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vinay28
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Post: #286  Posted: Sun Sep 08, 2013 7:18 pm Post subject: |
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| SwingTrader wrote: | Latest update (as of 06.09.2013)
Some movement seen at last on the sentiment side. Intermediate term breadth at 3 months high but long term is not budging yet.
5760-5790 would be the crucial area for this current move up. The broader trend is firmly still down though. |
option sentiment has sharply reacted down to 0.05 from midway. Further rise likely? |
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SwingTrader
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| Post: #287 Posted: Sun Sep 08, 2013 8:39 pm Post subject: |
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| vimalmehta wrote: | | thanks ST . . wonder if you could keep us updated a couple of times this week considering the crucial inflection point we are at . . thanks |
Sure...will do.
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Srikanth Kurdukar
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| Post: #288 Posted: Sun Sep 08, 2013 8:50 pm Post subject: |
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| vinay28 wrote: |
option sentiment has sharply reacted down to 0.05 from midway. Further rise likely? |
I think it can. Option sentiment can just remain around current levels for a while (indicating continuing bullishness). As I have mentioned earlier, options sentiment according to me does not have significant predictive value. It does indicate the current options OI position clearly and at the moment it is bullish. From here, the short term trend could remain bullish until we see a downside break in price.
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Srikanth Kurdukar
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SwingTrader
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| Post: #289 Posted: Sun Sep 08, 2013 10:55 pm Post subject: |
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Attached chart shows NIFTY vs NSE OTM Put/Call OI Ratio. Note that only OTM (out-of-the-money options are considered for this stat).
The idea is to spot relatively quick shifts in OTM Put/Call open interests. This usually indicates a shift in the balance of options OI which could indicate change of trend. Do note that this is more of a judgement call. I was able to mark the shifts (green for bullish and orange for bearish) easily due to hindsight.
Recently the put/call OI ratio of OTM options quickly moved down from a relative high of 0.2375 to a low of 0.06 (from 27th Aug to 2nd Sep). This indicates a bullish posture based on what I have seen earlier with such shifts. We could thus see a move up in the short-term until we see a OI shift up again indicating a bearish posture. Let us see...
As always, price action must always override everything. All fancy analysis like the above is secondary.
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Srikanth Kurdukar
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vinay28
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| Post: #290 Posted: Mon Sep 09, 2013 5:28 pm Post subject: |
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| SwingTrader wrote: | Attached chart shows NIFTY vs NSE OTM Put/Call OI Ratio. Note that only OTM (out-of-the-money options are considered for this stat).
The idea is to spot relatively quick shifts in OTM Put/Call open interests. This usually indicates a shift in the balance of options OI which could indicate change of trend. Do note that this is more of a judgement call. I was able to mark the shifts (green for bullish and orange for bearish) easily due to hindsight.
Recently the put/call OI ratio of OTM options quickly moved down from a relative high of 0.2375 to a low of 0.06 (from 27th Aug to 2nd Sep). This indicates a bullish posture based on what I have seen earlier with such shifts. We could thus see a move up in the short-term until we see a OI shift up again indicating a bearish posture. Let us see...
As always, price action must always override everything. All fancy analysis like the above is secondary. |
ST, the extremes of OI ratio look interesting to me e.g. one can start buying after it goes above 0.17 and start selling after it goes below 0.07. Another thing I notice is that, generally, the extremes are advance indicators by one to two weeks.
If you remember, I have been trying to see whether a relationship exists among nifty, vix and pcr for months. I tried various combinations of pcr and vix but in vain. But in your study above, it now seems that OI ratio of OTMs may just be the clue rather than OI in all options. AND this may make sense since OTMs are almost always written while ITM and ATM are often used for hedging by buying and may distort the "pcr or OI" picture.
Can you please post just the NSE OTM OI ratio regularly so that we can track its relationship with nifty, if any? |
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SwingTrader
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| Post: #291 Posted: Mon Sep 09, 2013 8:29 pm Post subject: |
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| vinay28 wrote: |
ST, the extremes of OI ratio look interesting to me e.g. one can start buying after it goes above 0.17 and start selling after it goes below 0.07. Another thing I notice is that, generally, the extremes are advance indicators by one to two weeks.
If you remember, I have been trying to see whether a relationship exists among nifty, vix and pcr for months. I tried various combinations of pcr and vix but in vain. But in your study above, it now seems that OI ratio of OTMs may just be the clue rather than OI in all options. AND this may make sense since OTMs are almost always written while ITM and ATM are often used for hedging by buying and may distort the "pcr or OI" picture.
Can you please post just the NSE OTM OI ratio regularly so that we can track its relationship with nifty, if any? |
Sure, will post this chart regularly. Let us see how it goes from here.
Yes, the idea of using OTM OIs was to capture sudden shifts in OIs of written options (as you said OTM options get written the most).
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| Post: #292 Posted: Tue Sep 10, 2013 10:04 am Post subject: |
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Another way to look at the same data (OTM PCR). This chart just shows % rank of the PCR value with respect to its history. This chart probably shows the extremes a bit better. I will post both charts so we know which one shows a clearer picture.
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Srikanth Kurdukar
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vinay28
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| Post: #293 Posted: Tue Sep 10, 2013 10:13 am Post subject: |
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| SwingTrader wrote: | | Another way to look at the same data (OTM PCR). This chart just shows % rank of the PCR value with respect to its history. This chart probably shows the extremes a bit better. I will post both charts so we know which one shows a clearer picture. |
oh ya but "w.r.t. to its history"? |
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SwingTrader
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| Post: #294 Posted: Tue Sep 10, 2013 10:20 am Post subject: |
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| vinay28 wrote: |
oh ya but "w.r.t. to its history"? |
Yes. Here is how I am doing this. The OTM PCR is moving between the range 0.25 and 0.04 (since 2011). If the current value of PCR comes to 0.20 then the rank will be around 95% (95% of the 0.04-0.25 range). Basically I am using the "percentrank" function of excel to compute this. I think this will slow extreme levels better (I am using the same for market breadth extreme computations).
Anyway, let us see how it goes in the coming days/weeks and decide.
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vinay28
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| Post: #295 Posted: Tue Sep 10, 2013 10:25 am Post subject: |
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| ok thanks ST |
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SwingTrader
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| Post: #296 Posted: Tue Sep 10, 2013 7:23 pm Post subject: |
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10th Sep 2013 Update - NSE OTM PCR Rank
Short-term uptrend going fine as of now. I will look for PCR (red line) to shoot up followed by a price breakdown for start of down move. Until then...enjoy the uptrend while it lasts.
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Srikanth Kurdukar
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vinay28
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| Post: #297 Posted: Tue Sep 10, 2013 7:27 pm Post subject: |
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| SwingTrader wrote: | 10th Sep 2013 Update - NSE OTM PCR Rank
Short-term uptrend going fine as of now. I will look for PCR (red line) to shoot up followed by a price breakdown for start of down move. Until then...enjoy the uptrend while it lasts. |
yes ST, it has reached the lower extreme. It's just a matter of time, depending upon how fast the rank shoots up. I think if we follow this for some time, we may also be able to find out when nifty turns from flat to trending, apart from the direction and whether rate of change is an indicator for range of movement i.e. large/medium/small. One thing at a time, I guess.
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amitkbaid1008
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| Post: #298 Posted: Tue Sep 10, 2013 9:05 pm Post subject: |
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@ ST Sir,
Is the chart updated after today's spike? |
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SwingTrader
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| Post: #299 Posted: Wed Sep 11, 2013 9:21 am Post subject: |
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| amitkbaid1008 wrote: | @ ST Sir,
Is the chart updated after today's spike? |
Yes, I posted the chart with latest update.
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Srikanth Kurdukar
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SwingTrader
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| Post: #300 Posted: Thu Sep 12, 2013 8:34 am Post subject: |
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I will post the next update Friday morning as I am out on some personal work. Hoping things hold steady until then 
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Srikanth Kurdukar
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