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Nifty FNO Data |
apka
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Post: #1  Posted: Tue Feb 21, 2012 5:26 pm Post subject: Nifty FNO Data |
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Hello,
As per your request psalm, I will share my reading on Nifty FNO. Hope it is of use to you all.
As on 21.2.2012
Today in the morning hours we saw adding of shares upto 6 lakhs or so in 5600ce, later it sheded OI and EOD was -40k shares. Total OI in 5600ce stands at near 57.5 Lakh Shares.
5600pe added upto 14 lakh shares intraday and ended up with adding 12 lakh shares EOD. Its total OI stands at 60 lakh shares.
All in the money calls starting from 4200ce to 5600ce have sheded OI today. The closer the strike price, the more no. of shares it has sheded in OI except incase of 5600ce.
5500ce sheded close to 8.5 Lakh shares. Total OI stands at 35 lakh shares.
5800ce saw unwinding being 200 points away, longers have exited today sheded OI of 3.6 Lakh shares. OI standing at 23 Lakh Shares.
Overall 5700ce and 5600pe, 5500pe, 5700pe lost most premium in near strikes.
5600ce saw build up in premium after 2pm. Which is most likely due to short covering.
In futures, nifty added close to 25 lakh shares in OI. Normally, this kind of figure is seen when we see good amount of movement in nifty of 100 points. So, we can assume it is being bought to maintain the level of 5600 and up. This benefits PE writers. So, if market again sees upmove tomorrow or no selling pressure, you can assume game of expiry is in PE writers hand.
From this data i understand 2 things:
(1) Expiry chances of being @ 5580-5620 is 40%.
(2) Expiry chances of being @ 5680-5720 is 60%.
I'm not inclined to think that any other option is possible for expiry.
Last edited by apka on Tue Feb 21, 2012 5:40 pm; edited 1 time in total |
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apka
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| Post: #2 Posted: Tue Feb 21, 2012 5:39 pm Post subject: |
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Sorry for misunderstanding... please consider this post instead of aboveprevious, my data had not updated:
As on 21.2.2012
Today in the morning hours we saw adding of shares upto 6 lakhs or so in 5600ce, later it sheded OI and EOD was -6.5k shares. Total OI in 5600ce stands at near 50 Lakh Shares.
5600pe added upto 14 lakh shares intraday and ended up with adding 8.5 lakh shares EOD. Its total OI stands at 56.5 lakh shares.
All in the money calls starting from 4200ce to 5600ce have sheded OI today. The closer the strike price, the more no. of shares it has sheded in OI except incase of 5600ce.
5500ce sheded close to 10 Lakh shares. Total OI stands at 33.7 lakh shares.
5700ce which had about 7 lakh shares added to OI near 3pm, has sheded shares and ended up adding only 1.5 lakh shares EOD.
5800ce saw unwinding being 200 points away, longers have exited today sheded OI of 3.4 Lakh shares. OI standing at 22.5 Lakh Shares.
Overall 5700ce and 5600pe, 5500pe, 5700pe lost most premium in near strikes.
5600ce saw build up in premium after 2pm. Which is most likely due to short covering.
In futures, nifty shedded close to 58 lakh shares in OI which is a HUGE amount for 1 day. Normally, this kind of figure is seen when we see good amount of movement in nifty of 100+ points.
Despite VIX being as high as 27, we remained green throughout the day and also managed to close above 5600 level.
From above collectively we can see PE writers are gaining. So, if market again sees upmove tomorrow or no selling pressure, you can assume game of expiry is in PE writers hand.
From this data i understand 2 things:
(1) Expiry chances of being @ 5620-5640 is 40%.
(2) Expiry chances of being @ 5680-5720 is 60%.
I'm not inclined to think that any other option is possible for expiry. |
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psalm
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| Post: #3 Posted: Tue Feb 21, 2012 6:29 pm Post subject: Thanks |
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| apka wrote: | Sorry for misunderstanding... please consider this post instead of aboveprevious, my data had not updated:
As on 21.2.2012
Today in the morning hours we saw adding of shares upto 6 lakhs or so in 5600ce, later it sheded OI and EOD was -6.5k shares. Total OI in 5600ce stands at near 50 Lakh Shares.
5600pe added upto 14 lakh shares intraday and ended up with adding 8.5 lakh shares EOD. Its total OI stands at 56.5 lakh shares.
All in the money calls starting from 4200ce to 5600ce have sheded OI today. The closer the strike price, the more no. of shares it has sheded in OI except incase of 5600ce.
5500ce sheded close to 10 Lakh shares. Total OI stands at 33.7 lakh shares.
5700ce which had about 7 lakh shares added to OI near 3pm, has sheded shares and ended up adding only 1.5 lakh shares EOD.
5800ce saw unwinding being 200 points away, longers have exited today sheded OI of 3.4 Lakh shares. OI standing at 22.5 Lakh Shares.
Overall 5700ce and 5600pe, 5500pe, 5700pe lost most premium in near strikes.
5600ce saw build up in premium after 2pm. Which is most likely due to short covering.
In futures, nifty shedded close to 58 lakh shares in OI which is a HUGE amount for 1 day. Normally, this kind of figure is seen when we see good amount of movement in nifty of 100+ points.
Despite VIX being as high as 27, we remained green throughout the day and also managed to close above 5600 level.
From above collectively we can see PE writers are gaining. So, if market again sees upmove tomorrow or no selling pressure, you can assume game of expiry is in PE writers hand.
From this data i understand 2 things:
(1) Expiry chances of being @ 5620-5640 is 40%.
(2) Expiry chances of being @ 5680-5720 is 60%.
I'm not inclined to think that any other option is possible for expiry. |
Hi Apka,
Thank you so much for this thread. Your post is not pure Option Data, I must confess that. You have provided inferences of the data as well. I'm sure that this thread will give another dimension to the traders. I really appreciate the time you have spend for this post and also for the inferences and information provided.
Thanking you again,
SAM
Last edited by psalm on Tue Feb 21, 2012 6:30 pm; edited 1 time in total |
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vinay28
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| Post: #4 Posted: Tue Feb 21, 2012 8:28 pm Post subject: |
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| good work apka. any new angle is welcome |
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KatrinaaDP
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| Post: #5 Posted: Tue Feb 21, 2012 9:31 pm Post subject: |
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| thanks sir |
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Ajay Babu Tummala
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| Post: #6 Posted: Tue Feb 21, 2012 9:32 pm Post subject: |
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| solid work apka. |
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apka
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| Post: #7 Posted: Wed Feb 22, 2012 12:00 pm Post subject: |
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As on 22.2.2012 - 12 noon
Right now 5600ce has added OI of close to 18 Lakh Shares with an ATP of 35. Total OI stands close to 70 lakh shares.
5600pe has added 6 lakh shares with an ATP of 25.
Either side today we will see short covering.
If 5570 spot holds we will see upside. If breaks then fall upto 5540 spot. |
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psalm
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| Post: #8 Posted: Wed Feb 22, 2012 12:07 pm Post subject: |
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| apka wrote: | As on 22.2.2012 - 12 noon
Right now 5600ce has added OI of close to 18 Lakh Shares with an ATP of 35. Total OI stands close to 70 lakh shares.
5600pe has added 6 lakh shares with an ATP of 25.
Either side today we will see short covering.
If 5570 spot holds we will see upside. If breaks then fall upto 5540 spot. |
I agree with you...5570 levels looks important now....but one should expect anything now...as the expiry is around the corner.... |
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apka
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| Post: #9 Posted: Wed Feb 22, 2012 1:09 pm Post subject: |
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now macd is positive. once spot crosses 5605 level and trades above it for 2-3 mins 5640 will come next.
bulk writing has shifted to 5700ce. from 18 lakh shares 5600ce went to 20 lakh shares now down to 16 lakh shares added today. because there is no selling pressure, we should see short covering taking market up. this is my inclination. |
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apka
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| Post: #10 Posted: Wed Feb 22, 2012 1:37 pm Post subject: |
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| crossed 5605 for few seconds then retreated back. lets see what happens next. |
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psalm
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| Post: #11 Posted: Wed Feb 22, 2012 1:39 pm Post subject: |
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| apka wrote: | | crossed 5605 for few seconds then retreated back. lets see what happens next. |
it will be like this only...pretty volatile....Let's see how the last 2 hours will be.....  |
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apka
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| Post: #12 Posted: Wed Feb 22, 2012 1:42 pm Post subject: |
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| psalm wrote: | | apka wrote: | | crossed 5605 for few seconds then retreated back. lets see what happens next. |
it will be like this only...pretty volatile....Let's see how the last 2 hours will be..... |
yeh.. entered 5600ce @ 31. SL 27.70. Trgt 40+ |
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psalm
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| Post: #13 Posted: Wed Feb 22, 2012 1:56 pm Post subject: |
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| apka wrote: | | psalm wrote: | | apka wrote: | | crossed 5605 for few seconds then retreated back. lets see what happens next. |
it will be like this only...pretty volatile....Let's see how the last 2 hours will be..... |
yeh.. entered 5600ce @ 31. SL 27.70. Trgt 40+ |
I have a few 5600 calls....bought them when the market was around 5580 levels earlier... |
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apka
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| Post: #14 Posted: Wed Feb 22, 2012 2:27 pm Post subject: |
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| 5540 comes as soon as 5570 broke. should see a bounce here. |
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vinay28
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Posts: 11748
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| Post: #15 Posted: Wed Feb 22, 2012 2:31 pm Post subject: |
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| booked my 5600 puts. 18 to 80 what a ride |
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