Monday, June 11, 2012

Option Open Interest for 11-06-2012

Inference
Nifty opened strong above 5100 on the back of good global cues and remained range bound for the better part of the morning session. The afternoon session saw all gains evaporated due to a warning issued by S&P of removing India from Investment Grade rating. The index ultimately lost around 80 points from the high to close the day at 5054.10, a small loss of 14.25 points. Huge build-up was seen at 5200CE and 5100PE level.
  • Call option 5000-5500 added 23.3 lacs huge amount of OI, with huge liquidation seen at 4900 and lower strike prices.
  • Put Option 5200-4500 added 23.8 lacs huge amount of OI, with not much change in other strike prices.
  • Highest accumulation on Call option 5200 at 55.8 lacs & 5100 at 52.3 lacs whereas Put option 4800 at 78.4 lacs & 4900 at 58.4 lacs.
  • Nifty Open Interest is at 1,50,91,800 down by 5,68,650 with decrease in price, most probably huge long liquidation.
  • Bank Nifty Open Interest is at 24,43,200 down by 14,575 with decrease in price, most probably long liquidation.
  • FII’s bought 10.5 lacs Futures, most probably short covering/long build-up, as their OI also increased by 1.20 lacs, and their average price per contract comes to around 4957.
  • FII’s future open contract as on date is 3.48 lacs.
  • PCR Open Interest (Volume) is still at a very healthy level of 1.655.
  • Initial support for the day at 5000 with OI of over 50 lacs, below that at 4900 & 4800 with highest OI of 78.4 lacs.
  • Resistance is right now at 5100 with OI of 52.3 lacs, and above that with huge addition of 7.9 lacs today at 5200.
  • Range as per Option Table is 5009 -5126 and as per VIX is 4988 - 5120 with 5060 as the Pivot.
Option Call for 12-06-2012
Buy Nifty 5100CE above 83 for targets of 98, 124 SL - 79
Buy Nifty 5000PE above 76 for targets of 89, 102 SL - 70

India VIX : 25.02 up by 1.55 points
Call OI : 33344600
Put OI : 55196650
PCR OI : 1.655
SMR : 15.11 (Bullish to Neutral : Bulls unable to hold onto to Gap-up gains, is it weakness or just correction to upmove from the lows, will have to wait for tomorrow..)