Tracking PUT CALL Open Interest

[hiteshsjoshi]

OI based on EOD.

%chn	6/11_CE	9/11_CE	Strike	9/11_PE	6/11_PE	%chn	pcr_9/11	pcr_6/11
								
			Nov 2009					
-1%	274250	272350	4000	1114550	1133200	-2%	4.09	4.13
0%	24850	24950	4100	794850	802350	-1%	31.86	32.29
-4%	29650	28400	4200	1279700	1134500	13%	45.06	38.26
-1%	32400	32050	4300	2049750	1952800	5%	63.95	60.27
-7%	97500	90400	4400	2658000	3954600	-33%	29.40	40.56
-6%	500250	472400	4500	4861300	4651400	5%	10.29	9.30
-4%	1473550	1421150	4600	6212550	5932950	5%	4.37	4.03
-9%	3161850	2867150	4700	6061850	4820250	[COLOR="red"]26%[/COLOR]	2.11	1.52
-18%	4061300	3347300	4800	5033200	3197950	[COLOR="red"]57%[/COLOR]	1.50	0.79
-11%	4173200	3718100	4900	2581850	1324400	[COLOR="Red"]95%[/COLOR]	0.69	0.32
-2%	3463350	3393450	5000	1512750	1331800	14%	0.45	0.38
7%	1943100	2082500	5100	354700	351000	1%	0.17	0.18
-2%	2002100	1967050	5200	160200	161200	-1%	0.08	0.08
4%	1207500	1253500	5300	52200	52000	0%	0.04	0.04
3%	949750	974400	5400	32300	31750	2%	0.03	0.03
1%	799900	809850	5500	103100	105600	-2%	0.13	0.13
0%	461700	461400	5600	49550	49600	0%	0.11	0.11
0%	282750	281750	5700	67600	72800	-7%	0.24	0.26

Other Significant OI changes:
Call Dec09 - 5000 (11%), 5100 (11%), 5300 (10%), 5400 (22%) [Avg OI - 7 Lakhs]
Put Dec09 - 4400 (15%), 4900 (15%), 5000 (11%) [Avg OI - 6.5 Lakhs]
Call Jan10 - 4800 (11%), 5000 (78%), 5100 (19%), 5200 (16%) [Avg OI - 6075] - Bullish Retail??
Put Jan10 - 4500 (-25%) [OI - 2200]

 

[trade4putuval]

OI based on EOD.

%chn	6/11_CE	9/11_CE	Strike	9/11_PE	6/11_PE	%chn	pcr_9/11	pcr_6/11
								
			Nov 2009					
-1%	274250	272350	4000	1114550	1133200	-2%	4.09	4.13
0%	24850	24950	4100	794850	802350	-1%	31.86	32.29
-4%	29650	28400	4200	1279700	1134500	13%	45.06	38.26
-1%	32400	32050	4300	2049750	1952800	5%	63.95	60.27
-7%	97500	90400	4400	2658000	3954600	-33%	29.40	40.56
-6%	500250	472400	4500	4861300	4651400	5%	10.29	9.30
-4%	1473550	1421150	4600	6212550	5932950	5%	4.37	4.03
-9%	3161850	2867150	4700	6061850	4820250	[COLOR="red"]26%[/COLOR]	2.11	1.52
-18%	4061300	3347300	4800	5033200	3197950	[COLOR="red"]57%[/COLOR]	1.50	0.79
-11%	4173200	3718100	4900	2581850	1324400	[COLOR="Red"]95%[/COLOR]	0.69	0.32
-2%	3463350	3393450	5000	1512750	1331800	14%	0.45	0.38
7%	1943100	2082500	5100	354700	351000	1%	0.17	0.18
-2%	2002100	1967050	5200	160200	161200	-1%	0.08	0.08
4%	1207500	1253500	5300	52200	52000	0%	0.04	0.04
3%	949750	974400	5400	32300	31750	2%	0.03	0.03
1%	799900	809850	5500	103100	105600	-2%	0.13	0.13
0%	461700	461400	5600	49550	49600	0%	0.11	0.11
0%	282750	281750	5700	67600	72800	-7%	0.24	0.26

Other Significant OI changes:
Call Dec09 - 5000 (11%), 5100 (11%), 5300 (10%), 5400 (22%) [Avg OI - 7 Lakhs]
Put Dec09 - 4400 (15%), 4900 (15%), 5000 (11%) [Avg OI - 6.5 Lakhs]
Call Jan10 - 4800 (11%), 5000 (78%), 5100 (19%), 5200 (16%) [Avg OI - 6075] - Bullish Retail??
Put Jan10 - 4500 (-25%) [OI - 2200]

Hi,

I am confused with OI.
Looking at 95% change in OI for 4900 PE, does it mean that people are accumulating or waiting to accumulate 4900 PE? I am not very comfortable with OI because it does not give a clear definition.

Sometimes it says, that it is the number of orders awaiting execution. Sometimes it says, that lot of people have orders executed in this interest.

Kindly clarify, so that I can use this term for my option trading henceforth.

Rajiv

 

[hiteshsjoshi]

Hi,

I am confused with OI.
Looking at 95% change in OI for 4900 PE, does it mean that people are accumulating or waiting to accumulate 4900 PE? I am not very comfortable with OI because it does not give a clear definition.

Sometimes it says, that it is the number of orders awaiting execution. Sometimes it says, that lot of people have orders executed in this interest.

Kindly clarify, so that I can use this term for my option trading henceforth.

Rajiv

Hi Rajiv,
Would suggest you to go through -
1. What Does Open Interest Mean?
2. Open Interest

Hope it helps.

- Hitesh

 

[hiteshsjoshi]

OI based on EOD.
SM Bhai, request you to post interpretations.

%chn	 9/11_CE  10/11_CE  Strike  10/11_PE  9/11_PE  %chn  pcr_10/11 pcr_9/11
								
			Nov 2009					
-4%	272350	260150	4000	1171600	1114550	5%	4.50	4.09
3%	24950	25650	4100	848050	794850	7%	33.06	31.86
0%	28400	28300	4200	1351800	1279700	6%	47.77	45.06
-2%	32050	31250	4300	2121500	2049750	4%	67.89	63.95
-4%	90400	86350	4400	2608250	2658000	-2%	30.21	29.40
-29%	472400	335150	4500	4475050	4861300	-8%	13.35	10.29
-8%	1421150	1312900	4600	5693650	6212550	-8%	4.34	4.37
-6%	2867150	2692100	4700	5777550	6061850	-5%	2.15	2.11
2%	3347300	3424250	4800	4277550	5033200	[COLOR="red"]-15%[/COLOR]	[COLOR="Red"]1.25	1.50[/COLOR]
[COLOR="Red"]32%[/COLOR]	3718100	4898100	4900	2784050	2581850	8%	[COLOR="Red"]0.57	0.69[/COLOR]
[COLOR="red"]23%[/COLOR]	3393450	4187800	5000	1674600	1512750	11%	[COLOR="red"]0.40	0.45[/COLOR]
17%	2082500	2445850	5100	400550	354700	13%	0.16	0.17
4%	1967050	2054400	5200	158050	160200	-1%	0.08	0.08
-1%	1253500	1235850	5300	52700	52200	1%	0.04	0.04
10%	974400	1073250	5400	35300	32300	9%	0.03	0.03
13%	809850	913850	5500	105450	103100	2%	0.12	0.13
-4%	461400	440950	5600	49500	49550	0%	0.11	0.11
-1%	281750	277650	5700	64550	67600	-5%	0.23	0.24

Other Significant OI:
Call Dec09 - 4900 (18% with 0.5 million OI), 5000 (17% with 1 million OI)
Put Dec09 - 4500 (1% with 2.18 million OI), 4600 (10% with 1.4 million OI), 5000 (47% with 0.56 million OI)

 

[hiteshsjoshi]

OI based on EOD.

%chn 10/11_CE 11/11_CE Strike 11/11_PE 10/11_PE %chn pcr_11/11 pcr_10/11
								
			Nov 2009					
4%	260150	269450	4000	1241250	1171600	6%	4.61	4.50
0%	25650	25550	4100	869750	848050	3%	34.04	33.06
2%	28300	28750	4200	1306650	1351800	-3%	45.45	47.77
-1%	31250	30800	4300	2198300	2121500	4%	71.37	67.89
-3%	86350	83850	4400	2832100	2608250	9%	33.78	30.21
-10%	335150	301200	4500	4700800	4475050	5%	15.61	13.35
-18%	1312900	1080800	4600	6026600	5693650	6%	5.58	4.34
-5%	2692100	2569700	4700	6664300	5777550	15%	2.59	2.15
[COLOR="red"]-15%[/COLOR]	3424250	2896550	4800	5667200	4277550	32%	1.96	1.25
[COLOR="red"]-33%[/COLOR]	4898100	3271600	4900	[COLOR="red"]5000000	2784050	80%[/COLOR]	1.53	0.57
[COLOR="red"]-12%[/COLOR]	4187800	3705800	5000	[COLOR="Red"]3753550	1674600	124%[/COLOR]	1.01	0.40
8%	2445850	2641000	5100	[COLOR="red"]827500	400550	107%[/COLOR]	0.31	0.16
14%	2054400	2342800	5200	172350	158050	9%	0.07	0.08
19%	1235850	1468100	5300	52600	52700	0%	0.04	0.04
-2%	1073250	1057050	5400	33750	35300	-4%	0.03	0.03
5%	913850	957100	5500	105100	105450	0%	0.11	0.12
2%	440950	449250	5600	48400	49500	-2%	0.11	0.11
-6%	277650	261350	5700	47300	64550	-27%	0.18	0.23

Other Significant OI:
Call Dec09 - 4900 (15% with 0.7 million OI), 5200 (32% with 0.8 million OI), 5500 (31% with 1.2 million OI)
Put Dec09 - 4900 (11% with 0.6 million OI), 5000 (11% with 0.7 million OI)

 

[VJAY]

OI based on EOD.
SM Bhai, request you to post interpretations.

%chn	 9/11_CE  10/11_CE  Strike  10/11_PE  9/11_PE  %chn  pcr_10/11 pcr_9/11
								
			Nov 2009					
-4%	272350	260150	4000	1171600	1114550	5%	4.50	4.09
3%	24950	25650	4100	848050	794850	7%	33.06	31.86
0%	28400	28300	4200	1351800	1279700	6%	47.77	45.06
-2%	32050	31250	4300	2121500	2049750	4%	67.89	63.95
-4%	90400	86350	4400	2608250	2658000	-2%	30.21	29.40
-29%	472400	335150	4500	4475050	4861300	-8%	13.35	10.29
-8%	1421150	1312900	4600	5693650	6212550	-8%	4.34	4.37
-6%	2867150	2692100	4700	5777550	6061850	-5%	2.15	2.11
2%	3347300	3424250	4800	4277550	5033200	[COLOR="red"]-15%[/COLOR]	[COLOR="Red"]1.25	1.50[/COLOR]
[COLOR="Red"]32%[/COLOR]	3718100	4898100	4900	2784050	2581850	8%	[COLOR="Red"]0.57	0.69[/COLOR]
[COLOR="red"]23%[/COLOR]	3393450	4187800	5000	1674600	1512750	11%	[COLOR="red"]0.40	0.45[/COLOR]
17%	2082500	2445850	5100	400550	354700	13%	0.16	0.17
4%	1967050	2054400	5200	158050	160200	-1%	0.08	0.08
-1%	1253500	1235850	5300	52700	52200	1%	0.04	0.04
10%	974400	1073250	5400	35300	32300	9%	0.03	0.03
13%	809850	913850	5500	105450	103100	2%	0.12	0.13
-4%	461400	440950	5600	49500	49550	0%	0.11	0.11
-1%	281750	277650	5700	64550	67600	-5%	0.23	0.24

Other Significant OI:
Call Dec09 - 4900 (18% with 0.5 million OI), 5000 (17% with 1 million OI)
Put Dec09 - 4500 (1% with 2.18 million OI), 4600 (10% with 1.4 million OI), 5000 (47% with 0.56 million OI)

Dear AW10/SM bhai,
As per OI now resistance at 5100-5000 levels am right? what about this par puts 4000/4100/4200/4300 in it also seen some increase...why?
If increase oi in puts means market in bullish....is it right?
If you give some guidance about this it will helps a lot........

 

[chaitanyagoa]

Dear AW10/SM bhai,
As per OI now resistance at 5100-5000 levels am right? what about this par puts 4000/4100/4200/4300 in it also seen some increase...why?
If increase oi in puts means market in bullish....is it right?
If you give some guidance about this it will helps a lot........

This is Murtaza BHai's Method...... Here It goes........

At a particular strike say at 5000...

For PE = todays IO/yest IO >100... that means more people have written Puts which in turn indicates that Smart money is Bullish about the market.....

Take an example of a particular day and try it yourself....

Suppose for PE the % turned out to be 125%.... Then 25% more IO's have been written Compared to the previous day.... the further away the number is from 100 (greater) the more support is provided at that particular strike....

Similar is the case for CE's ....

For CE =todays IO/Yest IO > 100.... indicates that the number of calls written have increased..... Now when will SM (Smart MOney NOt MUrtaza bhai...) write calls?.... when there is no strength in the market..... Hence this figure indicates bearishness at that particular strike............

Thanks

 

[VJAY]

This is Murtaza BHai's Method...... Here It goes........

At a particular strike say at 5000...

For PE = todays IO/yest IO >100... that means more people have written Puts which in turn indicates that Smart money is Bullish about the market.....

Take an example of a particular day and try it yourself....

Suppose for PE the % turned out to be 125%.... Then 25% more IO's have been written Compared to the previous day.... the further away the number is from 100 (greater) the more support is provided at that particular strike....

Similar is the case for CE's ....

For CE =todays IO/Yest IO > 100.... indicates that the number of calls written have increased..... Now when will SM (Smart MOney NOt MUrtaza bhai...) write calls?.... when there is no strength in the market..... Hence this figure indicates bearishness at that particular strike............

Thank

Dear chaitanyagoa,
Thanks for the nice simple answer for my querry....I understood it now clearly.....sure it helps me a lot to improve my trading in options.......

enjoyed the formula......SM= Murtaz bhai...........:clap:

 

[hiteshsjoshi]

OI based on EOD.

Underlying Value As on 12-NOV-2009 15:30:20 Hours IST : 4960.35

[B]%chn 11/11_CE 12/11_CE Strike 12/11_PE 11/11_PE %chn pcr_12/11 pcr_11/11[/B]
								
			Nov 2009					
[COLOR="DarkOrange"]-2%	269450	264950	4000[/COLOR]	1206950	1241250	-3%	4.56	4.61
[COLOR="DarkOrange"]0%	25550	25450	4100[/COLOR]	870900	869750	0%	34.22	34.04
[COLOR="DarkOrange"]1%	28750	28900	4200[/COLOR]	1329700	1306650	2%	46.01	45.45
[COLOR="DarkOrange"]0%	30800	30750	4300[/COLOR]	2202900	2198300	0%	71.64	71.37
[COLOR="DarkOrange"]-4%	83850	80850	4400[/COLOR]	2831850	2832100	0%	35.03	33.78
[COLOR="DarkOrange"]-4%	301200	289650	4500[/COLOR]	4586600	4700800	-2%	15.83	15.61
[COLOR="DarkOrange"]-15%	1080800	923050	4600[/COLOR]	5519150	6026600	-8%	5.98	5.58
[COLOR="DarkOrange"]-6%	2569700	2417800	4700[/COLOR]	6206100	6664300	-7%	2.57	2.59
[COLOR="DarkOrange"]-7%	2896550	2689450	4800[/COLOR]	5799600	5667200	2%	2.16	1.96
[COLOR="DarkOrange"]10%	3271600	3599650	4900[/COLOR]	4730450	5000000	-5%	[COLOR="Blue"]1.31	1.53[/COLOR]
[COLOR="Blue"]25%[/COLOR]	3705800	4618300	[COLOR="DarkOrange"]5000	3787050	3753550	1%	[COLOR="Blue"]0.82	1.01[/COLOR][/COLOR]
[COLOR="Blue"]23%[/COLOR]	2641000	3236600	[COLOR="DarkOrange"]5100	765250	827500	-8%	0.24	0.31[/COLOR]
14%	2342800	2662750	[COLOR="DarkOrange"]5200	198050	172350	15%	0.07	0.07[/COLOR]
14%	1468100	1676900	[COLOR="DarkOrange"]5300	53000	52600	1%	0.03	0.04[/COLOR]
9%	1057050	1147700	[COLOR="DarkOrange"]5400	33750	33750	0%	0.03	0.03[/COLOR]
-5%	957100	909950	[COLOR="DarkOrange"]5500	102200	105100	-3%	0.11	0.11[/COLOR]
-7%	449250	417900	[COLOR="DarkOrange"]5600	48350	48400	0%	0.12	0.11[/COLOR]
-13%	261350	228350	[COLOR="DarkOrange"]5700	44900	47300	-5%	0.20	0.18[/COLOR]

8% 23440700 25248950 [B]Total[/B] 40316750 41547500 -3%    1.60    1.77

Other Significant OI Changes:
Call Dec09 - 4900 (-17% with 0.6 million OI), 5100 (14% with 0.7 million OI)
Put Dec09 - 4700 (8% with 1.1 million OI), 5000 (8% with 0.77 million OI)

 

[AW10]

This is Murtaza BHai's Method...... Here It goes........

At a particular strike say at 5000...

For PE = todays IO/yest IO >100... that means more people have written Puts which in turn indicates that Smart money is Bullish about the market.....

Take an example of a particular day and try it yourself....

Suppose for PE the % turned out to be 125%.... Then 25% more IO's have been written Compared to the previous day.... the further away the number is from 100 (greater) the more support is provided at that particular strike....

Similar is the case for CE's ....

For CE =todays IO/Yest IO > 100.... indicates that the number of calls written have increased..... Now when will SM (Smart MOney NOt MUrtaza bhai...) write calls?.... when there is no strength in the market..... Hence this figure indicates bearishness at that particular strike............

Thanks

Chaitanya, what u have mentioned is correct in general.
But the twist comes when u interpret it info as - If 25% more calls are written then there has been 25% more buyers for these calls as well.
So with OI, it is difficult to judge whether Smart Money is on the writing the call or buying the call. SMoney is also positional trader. So if they have to protect their portfolio at 5000 level, then they might be buying 5000 PUTs.
And other novice so called smart retail option trader might be writing these puts to SM buyers.

As per OI now resistance at 5100-5000 levels am right? what about this par puts 4000/4100/4200/4300 in it also seen some increase...why?

Vijay - to answer your question - my interpretation of this far OTM puts are that they are being bought by smart option traders to manage the risk.
Maybe they are aggressively selling 4500/4600 PUTs but to safegaurd against Black Swan events, they buy far OTM PUTs so that even if they are caught on wrong side of the mkt, the crash doesn't throw them out of business.

I adopt this appraoch every month and I donate free money to mkt and buy far otm call/put and let them expire. Currently I am holding 5300 call and 4500put bought in 20/25 Rs. But I recover lot more then that by selling calls against them. My short puts of 4600/4700 and short calls of 5100/5000 have already given me 3 to 4 times of that donation. At the same time, it has helped me sleep on my overnight positions without watching US mkt.

Another approach option strategy people implemnt using far OTM option is collecting income.. The main concept here is sell the strike where market will not reach. It is lot easier to predict with higher accuracy where market will not reach before the expiry then predicting where it will expire. So 42/4300 levels are safe zone. So by buying 4100 put, and selling 4200 put (Bullish Put Credit Spreads), whatever premium I am collecting will be my income at month end. At today price, this puts 1.5 rs in the pocket. May not be intersting for retail traders due to higher brokerage..but for people who have almost 0 to few paise of brokerage, it still gives them free money in the mkt.

Hope this helps. Happy Trading