Saturday, May 26, 2012

Option Open Interest for 24-05-2012

Inference
Nifty opened flat and when it seemed like, we are in for a dull range bound day, and the index took off to touch 4900 by noon. A small dip towards 4850 was promptly bought into, and the index closed the day at the 4921.40, the high point of the day with a huge gain of 85.75 points. Looking at the Nifty OI, it looks like the rally was based on short covering. The Option Table saw huge-huge addition at 4700-4900PE and 4700 level now looks like a solid base for this expiry.
  • Call option 4700-5000 covered 27.9 lacs huge amount of OI, with small profit booking seen at 5400 strike price.
  • Put Option 4700-4900 added 19.9 lacs huge amount of OI, with liquidation seen at 5000 and above strike prices.
  • Highest accumulation on Call option 5100 at 67.7 lacs & 5000 at 66.7 lacs whereas Put option 4700 at 94.1 lacs & 4800 at 78.9 lacs.
  • Nifty Open Interest is at 1,92,45,500 down by 12,30,350 with huge increase in price, most probably huge short covering.
  • Bank Nifty Open Interest is at 24,78,675 up by 1,00,375 with increase in price, most probably huge long build-up.
  • FII’s sold huge 13.3 lacs of Futures most probably huge short build-up, as their OI also increased by 9.32 lacs, and their average price per contract comes to around 4690. FII’s have sold around 1.05 Cr of futures from 2nd May till date.
  • PCR Open Interest has jumped up to 0.935 due to huge liquidation at 4800-4900CE.
  • Support at 4800 got a huge prop with addition of 11.9 lacs OI and below that at 4700 with highest OI of 94.1 lacs.
  • Resistance is right now at 5000 with OI of above 66.7 lacs and above that at 5100 with highest OI of over 67.7 lacs.
  • Range as per Option Table is 4839 - 4965 and as per VIX is 4856 - 4987 with 4900 as the Pivot.
Option Call for 25-05-2012
Buy Nifty 4900CE above 66 for targets of 82, 98 SL - 55
Buy Nifty 4800PE above 36 for targets of 51, 78 SL - 32

India VIX : 25.49 down by 1.64 points
Call OI : 47881200
Put OI : 44769700
PCR OI : 0.935
SMR : 27.26 (Bearish : Bulls in a single day has changed the look of the Option Table, but still need follow-up action...)

SMR Ratio is otherwise known as smart money ratio indicator
SMR = India VIX / PCR
SMR = Smart Money Ratio
India Vix = Volatility Index based on nifty option contracts
PCR = Near month Put Call Ratio based on OI

How to read SMR
SMR is a measure of fear in the market. A value of less than 15 indicates that market is lack of fear and volatility and the higher PCR ratio(greater than 1) supports such kind of action. And a value of 25 or greater than 25 indicates too much of fear in the market which is highly motivated with lower PCR ratio (less than 1). It is a kind of indicator which provides information about which kind of market we are right now.