Saturday, December 22, 2012

Option Open Interest for 21-12-2012

Inference
Nifty opened gap-down below 5900 and saw huge sell-off with the buyers nowhere to be seen. The index touched the low of 5840 and closed at 5847.70, a loss of huge 68.70 points, the biggest one day sell in recent times. On a week on week basis the index declined by 31.90 points or about 0.54% points. The broader market was also very weak, with 357 advances to 1167 declines. The OI Table saw huge addition at 5900CE level, which now will act as resistance to any up-move for the time being.
  • Call option 5800-6000 added 30.47 lacs huge amount of OI with huge profit booking seen at 6100 and above strike prices.
  • Put Option 5700 added 5.86 lacs huge amount of OI with huge short covering seen at 5800 and above strike prices.
  • Highest accumulation on Call option 6000 at 1.25 crore & 5900 at 81.6 lacs whereas Put option 5800 at 88.3 lacs & 5700 at 77.2 lacs.
  • Nifty Open Interest is at 1,55,86,000 down by 40,55,700, with addition of 43.15 lacs in Jan series mostly rollover with some short build-up in next series.
  • Bank Nifty Open Interest is at 10,24,825 down by huge 87,600, with addition of 43,250 in Jan series mostly rollover with huge long liquidation.
  • FII’s sold 2.36 lacs of Futures, most probably short build-up as their OI also increased by 20990 contracts, and the average price per contract comes to around 5803.
  • FII’s future open contract as on date is 457316.
  • PCR Open Interest (Volume) crashed down to 1.172 due to huge liquidation at 5900-6000PE levels.
  • The best support is still at 5800PE with OI above 88.3 lacs and below that at 5700 with OI of 77.2 lacs.
  • Initial resistance is now at 5900CE, with OI above 81.6 lacs, and above that at 6000 with highest OI of 1.25 crore.
  • Range as per Option Table is 5813 -5900 and as per VIX is 5803 - 5892 with 5880 as the Pivot.
Option Call for 24-12-2012
Buy Nifty 5900CE above 82 for targets of 97, 120 SL - 78
Buy Nifty 5900PE above 64 for targets of 76, 89 SL - 56

India VIX : 14.63 up by 0.31
Call OI : 44323450
Put OI : 51934950
PCR OI : 1.172
SMR : 12.49 (Bearish to Neutral: The scales were tilted in favour of the Bears, with huge addition at 5900CE and liquidation at 5900PE. Its up to the Bulls to come back in the next 2 days or we may have an Expiry below 5900 for sure...)