Saturday, May 26, 2012

Option Open Interest for 25-05-2012

Inference
After the huge rally of yesterday, Nifty opened weak around 4900. After the initial dip below 4900, Nifty rallied to 4935 and closed the day at the 4920.40, with a loss of just 1.00 point. Some more nifty OI were covered today. The Option Table saw huge profit booking.
  • Call option 4900-5000 added 3 lacs huge amount of OI, with small profit booking seen at 5100 and above strike prices.
  • Put Option 5000-5200 covered 6.2 lacs huge amount of OI, with profit booking seen at 4600 and below strike prices.
  • Highest accumulation on Call option 5000 at 68.5 lacs & 5100 at 65.2 lacs whereas Put option 4700 at 93.7 lacs & 4800 at 72.7 lacs.
  • Nifty Open Interest is at 1,88,95,500 down by 3,50,000 with no change in price, most probably huge short covering.
  • Bank Nifty Open Interest is at 23,89,275 down by 89,400 with increase in price, most probably huge short covering.
  • FII’s sold huge 8.35 lacs of Futures most probably huge short build-up, as their OI also increased by 1.08 lacs, and their average price per contract comes to around 4693. FII’s have sold around 1.06 Cr of futures from 2nd May till date.
  • PCR Open decreased to 0.907 due huge profit booking at 4500-4600PE Level.
  • Support remains at 4800, though covered some OI but still above 72 lacs and below that at 4700 with highest OI of 93.7 lacs.
  • Resistance is still very much at 5000 with highest OI of 68.5 lacs and above that at 5100 with huge OI of over 65 lacs.
  • Range as per Option Table is 4855 - 4979 and as per VIX is 4856 - 4985 with 4900 as the Pivot.
Option Call for 28-05-2012
Buy Nifty 4900CE above 61 for targets of 73, 85 SL - 55
Buy Nifty 4900PE above 51 for targets of 62, 82 SL - 48

India VIX : 25.14 down by 0.35 points
Call OI : 46458000
Put OI : 42127200
PCR OI : 0.907
SMR : 27.72 (Bearish: A pause day with Nifty holding on to gains from previous day, range bound moves on the anvil...)

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.