Wednesday, August 22, 2012

Option Open Interest for 22-08-2012

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Option Open Interest for 22-08-2012

Inference
Nifty opened weak just below the previous days close and remained below the dotted lines for the better part of the day. A strong pullback in the afternoon session saw the index make new high but was sold promptly to close the day weak at 5412.85, a small loss of 8.15 points. The OI Table saw huge addition at 5400PE and now OI is above 80 lacs for the same.
  • Call option 5500 added 1.66 lacs huge amount of OI, with huge liquidation seen at 5300 and lower strike prices.
  • Put Option 5500-5200 added 20.5 lacs huge amount of OI, with profit booking seen at 5000 and lower strike prices.
  • Highest accumulation on Call option 5500 at 1 Cr & 5400 at 65.4 lacs whereas Put option 5300 at 1.07 Cr & 5100 at 99.4 lacs.
  • Nifty Open Interest is at 2,61,30,250 down by 2,57,000 with decrease in price, probably some long liquidation.
  • Bank Nifty Open Interest is at 18,43,025 down by 50,375 with small decrease in price, most probably huge long liquidation.
  • FII’s bought huge 3.67 lacs of Futures, most probably short covering, as their OI also decreased by 1.98 lacs, and their average price per contract comes to around 5166.
  • FII’s future open contract as on date is 6.65 lacs.
  • PCR Open Interest (Volume) is at all time high for the series at 1.847 due to huge addition at 5400PE.
  • Initial support at 5400 with another huge addition for the day of 10.4 lacs and below that at 5300 with OI above 1.07 Cr.
  • The one and only resistance right now is at 5500 with OI of 1 Cr.
  • Range as per Option Table is 5368 -5460 and as per VIX is 5368 - 5458 with 5400 as the Pivot.
Option Call for 23-08-2012
Buy Nifty 5400CE above 61 for targets of 70, 84 SL - 58
Buy Nifty 5400PE above 29 for targets of 36, 45 SL - 25

India VIX : 16.00 down by 0.30 points
Call OI : 33312300
Put OI : 61541350
PCR OI : 1.847
SMR : 8.66 (Bullish: Though Nifty closed in Red, but it seemed just like a normal consolidation with PE Writer again in the forefront...)

Option Open Interest for 21-08-2012

Inference
Nifty opened above the dotted line and tried to move beyond 5400 but failed to do so in the morning session. A spurt around the last hour of trade saw Nifty conquer 5400 and closed comfortably above it at 5421.00, a huge gain of 54.70 points and in the process broke out of the 5400 top after around 5 months. Based on the OI Table, it looks totally tilted towards the Bulls with 5300 most probably not to be seen on closing basis this expiry.
  • Call option 5500 added 4.91 lacs huge amount of OI, with huge liquidation seen at 5300 and lower strike prices.
  • Put Option 5600-5200 added 54.9 lacs huge-huge amount of OI, with profit booking seen at 5100 and lower strike prices.
  • Highest accumulation on Call option 5500 at 98.6 lacs & 5400 at 65.9 lacs whereas Put option 5300 at 1.07 Cr & 5100 at 1.02 Cr.
  • Nifty Open Interest is at 2,63,87,250 up by 7,78,150 with increase in price, probably long build-up.
  • Bank Nifty Open Interest is at 17,93,400 down by 43,000 with increase in price, most probably huge short covering.
  • FII’s bought huge 6.48 lacs of Futures, most probably long build-up, as their OI also increased by 6.09 lacs, and their average price per contract comes to around 5184.
  • FII’s future open contract as on date is 6.69 lacs.
  • PCR Open Interest (Volume) has jumped to 1.773 due to huge addition at 5300-5500PE.
  • Initial support at 5400 with huge addition for the day of 25.6 lacs and unbreakable support at 5300 with OI above 1.07 Cr.
  • Only viable resistance right now is at 5500 with OI of just 98.6 lac.
  • Range as per Option Table is 5353 -5462 and as per VIX is 5375 - 5467 with 5400 as the Pivot.
Option Call for 22-08-2012
Buy Nifty 5400CE above 67 for targets of 78, 89 SL - 58
Buy Nifty 5400PE above 36 for targets of 47, 67 SL - 33

India VIX : 16.30 up by 0.57 points
Call OI : 33905950
Put OI : 60112150
PCR OI : 1.773
SMR : 9.19 (Bullish: Huge Bullish addition at 5200-5600PE Levels, and looking at the addition, 5500 is just round the corner...)

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.