Monday, November 26, 2012

Option Open Interest for 26-11-2012

Inference
Nifty opened up on the back of good global cues, but seems like the gap-ups are used to sell, and Nifty saw the lows of the day around 5620 within the first 2 hours of trade. Buying was seen around the lows, and it turned out to be a flat day with the index closing at 5635.90 a small gain of 9.30 points. The broader market was positive with 870 advances to 621 declines. The OI Table saw huge huge unwinding in most of the CE levels.
  • Call option 5600 and below covered huge amount of OI with huge profit booking seen at 5800 and above strike prices.
  • Put Option 5800-5600 added 15.52 lacs huge amount of OI with profit booking seen at 5400 and below strike prices.
  • Highest accumulation on Call option 5700 at 86.8 lacs & 5800 at 82.0 lacs whereas Put option 5500 at 86.7 lacs & 5600 at 85.4 lacs.
  • Nifty Open Interest is at 1,15,03,050 down by 12,57,800, whereas Dec Series saw addition of 18.27 lacs with small increase in price, most probably 100% rollover with some long build-up.
  • Bank Nifty Open Interest is at 10,31,800 down by 59,600, whereas Dec Series saw addition of 0.33 lacs with decrease in price, most probably 55% rollover with some long liquidation.
  • FII’s bought huge 2.95 lacs of Futures, most probably long build-up, as their net OI also increased by 8.46 lacs and their average price per contract comes to around 5033.
  • FII’s future open contract as on date is 372023.
  • PCR Open Interest (Volume) increased to 1.10 due to huge liquidation at all CE levels.
  • Support at 5600 got stronger with huge addition of 12.4 lacs OI for the day, and below that at 5500 with highest OI of 86.7 lacs.
  • Resistance still very much at 5700, with highest OI of 86.8 lacs, and above that at 5800 with OI of 82.0 lacs.
  • Range as per Option Table is 5595 -5677 and as per VIX is 5593 - 5679 with 5630 as the Pivot.
Option Call for 27-11-2012

India VIX : 14.67 down by 0.01
Call OI : 38444750
Put OI : 42308050
PCR OI : 1.100
SMR : 13.33 (Neutral: Bulls got the better of the Bears with huge addition at 5600PE level and now looks like 5600 is secured for the time being, but 5700 also looks rock solid resistance, range bound moves could be the order of the day...)