Nifty Open Interest Analysis

[prabhsingh]

Well it means that mkt participants expect 6000 to be top, all this is posturing before Rbi rate cut

I think sooner or post RBI policy whenever 5700 and 5800 start getting covered that might provide a dent to the markets hence at this point safest bet seems to be write 6000 or 6100 calls.Thoughts welcome.

 

[jamit_05]

Now we get to see it live... as bulls weaken 5900 PE will lose OI ; It is clearly a sellers market. Writers are eager to sell and eager to buy, probably because they work on smaller margins per lot. If they find themselves coming even close to losing they will liquidate and move one level OTM. Tks OT.

 

[Option.Trader]

Hi option.trader
"5900 PE liquidated 2.72 L shares indicating Bulls ran for cover when markets slipped below 5900 intraday"
From the data attached there seems to be addition of around 2 lakh shares in 5900 PE

Sometimes the math on nse website doesn't add up. See my previous 2 posts, from 79l to 77l indicated liquidation of puts continuing even today

 

[jamit_05]

A noteworthy event:

Although NF fell quite a bit today, but 5900 PE OI is still about same !! Bulls are holding. Fall may be reversed... if it happens then with strength.

 

[trdstudent]

A noteworthy event:

Although NF fell quite a bit today, but 5900 PE OI is still about same !! Bulls are holding. Fall may be reversed... if it happens then with strength.

@jamit , v close 5900PE around 66L and 6000CE at 74L . But this 74L was 77+L when 66L was around some 72L . 6100 CE also comes down from some 61L to 60L and 5800 PE chnges from some 102L to 97L in last few mnts.
Actually in last 15/20 mnts these prmtrs chnges very fast ,especially the 5800PE which was holding around 102L almost whole day !!

 

[Option.Trader]

Date: 12.3.2013

Today everyone on the tv seems to be discussing about the ~4000 odd crores of options being bought by FII that we discussed yesterday. We saw the effect today.
FII's looked to have booked profits in the shorts... no real conviction that it can go below 5800 from options data

if you are an option writer you could look to pocket 52 points by selling 6000CE and 5700PE at current prices... nifty seems to be locked in 5800-6000 levels until RBI policy

 

[Option.Trader]

Thought for the day

Need to think of some way of capitalizing the lessons learnt... no use of just preaching about as we dont get money for preaching unlike some of the subscription services :lol:

Let us use our collective best in thinking out strategies based on options data... if we are not able to come up with a list by expiry.. lets ditch this effort

My thoughts based on few indicators
1) India VIX is rising from the last 4 days(upto 22%). As volatility is increasing there is a chance of a big move, ideal for playing a long straddle
http://www.optionseducation.org/strategies_advanced_concepts/strategies/long_straddle.html
2) Or play a strangle if credit outgo needs to be minimum
3) Another out of way : Short a higher OI call and put... i.e short 5700PE and short 6000CE. With 1.3 cr OI built up in 5700 and 74L in 6000.. u could look to profit if it remains within this range... but caution, Profits are limited , losses are unlimited.. this is based on the max OI built up on both the sides

Any other ideas are welcome...only requirement, needs to be logical and simple to follow...

 

[doctorshah]

Dear OT
The increase in VIX is for RBI policy. Once it is out the premiums may crash and wont be much profit in straddle or stangle Also please refer to columbas post which clearly indicate time decay will be severe

 

[Christopher583]

Well as we said yesterday, the OI was leaning towards downside. Even though we had a gap up, we couldn't sustain it and closed at a Doji

 

[jamit_05]

Thought for the day

Need to think of some way of capitalizing the lessons learnt... no use of just preaching about as we dont get money for preaching unlike some of the subscription services :lol:

Let us use our collective best in thinking out strategies based on options data... if we are not able to come up with a list by expiry.. lets ditch this effort

True. It should materialize into $$$.

Going long Straddle or strangle is more advised, since we expect the price to move strongly in a direction. To get even more mileage, get rid of the losing side once the direction is clear. This may give a whipsaw, but overall profit will multiply.

Going short in straddle or strangle is not advised before the policy. This is only if you expect market to be range-bound. However, after the policy when the move is made, go for this short. After a good move, sideways is very likely to settle in.