The markets have risen approximately 4 % on a week-on-week basis on poor volumes growth as the players seem to have abstained from large scale buying commitments. The Outstanding net long positions are up approximately 5 % on a week-on-week basis. This is a positive development as bulls have enhanced their positions. The outlook appears to be optimistic as the markets are above a short term support at the 1818 levels which if not violated during the week,  will see 1865 - 1880 levels. The Nifty futures trade at Rs 4 premium to cash. The stocks of the week are likely to be NTPC, TCS & Tisco.

Outstanding positions - week on week

Market internals - outstandings - all Rs crores

Description	Rupees crores	Call options	Put options	Net position
Index Futures	1,937 91
Stock futures	6,612 331
Index options		546 48	471 119	75  71
Stock options		907 217	277 88	630  129
Total Futures	8,549 422	Total options - net	705 58
Gross longs ( F+O )	10,002 687	Net longs ( F+O )	9,254 480

Observation - The net out-standings have increased as the above table indicates. This is a positive development after expiry. Click here to view previous weeks file

Note - Previous weekend gross long positions Rs 9,315 crs, net long positions Rs 8,774 crs.

Source - The National Stock Exchange.

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It maybe noted that FII's now hold approximately Rs 5,890 crs in open interest which is a substantial portion of the entire market open interest. The FII's seem to be concentrating on stock futures and then Index futures in that order of preference. Please note that FII's have bought more futures than they have sold on Nov 04, 2004. That indicates a buying bias in the near term. Purchases of Rs 331 crs are seen in the cash segment on that day.

`Source - The National Stock Exchange.

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The traded volumes have slumped. The traded turnover was lower in all the segments. That is a sign of concern as the rally was on poor volumes growth. We want the volumes to rise in the coming week if the markets are to see retail participation. The combination of traded volumes, open interest and put / call ratios are a reliable indicator of the undercurrents. The outlook appears optimistic in the short term. Click here to view previous weeks file

Description	Previous week - Rs. crores	Current - Rs. crores	Change - Rs crores
Index Futures	14,059	9,132	4,927
Stock futures	35,570	23,505	12,065
Totals - a	49,629	32,637	16,992
Index calls	1,800	1,177	623
Stock calls	3,558	2,488	1,070
Totals - b	5,358	3,665	1,693
Index puts	1,114	983	131
Stock puts	1,078	653	425
Totals - c	2,192	1,636	556
Grand totals ( a+b+c)	57,179	37,938	19,241

Source - The National Stock Exchange.

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Nuts and bolts - week on week

Put call ratios

 

PCR - Index	0.88 : 1	Previous week	0.72: 1
PCR - Stocks	0.27 : 1	Previous week	0.25 : 1
PCR - Total	0.33 : 1	Previous week	0.30 : 1

Observation - The PCR shows a tilt towards the bears as the ratios are showing degeneration on a week-on-week basis. The Nifty PCR remaining outright bearish, the shorts have risen faster than the longs. The individual stocks show a marginal increase in short  positions. This ( PCR ) will be the one of the most reliable indicator of market trends. The total PCR has remained positive. The equilibrium point is 0.50 : 1. Click here to view previous weeks file

Source - The National Stock Exchange.

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Directional guidance - week on week

Market internals - Nifty put / call trends - 5 highest open interest contracts

Calls	Previous week Rs Crs	Current Rs crores	Change Rs Crs
1800 CE	261	223	38
1840 CE	87	147	60
1850 CE	NA	40	40
1860 CE	NA	38	38
1830 CE	09	35	26
Puts	Previous week Rs Crs	Current Rs crores	Change Rs Crs
1840 PE	12	82	70
1750 PE	114	146	32
1780 PE	17	25	08
1700 PE	36	42	06
1800 PE	107	255	148

Observation - The index contracts show which way the players are tilting. The outstanding positions seem to have increased all round in the previous week. The bulls have added Rs 126 Crs. Our inference is - watch the 1820 support levels in the coming days. The bears have added Rs 264 Crs. That shows a tendency towards building up shorts between the 1800 - 1840 strike price. The undertone appears optimistic for now. Click here to view previous weeks file.

Source - The National Stock Exchange.

Open interest I FII positions I Volumes I PCR I Nifty puts / calls I open int changes I OI - stocks I Top calls / puts I Volatility I Recos I Print this page I Close Window

Source - The National Stock Exchange.

Open interest I FII positions I Volumes I PCR I Nifty puts / calls I open int changes I OI - stocks I Top calls / puts I Volatility I Recos I Print this page I Close Window

The center stage - week on week

5 Highest outstanding scrips

Futures	Previous week Rs Crs	Current Rs. Crores	Change Rs Crs
Tisco	773	834	61
TCS	461	457	04
Reliance	564	638	74
Infosys	291	334	43
SBI	290	355	65

Options	Previous week Rs Crs	Current Rs. Crores	Change Rs Crs
Tcs 1170 calls	28	42	14
Reliance 540 calls	35	45	10
Reliance 560 Calls	25	43	18
Tcs 1200 calls	15	36	21
Tisco 300 calls	47	66	19

Observation - The action remains polarised around the same big counters - Tisco, Reliance, TCS & SBI. Outstanding open interest in most of the stocks has risen - a positive phenomena after expiry. Watch Reliance & Tisco for directional guidance in the coming week.  Click here to view previous weeks file.

 

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The activity is polarised around the Nifty between the 1800 - 1840 on the long side and NTPC, Reliance & Tisco in individual stocks.

 

Source - The National Stock Exchange.

Open interest I FII positions I Volumes I PCR I Nifty puts / calls I open int changes I OI - stocks I Top calls / puts I Volatility I Recos I Print this page I Close Window

Volatility is a F&O traders best friend. We have split the volatility readings of the stocks in two segments - above the market average and below the market average. It is obvious that higher than average volatility will see a larger move in either direction and therefore benefit a savvy intraday / short term trader. Please note how the volatility has fallen sharply across the board since the last 4 months. It will have an impact on the margins payable by futures traders. It is wiser to avoid those stocks which show lower volatility readings if you want short term profits. Keep watching this space for regular updates.

Observation - Our investors are advised to watch the above highly volatile counters for signs of a bounce-back. However, other factors too need to be taken into account before a fresh trade is initiated.

The index heavy-weights are showing lower volatility than the broader markets, which shows that the action is likely to be polarised around "side counters". The software heavy-weights are relatively higher volatile than the old economy counters. Technology stocks are likely to remain in the focus of the trading pattern.

 

Indices - volatility

 

Underlying Underlying Volatility Underlying Ann. Volatility Futures Volatility Futures Ann. Volatility CNXIT 1.42 27.16 1.36 25.95 NIFTY 0.92 17.6 0.97 18.57   1.17 22.38 1.16 22.26

The index implied volatility is on the descent which shows a the markets are moving higher with relative ease.

Source - The National Stock Exchange.

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Have a profitable day.

 

Vijay L. Bhambwani

Ceo :- Bsplindia.com

The author is a Mumbai  based investment consultant and invites feedback at Vijay@BSPLindia.com and  (022) 23438482 / 23400345.

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