Tracking PUT CALL Open Interest

[MurAtt]

Not a pronlem at all AW10 -- u r experienced and much knowledgeable and we are still humble learners ....

 

[hiteshsjoshi]

Thanks AW10. Here is one for EOD today.

%chn	5/11_CE	6/11_CE	Strike	6/11_PE	5/11_PE	%chn	pcr_6/11	pcr_5/11

			Nov 2009					
-2%	280450	274250	4000	1133200	1013200	12%	4.13	3.61
1%	24650	24850	4100	802350	707850	13%	32.29	28.72
11%	26700	29650	4200	1134500	1003500	13%	38.26	37.58
4%	31050	32400	4300	1952800	1752100	11%	60.27	56.43
-4%	101400	97500	4400	3954600	3412750	16%	[COLOR="red"]40.56	33.66[/COLOR]
[COLOR="red"]-26%[/COLOR]	675150	500250	4500	4651400	3960850	17%	9.30	5.87
[COLOR="red"]-42%[/COLOR]	2544700	1473550	4600	5932950	4148900	[COLOR="red"]43%[/COLOR]	[COLOR="Red"]4.03	1.63[/COLOR]
[COLOR="red"]-40%[/COLOR]	5313500	3161850	4700	4820250	2606100	[COLOR="red"]85%[/COLOR]	1.52	0.49
6%	3818750	4061300	4800	3197950	2267400	[COLOR="red"]41%[/COLOR]	0.79	0.59
8%	3871300	4173200	4900	1324400	1090300	[COLOR="red"]21%[/COLOR]	0.32	0.28
-7%	3720500	3463350	5000	1331800	1514950	-12%	0.38	0.41
4%	1869300	1943100	5100	351000	353200	-1%	0.18	0.19
-6%	2136900	2002100	5200	161200	163650	-1%	0.08	0.08
-5%	1271400	1207500	5300	52000	48850	6%	0.04	0.04
2%	928600	949750	5400	31750	27350	16%	0.03	0.03
3%	775900	799900	5500	105600	104650	1%	0.13	0.13
-4%	483450	461700	5600	49600	51500	-4%	0.11	0.11

PS: The data that is shown is 5/11 @ 12:30 and 6/11 EOD (as I did not have 05/11 EOD)

 

[AW10]

Thanks Hitesh for update post.

Just want to highlight interesting stuff at 4600 strike..
Calls OI reduced by 46%..
OI is reduced when current buyers windup their position, and no new buying happens..hence no new option writing takes place at that level.

So at 4600 Call, Somebody who bought the call, has sold it. Selling bullish position when markets current trend is up (just see the last 60min trendline).
Try to visualise who are these people selling their winning positions. Are they Pro or Novice.

And 4600 Put OI has gone up.. i.e More people are buying 4600 Put and hence new puts are being written. On a up-day, who will be the people taking bearish position i.e. buying put.. and who will be seller to them.

Now add the PCR picture to it.. which is indicating base formation here.

Just my observation.. and trying to read between the numbers here and trying to read the hidden message.. Whether I am right or wrong, only time will tell. I am happy to be wrong once again.

SM Bhai jan / other readers - plz share your views as well.

Happy Trading

 

[vaibhavjain]

Thanks AW10. Here is one for EOD today.

%chn	5/11_CE	6/11_CE	Strike	6/11_PE	5/11_PE	%chn	pcr_6/11	pcr_5/11

			Nov 2009					
-2%	280450	274250	4000	1133200	1013200	12%	4.13	3.61
1%	24650	24850	4100	802350	707850	13%	32.29	28.72
11%	26700	29650	4200	1134500	1003500	13%	38.26	37.58
4%	31050	32400	4300	1952800	1752100	11%	60.27	56.43
-4%	101400	97500	4400	3954600	3412750	16%	[COLOR="red"]40.56	33.66[/COLOR]
[COLOR="red"]-26%[/COLOR]	675150	500250	4500	4651400	3960850	17%	9.30	5.87
[COLOR="red"]-42%[/COLOR]	2544700	1473550	4600	5932950	4148900	[COLOR="red"]43%[/COLOR]	[COLOR="Red"]4.03	1.63[/COLOR]
[COLOR="red"]-40%[/COLOR]	5313500	3161850	4700	4820250	2606100	[COLOR="red"]85%[/COLOR]	1.52	0.49
6%	3818750	4061300	4800	3197950	2267400	[COLOR="red"]41%[/COLOR]	0.79	0.59
8%	3871300	4173200	4900	1324400	1090300	[COLOR="red"]21%[/COLOR]	0.32	0.28
-7%	3720500	3463350	5000	1331800	1514950	-12%	0.38	0.41
4%	1869300	1943100	5100	351000	353200	-1%	0.18	0.19
-6%	2136900	2002100	5200	161200	163650	-1%	0.08	0.08
-5%	1271400	1207500	5300	52000	48850	6%	0.04	0.04
2%	928600	949750	5400	31750	27350	16%	0.03	0.03
3%	775900	799900	5500	105600	104650	1%	0.13	0.13
-4%	483450	461700	5600	49600	51500	-4%	0.11	0.11

Hi,
Where do we get this data from?
I think the most reliable is nseindia.com itself.
I checked 4600 put today, and OI change is 20.51%
And for 4600 call, OI change is -11.14%

So, its lot different from what has been mentioned for both, over 40%.

So, can you advise how to track this data correctly, so that it can be interpreted accordingly..

Rgds
Vaibhav

 

[hiteshsjoshi]

Hi,
Where do we get this data from?
I think the most reliable is nseindia.com itself.
I checked 4600 put today, and OI change is 20.51%
And for 4600 call, OI change is -11.14%

So, its lot different from what has been mentioned for both, over 40%.

So, can you advise how to track this data correctly, so that it can be interpreted accordingly..

Rgds
Vaibhav

Vaibhav,
As mentioned in my earlier post, I used to track OI changes on mid-day basis. I had put up the EOD for today only to incorporate the improvisations as suggested by AW10.
So, the data that is shown is 5/11 @ 12:30 and 6/11 EOD (as I did not have 05/11 EOD). I think I should have mentioned in the post about this information. Anyways, thanks for pointing out the same.

 

[MurAtt]

One major point which I think dwarfs all other points any day is

The writing of PE and CE in millions (as shown by OI) cannot be done by retail bcoz of the margins involved. Retail may form say max 5%-10% and not more I feel. The rest would be SM.
In the same way, buying of CE and PE is generally 90-95% Retail and 5% SM (for hedge)

So if a PE is being bot then we assume that the seller is SM and buyer is retail. For CE too the same applies that Seller is SM and buyer is Retail.

So wrt AW10's observation of squaring off CEs, it would be that SM who are short have covered either by taking a hit or by profit booking (since they may have sold at a still higher level) expecting more upside and PE buying at lower levels would have to be retail who scan the Cartoon Network everyday for their daily dose of SGX, SS (both Sudharshan and Shankar), Mitali and her other half, RJ and who not - to see them through their journey of becoming rich ...

 

[scorpio77]

Great analysis AW10 and SM!

I tend to go with SM's view on the OI data.

Have noticed in the past that OI works as per Smart Money (another SM eh Murtaza!)

Look at yesterday's move in the afternoon,

There is a sharp dip in open interest and price which indicates short covering

followed by the huge price move upwards because of further short-covering,

a brief flat period followed by increase in OI and volume giving strength to the move!

 

[MurAtt]

Cannot OI reduce when Call writers buy back the calls (at a loss or even at profit expecting mkts to move up) ?

New Puts are being wriitten ... if new puts for say 1 million qty NF is writen means margin of Rs. 600000000/- (taken at 30000 per PE). Can retail somehow manage this kind of money in a single day for say 3-4 days on a continuous basis and then sit out with patience waiting for this money to grow while they sleep ... highly unlikely ...

Also reduction of CE and simultaneous increase of PE at a certain strike means market may not come back to those levels (at least for a day or two or it may come down and then move up again .. depends ... changes with changes in news, developments etc)

What say AW -- I am on the right track na?

Thanks Hitesh for update post.

Just want to highlight interesting stuff at 4600 strike..
Calls OI reduced by 46%..
OI is reduced when current buyers windup their position, and no new buying happens..hence no new option writing takes place at that level.

So at 4600 Call, Somebody who bought the call, has sold it. Selling bullish position when markets current trend is up (just see the last 60min trendline).
Try to visualise who are these people selling their winning positions. Are they Pro or Novice.

And 4600 Put OI has gone up.. i.e More people are buying 4600 Put and hence new puts are being written. On a up-day, who will be the people taking bearish position i.e. buying put.. and who will be seller to them.

Now add the PCR picture to it.. which is indicating base formation here.

Just my observation.. and trying to read between the numbers here and trying to read the hidden message.. Whether I am right or wrong, only time will tell. I am happy to be wrong once again.

SM Bhai jan / other readers - plz share your views as well.

Happy Trading

 

[AW10]

SM, you are absolutely right. And I think I wrote to pass the same message.

Assuming that buyers and sellers are equal in the market. And
OI = number of open contract = number of seller = number of buyer

OI reduces = less number of Open contract = existing sellers closed their position by buying back = no new buyers coming back / or buyers close their position.
In other words no new net buyer/seller coming
OI increase = more number of Open contract = new sellers coming in = more buyers are coming in
In other word new net buyer/sellers are coming in

IMO, It is difficult to interpret OI increase / reduction only from the perspective of buyer or seller. Cause they are always equal.
But if we use OI increase/ reduction with market movement and then use the typical action that a novice trade takes and a professional will take at a point, then we can make some sense out of this number. Atleast we can guess, who will be taking buy action and who will be selling.
(remember one of my previous post where I raised the caution on extreamely high PCR / OI position when nifty was kissing 5150 level. The situation was entirely different then. Put OI was high but maybe MFs were buying the protection there when market was already at high level).
In my approach, i try to visualise the party who is taking other side of my trade and try to attach them to novice/ pro category. I always prefer to trade with Novice on the other side. I can't dare to goto boxing ring against Tyson.

So if we know the typical trading pattern of a novice trader (cause we have been there once upon a time) i.e. - book profit quickly, play with the sentiment of previous trend, let losses run till it becomes painful to see the loss etc. then novice would be playing with down trend, book profit on calls asap they are in green etc.

That is why I interpreted that novice would be selling their calls now and will be buying puts.. Because their decision will be impacted by down trend, they would have seen losses on their Long Call in last few days so they are cutting losses as soon as they see some improvement in their loss and jump to buy puts now.

And if Put OI has increased, means that there are more buyer/seller in the market. But question is who will be buying put and who will be selling it. Who will be the party buying put after 600 points fall and expecting further fall for this put to come ITM. And if you see the increase in Put action at 4200/4300/4400 level, the someone was buying those Puts as well. So quite likely that they have already protected their short put 4600 position by buying lower puts (i.e. creating spreads)

Thats my interpretation as per the action of today.. OI picture is dynamic, and specailly the position taken by professionals is quite agile. If market starts going down in next few days, Pro won't mind taking quick loss and shifting their positions. In between they have already pockted the time decay of few days.

This is just my interpretation. hope it is not confusing and giving u pointers to look beyond the numbers that medial talks about ...

Happy Trading

(SM bhai jan - aapne Mitali to Shankar, Sukhani and others kee category mein rakh kar achha nahi kiya.. She looks better then those dumb red/green candle on our price chart.. so during trading hrs when mkt is testing our patience, it is good to see her on CNBC for a break).

 

[turjobhatto]

I am novice only option trading..I want to know one thing on OI. If there is increase of OP interest how it can be reflected NIFTY movement.How it is Linked with stocks of NIFTY?