.2 crore. So, approximately 40L contracts - around 25% shorts have covered in the mean time. At the same time, FII have reduced their OI from 6.9L to 6.3L contracts - around 60K contracts which is 10%.
6. Now, where do we go from here? the option table represents a completely bullish picture. No CE writing is large enough to hold and 5000PE at a whopping 95L OI. Has the NAV management started? If it is - may be we have done 20% of the rally - we get around 500 points in the last 10 days of trading at quarter end. One silly question that has been lingering for the last hour or so is... Have we made a double top on 8th Sep and today?
7. The average price of FII OI has changed to 5104 today. So that becomes our SAR. Interestingly, on 8th Sep, the average OI price was 5131. Globe is rallying before the key event of FOMC. Rain might be around. Have a rain coat with you. 
8. You can find the entire data sheet here.

FnO Datasheet 19-09-2011

"I will not be surprised if we get a ranged movement in the next two days - where option premium gets killed."
This is what I wrote in Friday notes. Most of us at the trading room wrote some options or the other. Hope you could get benefit out of it. My notes:

1. Yesterday is the lowest volume day of the series for the FII. This was evident with the snail paced movement of the index during trading hours.
2. The NF OI has decreased by 1.8L contracts - nothing changed much there.
3. The PCR has increased to 1.20. The increase in Put volumes indicating the bearish sentiment increasing. 
4. I hope you have noted the fight between buyers and sellers around the 5046 number, that I have written in the last note.
5. The most interesting part of yesterday data has been the average price of FII OI. It has significantly reduced from 5046 to 4989. It is a bit perplexing - considering the low volumes of yesterday. I have to admit that I could not figure this out correctly. From my present understanding, FII have covered some shorts from the top. Let me illustrate my thinking with a small example. Suppose, I am long from 4800 with 5 contracts and short from 5200 with 5 contracts. My OI is 10 contracts and average value is 5000. Suppose, I close 2 short contracts. Now, my OI is 8 contracts and average value is 4950. You can see that the average OI value has got down considerably. Extending this example, I am deducing that FII have closed some shorts yesterday. I may be wrong.
6. So, now the SAR figure changes from 5046 to 4989. We will keep tracking this number. Let us look forward to what clues it will provide us for trading.
7. You can get the entire datasheet here.

FnO Datasheet 16-09-2011

"The 16th RBI meet and 21st Fed meet might provide some direction. Another possibility is one or both the events might prove to be non-events. "
And 
"So, the violence might increase - and wild moves might start appearing - but I do not see a clear direction appearing to the market till the closing stages of the series."


This is what I wrote in my notes on 14th. Hope the analysis was useful to you. My notes:

1. FII have day traded on Friday. They have net bought 3K contracts - and their OI has decreased by 25K contracts. A further case of long liquidation/short covering.
2. FII have traded with large volumes on option front. Friday Option Volume is highest in the series. Clearly, the Institutions want to capitalize on the Premium decay in options over the weekend. I will not be surprised if we get a ranged movement in the next two days - where option premium gets killed.
3. PCR has decreased to 1.09. Most notable is profit booking at 4500PE. Option writers are playing for a ranged market with slight positive bias. For me the most surprising is 11L OI addition at 5100PE and 5200PE. The most logical explanation that I can think of is ... they are covered puts. As it is FII are hugely short in the Future Segment as we have observed over the series - and these puts are covered puts.
4. Where do we go from here? In the data sheet, I have introduced a new column average price. You can see that, the average lot price for the OI of FII is 5046. It means that FII are holding 6.35L NF contracts at an average price of 5046. Are they long or short? We may not know immediately. But it might help to use that number as an SAR. Stay long above 5050 and stay short below it. That will help you stay on the side of Institutions and which has a greater risk-reward ratio.
5. You can find the entire datasheet here.

FnO Datasheet 15-09-2011

Another highly volatile day. An absolute short squeeze was on from the morning. My notes:

1. FII net bought around 10K contracts. However, their OI has decreased by 50K contracts. So, there is significant OI reduction. We have to see whether the OI reduction is due to the long liquidation or short covering. Probably, it is long liquidation if they are covered in the afternoon and short covering if covered in the morning. :) 
2. There has been significant short covering in the NF. There is a reduction of 13L contracts. Looks like the weak bears who were expecting the 4500's are running for cover now. 
3. The high VIX is not helping either. The option premiums are not decreasing - and NF is doing bi-directional moves of 100 points very easily. So, people are getting quite confused on to the next move.
4. The defining aspect of the data is the equity volumes. No buying there at all. Now, is this rally induced to flush shorts or genuine FnO buying happened - is what we have to look at. We will get further clues in the next few days.
5. A rally before a key announcement has to be always looked at with suspicion. With such a key announcement pending today, a rally of 1.5% does not look right to me. Do some people have the ability to see through sealed covers? Or is it the standard "Buy on Rumor, Sell on News" technique? We will know it today. :)
6. Where do we go from here? As I said in yesterday notes, I will look at all rallies below 5200 with suspicion. The rally yesterday was not backed up by any commitment by Institutions in the form of equity buying. The high premium of 22 points on NF is an indication that, the rally is induced in the form of FnO segment. Will we get a follow up or not is the key question. We will know it soon. 
7. PCR stayed almost the same. The Option table gives the snapshot of a picture of beaming bulls who think the bottom is in place. With 70L+ OI at each of the strikes from 4500PE to 5000PE, looks like there is reasonable support at every strike. But the most obvious is the most deceiving in stock markets. Be cautious.
8. You can find the entire datasheet here.

FnO Datasheet 14-09-2011

" A scare to the 5000CE writers looks a probable option." This is what I wrote in yesterday notes. Hope you are on the right side. Here is my notes:

1. FII have net sold 23K contracts again. So, looks like they have created more shorts at the higher levels. However, one interesting thing to note is their OI has decreased from 7.32L contracts to 7.12L contracts. There are two ways to look at this. Firstly, we can consider it to be short covering. Secondly, we can consider it to be long liquidation which they have been carrying from much lower levels. As of now, let us consider it to be short covering.
2. In this series, the equity volumes have completely dried up. That is probably due to the lack of direction in the market. FII have sold 550 crore and DII have bought 44 crore of equity so far this month. Add to this - 12K crore selling by FII in the earlier month. These are not the best times for investors.
3. PCR has decreased slightly from 1.14 to 1.12. The option table has been given a complete makeover from green to red today. More than 50L contracts of Put writing happened in 5 strike prices. 4700PE,4800PE,4900PE,5000PE and 4100PE. The addition of 11L contracts at 4100PE is sure to rise a couple of eye brows. I do look at it as the frustration of PE writers considering the hardships they have been going for the last month or so. Nothing alarming - PE writers wanted to pocket some peanuts. :)
4. The volatility is causing the writers on both sides really sweat. The 5100CE writers covering the other day and today's 5200CE writers covering are examples. The volatility is operating at extremely high levels of above 30.
5. NF OI has decreased by 10L contracts. First significant short covering in the month. 
6. Do not let the extreme volatility fool you. This market is going nowhere - and is completely directionless. Institutions are making good money by writing options on both sides. To illustrate the point - NF closed @ 5003 on 30th Aug. After 15 days of trading, today NF has closed at 5019. A mega rally of 16 points. 
7. By operating via the option market, FII are making it very subtle. Consider the scenario - On 30th August, when NF closed at 5003 - the 5000PE is costing Rs.123. You write an option there - and on 8th September, it went down to Rs. 65 - approximately 50% gain. By making this buy/sell on the option front than on Future front - lesser alarms are raised for the observers. To illustrate further, add a converse transaction of 5000CE buying on 30th August and 5000CE writing on 8th Sep to the above transaction. Considering the way option data is delivered to us - we will find it as 1 option bought and 1 option sold on 30th August - and 1 option bought and 1 option sold on 8th Sep. Nothing to be decoded - except a 200% profit to the institutions. :) 
8. An important aspect to be remembered is on 30th Aug, FII OI is 5.07L contracts and today OI is 7.12L contracts. An increase of 2L contracts - remember on most of the days in between, we have traded above 5K. I would consider them to be shorts in the system at higher prices. 
9. Where do we go from here? Well, for me we will move around with the same volatility for a few more days in the range. The 16th RBI meet and 21st Fed meet might provide some direction. Another possibility is one or both the events might prove to be non-events. In any case, I would view all rallies till the earlier series high of 5174 with a suspicion. If we do cross that with conviction, we may be in for a 200 point rally from there on - considering the shorts in the system. On the downside, not much down fall is required for the institutions. Their average shorts are now working to be around 5090 mark. Any expiry below that will make decent money for them. And any expiry in the 4900-5100 zone will mean huge option premium benefit for the writers. So, the violence might increase - and wild moves might start appearing - but I do not see a clear direction appearing to the market till the closing stages of the series.
10. You can find the entire data sheet here.   

FnO Datasheet 13-09-2011

An absolute indecision day. Indecisive in the sense that, it did not give us any clue on our future journey. Institutions made merry by doing a lot of day trading. My notes:

1. FII have net bought 6K contracts, however their OI has largely remained unchanged. However, they traded in decent volumes. It suggests that they have been day trading today. The 6K contract buying did not reduce OI even to that extent means, they have sold 6K contracts extra in the morning @ higher prices. :)
2. The indecision is evident in the NF OI as well. NF OI has increased by a meager 75K contracts. Further, NF closed yesterday @ 4942.45. Today it closed @ 4941.60 - An absolute doji. So, more or less it has been a day traders' delight. We had a range of 140 points. 
3. PCR has increased from 1.09 to 1.14. Slightly bullish in nature. The entire option writing play surrounded around Puts being added at various strikes below 4700 and the call writing @ 5000. The PE writers have been experiencing some bitter moments for the last 40 days or so - which is exemplified in the nature in which the Puts are written - at different strikes from 4400PE to 4700PE. In essence not much conviction is seen in PE writing.
4. The 13L call writing @ 5000CE deserves attention. It is hard to think that it can be the smart money. My gut feeling is - it is the over confident bears. We will come to know soon.
5. Where do we go from here? Bulls are bears have equally convincing arguments. The certainty of their conclusions is what causes the uncertainty perhaps. :) From my end I can not offer any more conclusions based on today's trading. Even the VIX has a doji. :) Let us wait for the future action to unfold and guide us. "Remember the Bar-O-Meter" is the only piece of advice that I can give you at this moment. A scare to the 5000CE writers looks a probable option.
6. You can find the entire data sheet here.

FnO Datasheet 12-09-2011

 "Considering the high OI accumulation at 4900PE and 5000PE, there might be a visit there to see how they react. Their reaction more or less determines the series outcome." This is what I wrote in my Friday notes. Well, both of them have been tested today. Hope you are on the right side. Here is my notes:

1. FII have sold another 43K contracts today. Their OI has increased by the same amount. So, they have increased their shorts. Not a good sign.
2. Not much is happening on the equity front. In the series so far, FII have net sold 42 crore and DII have bought 105 crore. Hardly any buying/selling happening there. However, the huge volatility and wild moves on the FnO front are indicating that the game is being played between the big players.
3. PCR has decreased slightly from 1.11 to 1.09. If we look at closely on different strikes, 5000PE writers ran for cover - and closed 10L contracts. 5100PE comes next with 6L contracts. Around 10L addition at 4900CE is notable. However, the most interesting strikes have been 4600PE and 5100CE. Both of them saw huge unwinding.  6.5L contract unwinding at 4600PE is quite surprising. Even if we assume it is profit booking by weak longs, the 8.7L unwinding of 5100CE on a massive down move day is quite perplexing. Do these 5100CE are expecting a gap up tomorrow? I do not know. But still we are 150 points below the strike price. A gap up is probably not the answer. The best answer that I can think of is ... someone played for a ranged movement between 4600-5100 for this duration. They covered their profits today. The high volatility is not making the writer's job any easier. 
4. Zoom a couple of steps out - Let us look at the picture from 5th September till date. On 5th September, NF closed at 5010. Today NF closed at 4942. A fall of 68 points. During this fall, FII have net sold 1.3L contracts and their OI has increased by 1.04L contracts. So it is easy to make out they are building shorts on every rally. However, during the same period NF OI has increased only by 9L contracts. That is 1:9 which is very less compared to the general leverage of 1:30 or so that FII generally get. :)
5. Today's option volumes by FII are also highest in the series. I suspect that either 4600PE or 5100CE covering is by them. Probably that is what will determine future course of action.
6. Remember, last series we have expired at 4839. As such we are still above the settlement price. As long as we are above that, bull rally possibility does exist. However, considering the OI accumulation of FII, there is less possibility for that.
7. 16th RBI Meet, and 21st Fed Meet are two crucial news events which can effect the direction of the market. I will not be surprised if we do make a short term bottom this week, and do a green rush for the rest of the month to facilitate the half-yearly closing of NAV's. As it is, such long time projections are useless and in fact injurious to your trading account. So, stay in present, and try to play this rough week as expected. We can take things as they come.
8. You can find the entire data sheet here.

FnO Datasheet 09-09-2011

Hope you were on the right side. My notes:

1. What we have yesterday is a hollow correction. The volumes are not great - either in the FnO segment or in the equity segment. FII have net sold 23K contracts, but their OI has decreased by 6K contracts. There are two ways of looking at this - We can consider the correction to be an attempt to flush out weak longs. Alternatively, we can consider this to be just teaser. Our Bar-O-Meter 4850-4900 zone will provide the correct answer.
2. PCR has slightly increased from 1.07 to 1.11. Slightly surprising because with a fall, generally PCR has to decrease. However, as the fall is on low volumes, nothing much to think about it.
3. When you look at individual strikes - 4900PE and 5000PE have decreased OI by 6L and 4L contracts. Looks a sign of weak bulls exiting. The more important factor is the call writing happening at 5100CE and 5200CE at 10L contracts each. Is it the dumb bears or smart money will decide the future course of action for the series.
4. There has been 3.5L contract reduction in NF OI - negligible volumes. So, both sides are confident of future course of action. Monday might provide further clues, as 5000PE and 5100CE writers react when NF approaches.
5. Desi MO reduced slightly to 75 - but still in the high end to be careful on the long side.
6. Even the equity selling is very minimal - FII selling just enough to produce the fall - and DII did not reveal their hand at all.
7. NF was at 5003 on 30th August. Yesterday NF closed at 5052. So, a rally of just 50 points with very high volatility.During this time, NF OI has increased by 30L and FII OI has increased by 1.8L contracts.  In general, a price increase with OI increase is generally considered longs entering into the system. So, if our Bar-O-Meter is protected, playing the long side might give handsome returns.
8. Where do we go from here? Considering the high OI accumulation at 4900PE and 5000PE, there might be a visit there to see how they react. Their reaction more or less determines the series outcome. If we do get into the 4800's - we may be in for some steep correction. This is September, and quarterly adjustments of NAV's etc. is an important aspect. So, unless global cues present some really bleak picture, we may have a green series. 
9. You can find the entire datasheet here.