Saturday, May 26, 2012

Option Open Interest for 25-05-2012

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.