Wednesday, July 11, 2012

Option Open Interest for 11-06-2012

Inference
Nifty opened weak, and stayed weak till the end of the session within a very narrow range of just 36 points. The ATR-21 (Average True Range) has gone down below 70 after around 2 years and it is precursor to the explosive moves to come. The index closed at the lows of the day at 5306.30, a loss of 39.05 points. 5000PE OI crossed 80 lacs mark and 5400CE is not far behind with OI at 79.5 lacs.
  • Call option 5300-5400 added 4.49 lacs huge amount of OI, with huge profit booking seen at 5500 and above levels.
  • Put Option 5100-5000 added 6.25 lacs huge amount of OI, with huge liquidation seen at 5200 and above levels.
  • Highest accumulation on Call option 5400 at 79.5 lacs & 5500 at 66.8 lacs whereas Put option 5000 at 80.8 lacs & 5200 at 71.5 lacs.
  • Nifty Open Interest is at 2,32,54,600 down by 2,92,300 with decrease in price, most probably long liquidation.
  • Bank Nifty Open Interest is at 29,09,525 down by 47,300 with decrease in price, most probably long liquidation.
  • FII’s sold 3.04 lacs Futures, most probably short build-up, as their OI also increased by 1.37 lacs, and their average price per contract comes to around 5135.
  • FII’s future open contract as on date is 5.61 lacs.
  • PCR Open Interest (Volume) is unable to move above 1.5 and has fallen a bit to 1.462.
  • Support at 5300 has gone weak with huge liquidation of PE at the strike, but below that at 5200, having OI above 71.5 lacs.
  • Resistance is at 5400, with huge OI of 79.5 lacs, the highest on CE side and above that at 5500 with OI above 66.8 lacs.
  • Range as per Option Table is 5260 -5364 and as per VIX is 5255 - 5357 with 5310 as the Pivot.
Option Call for 12-07-2012
Buy Nifty 5300CE above 85 for targets of 92, 104 SL - 80
Buy Nifty 5300PE above 58 for targets of 65, 73 SL - 54

India VIX : 18.39 up by 0.56 points
Call OI : 35987700
Put OI : 52610200
PCR OI : 1.462
SMR : 12.58 (Neutral : Market is precariously balanced at 5300 level, waiting to make a move...)