Nifty Open Interest Analysis

[bajica]

Newspaper are screaming Mandi.... Options Table is showing Teji !!

How do you deduce that from the options table? Is it because of more Puts traded than Calls?

 

[rajak1981]

Does anyone have a clean options database in amibroker/ms format?
I never got around to testing out OI theories in options because creating the database itself seems like daunting task.

 

[rajak1981]

A link to options max pain theory and a couple of good explanations.

http://optionalpha.com/understanding-the-max-pain-theory-near-options-expiration-13914.html
http://www.marketcalls.in/futures-and-options/option-pain-charts-for-nifty.html

My hunch is that the theory works well in range bound markets.
2010 or so onwards
2006-2009
Option buyers made a ton of money because of strong trends in the markets.

However, it would be interesting to test, when to go with max pain theory and when to avoid relying on max pain
Ex. don't write options when ADX is trending up, or maybe write options when ADX /implied volatility spread vs actual volatility is too high (going by some kind of OB/OS indicator on volatility/implied volatility)

The only way to test this rigorously is to get all the data in one place.
So what I am looking for is something like getbhavcopy for NSE options
http://www.getbhavcopy.com/
Suggestions would be appreciated.

 

[rajak1981]

Found a good downloader
http://shubhalabha.in/downloads/

 

[rajak1981]

I've been away from traderji for a while
Lots of cool info/posts hidden in weird places
http://www.traderji.com/data-feeds/78539-shubha-downloader-beta-launched.html

Maybe a wiki structure would be cool for Indian traders so that knowledge gets organized/linked.

 

[rajak1981]

Only 55 downloads for shubha downloader, from this link??
http://sourceforge.net/projects/shubhalabhadown/?source=dlp

 

[bapu4]

OI analysis for Monday Oct 08, 12
Continuing yesterdays trend, Call writers had a field day. Yesterday we saw a 26% change in OI in 5800 and today we followed by another 21% in 5700. So huge premiums were eaten away.
Unwinding of Puts indicating a downward momentum is beginning to unravel with 13% and 8% getting unwinded in 5800 and 5700 PE respectively
Tomorrow's outlook "Downside to continue"

From where can we get the FII's derivatives statistics that is provided in the above excel sheet ??

 

[hauler]

From where can we get the FII's derivatives statistics that is provided in the above excel sheet ??

Dear Bapu,
Hope this helps.
http://www.sebi.gov.in/sebiweb/investment/FIILatestSE.jsp?period=day

Daily Trends in FII Derivative Trades on 18-JUL-2013

Reporting Date Derivative Products Buy Sell Open Interest at the
end of the date
No. of Contracts Amount in Crore No. of Contracts Amount in crore No. of Contracts Amount in Crore
18-JUL-2013 Index Futures 91922 2715.03 85144 2495 479341 14179.37
Index Options 459024 13491.48 452803 13303.81 1798024 53572.54
Stock Futures 81702 2352.68 79829 2258.95 1010191 28600.48
Stock Options 53369 1501.33 48957 1386.88 108844 3191.38

 

[boarders]

http://www.nseindia.com/live_market...-&segmentLink=17&symbolCount=2&segmentLink=17

above is the link

 

[jagankris]

Dear Bapu,
Hope this helps.
http://www.sebi.gov.in/sebiweb/investment/FIILatestSE.jsp?period=day

Daily Trends in FII Derivative Trades on 18-JUL-2013

Reporting Date Derivative Products Buy Sell Open Interest at the
end of the date
No. of Contracts Amount in Crore No. of Contracts Amount in crore No. of Contracts Amount in Crore
18-JUL-2013 Index Futures 91922 2715.03 85144 2495 479341 14179.37
Index Options 459024 13491.48 452803 13303.81 1798024 53572.54
Stock Futures 81702 2352.68 79829 2258.95 1010191 28600.48
Stock Options 53369 1501.33 48957 1386.88 108844 3191.38

In Sebi data - if it is mentioned 18 th it should be considered for the previous trading day ie 17th.