Options/futures data for 29th Sep (EOD)

Summary:
1. Finally it looks like 6100CE writers have won the game. The addition of 33L puts we saw at 6100PE in first two days of this week was promptly reversed - 32L puts were unwound!
2. Action at 6000 was not any different. Massive call writing and put covering. The 6000PE which was getting covered for last 3 days and I kept on writing that "I don't like this put covering" - now we get the reason. Put writers were exactly wary of a fall happening just before the expiry.
3. So expiry looks to be closer to 6000 now. May be a 20-30 point range of 5970-6030 range depending on who has more muscle power whether 6000PE or 6000CE writers. My guess for 6030 on upside comes from the fact that yesterday 20L 60000CEs were added at average price of 34.




Nifty Futures:
SEP: 1.58Cr OI down 25% (54L shares cut)
OCT: 2.2Cr OI up 25% (45L shares added) -- OI still less than 3.8-4Cr in the middle of SEP series. We will know EOD what the final rollover number will be.


Banknifty Futures:
SEP: 11.6L OI down 20% (3L shares cut)
OCT: 12.9L OI up (4L shares added to OI) -- OI is still way less than the peak of 28-29L. We will know EOD.


Monthly Nifty Chart:

Options/futures data for 28th Sep (EOD)

Summary:
1. Options table is getting simpler. 6100 is the resistancewith 74L calls vs 53L puts. BUT, the most noticeable trend in last two days is relentless addition of 6100PEs. If it continues expiry closer to 6100 becomes a possibility.
2. Support at 6000 remains strong with 83L puts vs 52L calls. Looking at call covering at 6000, it does seem like expiry above 6000 is a very good possibility.
3. PCR has hit 1.98! The high PCR has almost capped the rise in this market until expiry.

Nifty Futures:
SEP: 2.1Cr OI down 16% (41L shares cut from OI)
OCT: 1.8Cr OI up 35% (47L shares added to OI) -- First time we have seen strong rollovers in Nifty.

Banknifty Futures:
SEP: 14L OI down 16% (2.8L shares cut from OI)
OCT: 8.7L OI up 34% (2.3L shares added to OI) -- Rollovers in Banknifty have picked up since last two days.

Options/futures data for 27th Sep (EOD)

Summary:
1. 6100 has finally proven to be the resistance as the call writers there seem to know what they are doing unlike call writers at the beginning of this month.
2. 6000 is still a decent support with 82L puts vs 53L calls. Although the intraday fall yesterday made a few put writers cover.
3. Quite a bit of calls were covered @5900 indicating that the expiry could be definitely higher than 5900. So the immediate range for Nifty is 6000-6100
4. PCR is at 1.94 and my yesterday's quote "with PCR so high, a serious rise from here is not possible pre-expiry" - is still valid.


Nifty futures:
SEP: 2.53 Cr OI down 18% (55L shares were cut) - The heaven sent gap up was used by longs to book profits.
OCT: 1.34Cr OI up 32% (32L added to OI) - 2/3rd were rolled over rest profit booked!


Banknifty Futures:
SEP: 17L OI down 6% (1.1L shares cut from OI)
OCT: 6.5L OI up 25% (1.3L shares added to OI) -- First time rollovers were decent. But still BN has had a lot of profit booking from its breakout point.

Options/futures data for 24st Sep (EOD)

Summary:
1. With market making strong move above 6000, the action at 6000CE/PE was similar to action at 5900 a few days back. 6000PEs added 20L to OI and hence 6000 now becomes the support. Lets see if this level holds for expiry.
2. Calls covered across the board from 5800-6000. Only at 6100 very few calls were written. May be the fear of a Monday gap up. As of now 6100 is the resistance with 62L calls vs 20L puts.
3. Put covered started at 5900 now. Its been the feature of this market. As soon as the market takes one stop higher, lower levels puts start covering right away.
4. PCR is now at 1.93! Even though we have had very high PCR for last few days, the market has given only intra corrections of 70-90 points. But with PCR so high, a serious rise from here is not possible pre-expiry.


Nifty Futures:
SEP: 3.1Cr - OI down 6% (19.5L shares cut)
OCT: 1Cr - OI up 26% (21L shares added) -- First time in several days we had good rollovers.


Banknifty Futures:
SEP: 18.6L OI down 12% (2.5L shares cut) -- Banknifty OI is down 50% now from peak. Some rolled over to SEP but still a good amount was profit booking. 
OCT: 5.9L OI up 32% (1.25L shares added)

Nifty MP charts - Sep24

Options/futures data for 23rd Sep (EOD)

Summary:

1. Last 3 seessions have touched 6000+ and in every session are calls written @6100 and Nifty prices rejected at 6045. This makes me believe that 6100CE writers are confident bunch of writers. So as of now 6100 is the resistance

2. Action of 6000 from last two days is suggesting that bears are trying to claim 6000 and have been successful to some extent - with almost 18L calls written in last 2 days. Today there were not much 6000PEs written - so bulls are not confident about claiming 6000 yet.

3. 5900 is right now the rock solid support with 95L @5900PE vs 42L @5900CE. The problem with so high PCR that if 5900PEs are forced to cover with a sharp drop - the market doesn't have great support from 5800PEs as they are on a covering spree.

4. I still don't like 5800PEs being covered.

5. PCR reduced from 1.92 to 1.87 - but still not out of the woods yet. The high PCR is already weighing on Nifty as its struggling to close above 6000 - although lower levels are being defended.

Nifty Futures:

SEP: 3.3Cr OI down 5% (17L Shares cut from OI)

OCT: 80L OI up 13% (9.5L shares added to OI) -- Almost of 50% OI cut was profit booking. We are seeing this for last 3 days. More profit booking from SEP and less rollover to OCT.

Banknifty Futures:

SEP: 21L OI down 5.6% (1.25L shares cut)

OCT: 3.9L OI up 8.6% (0.3L shares added) -- Again profit booking in SEP and less rollover

Summary:

1. 6100CE writing has slowed down but nonetheless quite a bit is written in last 3 days. So call writers seeing 6100 as a reasonable top for this market - for now!

2. Action at 6000 is yesterday was very interesting. Both bulls and bears are actively trying to claim it. 11L 6000CEs added and 10L 6000PEs added. If market stagnates around here - both could be right. I doubt though.

3. With 91L puts vs 39L calls - 5900 is an extremely strong support as of now

4. Suspicious action at 5800PEs continues. Only next week I can declare it as profit booking because ATR is so high that if market cracks - we can get to 5800 in 2 sessions. Is that why nobody wants to write 5800PEs?

5. PCR today? 1.92!!! - Then only time PCR went 2.0+ was in Jan 2008. Next two trading sessions will tell us whether PCR is an important metric or not.

Nifty Futures:

SEP: 3.46Cr OI down 6% (22L shares cut) -- last 2 days OI shed 12%. Take profits before they are gone!!

OCT: 70L OI up 12% (7.8L shares added) -- So only 1/3rd rolled over, rest all - profit booked!

Banknifty Futures:

SEP: 22L OI down 2% -- OI is now down 18% from its breakout point.

OCT: 3.6L OI up 27% -- Not all of the OI cut from OCT was rolled over. So longs not coming at these levels - yet.

Options/futures data for 21st Sep (EOD)

Summary:

1. Call writers showing some confidence from the intraday selloff and wrote decent amount of calls at 6100 & small amount of calls at 6000.

2. Bulls are relentlessly writing puts at each level - 20L added to 6000PE & 5900PE - As of now 5900 is the support for this market - If market reverses due to high PCR these adventurous put writers will be forced to cover.

3. What I don't like is put covering at 5800. In fact if bulls are so confident - why wouldn't they add another 20L to 5800PE? Its almost free money for bulls. If they think they can defend 5900 - then 5800 puts should be written, not covered.

4. PCR - the Nifty nemesis is at 1.86. With yesterday's 1.84 PCR we had a decent intraday sell off. I am still skeptical of 6000+ holding unless PCR cools off.

Nifty Futures:

SEP: 3.68Cr OI down 6% -- 6000 seems to a good psychological level - hence profit booking

OCT: 63L OI up 20%

Banknifty futures:

22.8L - OI down 6% -- Relentless profit booking. From last 1 week OI is down 16%. We saw similar pattern in August close to expiry when Banknifty touched 11100 levels and the following week Banknifty fell almost 500 points. If longs don't get added these levels - then I am very skeptical of this level sustaining.

Options/futures data for 20th Sep (EOD)

Summary:

1. "Snake and ladder" game going on between bulls and call writers. Bulls taking the ladder route and call writers have been getting the snakes - almost everyday.

2. On a serious note - the ferocity of bulls is such that on Friday I was looking at 10L 5900CEs added and was happily announcing - "OK someone is willing to write calls at 5900". Well the joy was short lived! All of the 10L 5900CEs were covered today. And if that was not enough some of the 6000CEs were covered too. Now call writers have climbed one step more - writing 14L calls at 6100. -- May GOD bless those bears.

3. All of the Put action was at 5900 with 25L puts added there - makes 5900 the immediate support. And with 81L puts vs 52L calls - makes 5800 next support

4. PCR has gone through the roof. Its now 1.84!!! - I dare say tomorrow we could reverse because this market seems to be making mockery of history, statistics and those who are not long!

Nifty Futures:

SEP: 3.91Cr - OI up 1%

OCT: 52L - OI up 16%

Banknifty Futures:

24L - OI down 1.5% -- Banknifty OI is down 10% from the point it breakout last week on Monday. If short covering doesn't give way to longs, it would be a cause for concern.

Options/futures data for 17th Sep (EOD)

Summary:

1. The call writing that started at 5900/6000 a couple of days back has continued! So atleast some call writers are convinced that they can manage to stop this market from rising further.

2. Puts are being written only at 5900/5800 but 5700PE/5600PEs are being covered for last 3-4 days. Those who wrote these options want to book profits because if market falls 100+ points they will lose profits

3. 5800 now seems to be decent support with 78L calls vs 57L puts.

4. PCR has gone up from 1.72 to 1.75 because marginally more puts were added at 5900/5800 compared to calls

Nifty Futures:

SEP: 3.88Cr OI down 1.4% - profit booking

OCT: 45L OI up 12%

Banknifty Futures:

24.7L - OI down 6.3% -- Banknifty has shed almost 10% OI in last week - which is pretty much what was added the Friday before the big Gap up. Now that shorts are covered we need to see if longs get added.

Nifty MP charts

S&P500 fake move above 1130 today screwed all world markets!

No explanations needed -- just pictures are enough!

And when was the last fake move? The day when Nifty hit 5350 -- ES futures went down below the sacrosanct level of 1040 (around 1:30 or something).

Is this leg of Nifty's run done and consolidation will begin next few weeks?

Options/futures data for 16th Sep (EOD)

Summary:

1. Yesterday's rise above 5900 didn't have any options support and hence we saw a very decent correction from the intraday top above 5913.

2. The story of the day was -- finally there is someone writing calls at 6000/5900!! Not much though but its a good start. And given the pain options writers at 5800-5500 went through a few days back, I hope these guys are smarter.

3. Not many willing to write puts at 5700/5600 and infact OI is being shed at those levels. Either its profit booking OR because this market is too volatile and you never know when it can fall 100+ points.

4. And PCR close to or above 1.8 ROCKS! It has never failed to predict a temporary top in last 3 occasions. So its a metric one can't ignore. by EOD PCR had cooled off to 1.72 because of call writing at 5900/6000 and and some lower level put covering.

Nifty Futures:

SEP: 3.93Cr OI up 1.5 -- From last few days there is either OI covering or very small OI addition. So primary reason for this run is short covering. If longs get added - the market will sustain and go up.

OCT: 40L OI up 11%

Banknifty Futures:

26.3L OI down 3% - The short covering is more evident in Banknifty.

Weekly MP chart:

5802 being the weekly VAL - bulls need to defend it.

Options/futures data for 15th Sep (EOD)

Quick Summary:

1. Options data has "TOO MUCH BULLISHNESS" written all over it. Will too much turn out to be too bad? Only time will tell

2.Call writers at 5500-5600-5700 are still covering and there's no respite. Only 5800CE writers are daring not to cover today. Lets see if they are proved right or crucified tomorrow.

3. Put writing just continues @5900/5800. But interesting there is reluctance to write puts at 5700 - because if there there a fast fall the 5700PEs will gain very fast.

4. The last but the most dangerous one -- PCR has hit 1.79 now! Typically Nifty tends to reverse direction - even if its a temporary reversal --when PCR hits 1.8+ So we are not too far from there. Two such instances of reversal on account of "OVERDOSE Of BULLISHNESS" were -- around June expiry (Intraday 5370+ and reversed) and a few days back around August expiry (Intraday 5540+ hit and reversed)

Nifty futures:

SEP: 3.87Cr OI up 3.6%

OCT: 36L OI up 6.6%

Banknifty Futures:

27L OI flat

Summary:

1. Last few days in options world, we have seen something that's never seen before! Two words to describe options action "messed up". And its a call writers' nightmare for sure. Calls being covered furiously across all strikes 5500-5800. Can't blame them because some of these call writers have lost their shirts in last few days.

2. Only at 5900 - some call writers are willing to write calls - but not much though. So this market has NO STRONG RESISTANCE from options point of view - except for the fact that 5700CEs vs 5700PEs is still high.

3. On the other hand put writers are not willing to come out and write a lot of puts at some strike. But at least they are writing some at 5700 & 5800.

4. PCR is almost about to enter the danger zone. Now at 1.73 - one more day of action like this and we might put a temporary top here. PCR will cool off if the beaten down call writers start writing somewhere.

Nifty Futures:

SEP: 3.7Cr OI down 3.7% -- Some shorts covered here

OCT: 33L OI up 6.8%

Banknifty Futures:

27L OI down 1.6% -- BN short covering continues

Composite profile of Nifty from 1st SEP:

Trading well above VWAP & just above the value area from 1st SEP. Buyers in full control of this market. May be some consolidation is expected at current levels.

Options/futures data for 13th Sep (EOD)

1. This breakout has been an call options writers' "nightmare" for sure. For those who had made it habit of writing calls as a "free money collection" method last few months - this month has been a pay out time with interest!

2. To say that options picture with yesterday's action is bullish is an understatement. There was huge call covering at 5600/5700 and put writing at 5700 & 5800. The picture at 5700 is still not completely in favor of bulls 91L calls vs 59L puts. May be another 30L calls covering is needed there for sustaining 5700+

3. 5600 is also still not an extremely strong support yet. It needs another 10L-15L 5600CEs to be covered and an equal amount of 5600PEs to be written.

4. So the options picture now leaves us with range broad of 5500-5800 with 5600-5800 the spotlight range.

5. With yesterday's brutal attack from bulls PCR has inched up 1.6! Bulls are pushing the limits but they still have some room left to go before we hit 1.8+

I have a special chart for those who consider NAKED CALL/PUT writing as free money collection method:

THIS CHART SAYS -- NEVER EVER DO NAKED CALL WRITING!!! Look what happned to greedy call writers who wrote 5700CEs in the range of 5-8 rupees. Yesterday they owed 7-10 times more more. One may collect free money for couple of months by writing these options but eventually it will blow a big hole in the pocket for sure. So always consider backspread/ratio spread strategies.

Nifty Futures:

SEP: 3.88Cr OI up 1.6% -- Breakout with not so significant OI addition. May be initial burst was short covering. Need to see if OI addition happens this week.

OCT: 31.5L OI up 11%

Banknifty Futures:

27.3L - OI up 1%

Nifty profile from 5400-5770:

This is the composite profile from the day Nifty started rising from 5400 levels. VWAP is 5562 - shows bulls are very much in control. My observation is that eventually VWAP will be visited but no point in taking anticipatory shorts.

Options/futures data for 9th Sep (EOD)

Summary:

1. The highlight of the week was blockbuster (70L) addition of OI at 5600PE and covering of 26L 5500CEs which makes 5500 the new base for this market.

2. 5700 is the current resistance now with 1.2Cr OI on 5700CE. But something interesting is that 28L of these options were written on last Monday in the price range of 10-18. After that OI has been flat. So call writers are in wait and watch mode.

3. The market now depends on one thing -- the 5600CE writers. Only 3.5L calls have been covered despite two strong visits to 5600+. If 25-30L calls are covered at 5600 then Nifty will sustain above 5600 and make a dash at 5700

4. PCR is now at 1.48 - so we have some room till PCR pushes to 1.8 before Nifty puts a temporary top

5700CE MP chart

Something I noticed from OI and 5700CE chart was that - there was 28L OI added on Monday (6th Sep) in the price range between 10-18. And from that day onwards there was not much OI addition. It seems to me that the buyers are defending that option as its stayed above VWAP whole of last week. Only on Friday we had some sell off but it still looks like buyers are in control. If 5700CE remains above 19 for the most part -- then those 28L, 5700CE writers will be under pressure all the time.

Nifty Futures:

SEP: 3.82Cr - OI up 3%

OCT: 28L - OI up 12%

Banknifty Futures:

27L - OI up 9.8% -- on last Wednesday's update I had mentioned that Banknifty OI reduction was a cause for concern. Well, looks like that concern is addressed now with almost 10% longs added on Friday's session. Need follow up from here.

Nifty MP weekly:

For any pullbacks weekly POC of 5587 (and also weekly VWAP) should provide first support and then it would be 5562 - Weekly VAL

Banknifty MP weekly:

Banknifty went from P-shape profile to a bullish price extension on Thursday. Bulls will look to defend 11233 Weekly VAH.

How come taking short trade seems more difficult than a going long?

I somehow find taking long trades is easier than short trades. May be because we are taught to do "good things" or "right things" .. short trade doesn't come naturally to us.

Samir Arora - one of the few I like to listen to has an interesting interview here - http://www.moneycontrol.com/news/market-edge/market-rallies-is-it-time-to-book-profits_483839.html

And the answer to the last question is what I liked the most:

Q: And you are sure that it’s not time to cut the shorts in telecom because Bharti has had a good run from Rs 260 to Rs 350?

A: That is basically, according to me, only ensuring my next years performance will also be good because I need some buffers for next year. It’s actually not Bharti per se, but the whole sector will become a bit of a joke with this sea of Etisalat coming into India and not appointing investment bankers, but only telling the press that he is interested in R COMM, no-no I am actually interested in Idea also, no-no I am interested in a third company. Where have we heard of a guy wanting to buy a company first announcing to the world that they are interested? I don’t know, maybe I have not tracked their stock, maybe they get a boost every time they say they are coming to India or even planning a visit. But it is unheard of for somebody to say upfront that you know I maybe interested in this company, so take it up 5% so that when I buy it, it becomes more expensive for me, stuff like that. So, I have, every day this kind of news coming in and we remain, it doesn’t matter, we are long short, we have to have something on the short side, so it doesn’t matter whether its telecom or commodity. It’s an intellectual business as much as actual returns and so we get intellectual satisfaction from some of the shorts. So, we will remain short.

May be if we approach the short trades as an "intellectual endeavor" it might take the burden of "doing good things" off the mind.

Options/futures data for 3rd Sep (EOD)

1. 5400PE stands out as something that's history defying. In my 12 months of tracking OI of puts/calls, I have never seen 1.14Cr OI on any put/call in the very first week of a series. The simple interpretation is 5400 put writers will defend this market. The only negative I attach to this is if put writers have done put back spread trade where they sell 5400PE & buy lower level PEs. In that case its dangerous because these put writers will cover the puts very fast if there is a very fast fall.
2. Calls at 5500/5600 are still getting added with 5500 being the resistance now. But we wont stay in the 5400-5500 range for sure. Something has to give way next week.

3. What's bullish is 5500PEs are also being added - almost 30% increase in OI this week. So upside can easily come if more 5500PEs are added and 5500CEs covered.

4. Lower levels puts addition has slowed down towards the end of this week which is reflected in the PCR reduction from 1.48 last week to 1.38 now. But still this is the first time I have seen 80-90L OI on lower level puts in the very first week of a series.

Nifty Futures:

3.4Cr OI up 2.6%

Banknifty Futures:

25L OI up 2.3%

To end this analysis -- I see a dire warning in this market for sure. This is an options dominated market with futures at one of the highest OI ever. If for whatever reason this market breaks that sacrosanct 5350 level - the fall will just accelerate because the put writers who now seem like heroes will be forced to cover and the buyers sure will not give them time to cover - as gap downs could just be too big.

And another warning if you are considering naked put writing as way to make easy money because the market has not fallen in last couple of months - remember law of averages will eventually catch up as it did in almost equal intervals "July 2009-Oct 2009-Jan 2010-May2010 -....? 2010"