Quantitative Analysis of Nifty

[linkon7]

FII DERIVATIVES STATISTICS FOR index futures						
DATE		BUY				SELL				OPEN INTEREST AT EOD	
		contracts	Amt in Cr	contracts	Amt in Cr	contracts	Amt in Cr

28 apr'2011	162873		4741.07		156202		4549.62		504841		14668.12

27 apr'2011	218846		6430.41		232015		6815.26		725214		21218.67

26 apr'2011	335864		9819.22		345267		10083.44	635737		18752.81

25 apr'2011	117544		3474.75		116452		3442.05		581186		17124.87

21 apr'2011	68188		2016.16		61357		1811.80		565004		16687.25

This is a data i collected from NSE's website...

Somehow the data series simply doesnt add up....

like on 25th, before start of day they carried 565,004 contracts valued at 16,687 cr. Intraday they bot 117,544 contracts and sold 116,452 contracts, means a net buy of 1,092 contracts but their open interest shows a jump of 16182 (581186 - 565004) contracts....

the figures never add up in any of the days... any explanation why...?

 

[DanPickUp]

Hi Linkon

Arbitrageurs or hedgers which are not shown, as they take one position here and at the same time an other position there. You may ask your broker or some one which works on the exchange, how this is handled at the exchange in India.

Tc

DanPickUp

 

[linkon7]

Hi Linkon

Arbitrageurs or hedgers which are not shown, as they take one position here and at the same time an other position there. You may ask your broker or some one which works on the exchange, how this is handled at the exchange in India.

Tc

DanPickUp

its not that their data is wrong... its just that i dont know how the data is interpreted... If NSE is publishing this report on daily basis...then there has to be a way to read into this data....

since quantnifty makes his decision based on such data... i am hoping he would throw some light on this...

 

[QuantNifty]

Hi Linkon7,

I guess Dan has hit the bulls eye with certain addition. See the buy or sell prices are not net figures so it would be difficult to calculate the way we are calculating.
Best way to get a feeling is to track the eod net data increase or decrease


Cheers,

QN

 

[QuantNifty]

Market Snapshot as on April 29, 2011

Nifty clocked intraday volatility of 1.72%, which is lower than the long term average. Immediate support level lies at 5702 and resistance level lies at 5801 respectively. FII's bought INR 3023.81 and sold INR 3713.7 crores, whereas DII's bought INR 1230.42 and sold INR 1291.48 crores in the cash market respectively. Indian rupee strengthen by INR -0.08 vis-a-vis USD.
Nifty Put Call Ratio is at 1.394

Call for May 02, 2011

Initiating a Short Trade with SL 5804

Optimal Short Level from 5770 till 5747 & Optimal Square Off Level 5718

 

[QuantNifty]

Target Achived

Profit Rs 2600

Don't take any further position now.

 

[pundit]

Post deleted.....................................................

 

[QuantNifty]

Market Snapshot as on May 02, 2011

Nifty clocked intraday volatility of 1.54%, which is lower than the long term average. Immediate support level lies at 5668 and resistance level lies at 5755 respectively. FII's bought INR 1865.78 and sold INR 2126.81 crores, whereas DII's bought INR 901.12 and sold INR 1051.64 crores in the cash market respectively. Indian rupee weakened by INR 0.05 vis-a-vis USD.
Nifty Put Call Ratio is at 1.202

Call for May 03, 2011

Initiating a Short Trade with SL 5755

Optimal Short Level from 5721 till 5698 & Optimal Square Off Level 5670

 

[QuantNifty]

Traget Achived
28 points Gain INR 2400

Close out position

 

[QuantNifty]

Market Snapshot as on May 02, 2011

Nifty clocked intraday volatility of 2.81%, which is higher than the long term average. Immediate support level lies at 5510 and resistance level lies at 5666 respectively. FII's bought INR 2624.11 and sold INR 3802.77 crores, whereas DII's bought INR 1812.46 and sold INR 1205.63 crores in the cash market respectively. Indian rupee weakened by INR 0.18 vis-a-vis USD.
Nifty Put Call Ratio is at 1.045

Call for May 04, 2011
Initiating a Short Trade with SL 5630
Optimal Short Level from 5585 till 5562 & Optimal Square Off Level 5535
for further details visit niftyquant <dot> blogspot <dot> com