Participant Wise Open Position - 21st December - Daily Analysis of Derivative Data - CLIENT (RETAIL) FII DII AND PRO - Index and Stocks - Futures, Call Options and Put Options

Participant Wise Open Position Analysis - 21st December

Welcome to the daily analysis of Participant Wise Open Position Derivative Data including day end participant wise open positions, daily trades (daily change) and series change in derivatives of Index (covering Both Nifty and Bank Nifty) and Stocks with breakup of trades in Index futures, Index call options, Index put options, Stock futures, Stock call options and Stock put options for each category of participants.

Previous Day Derivative Data Analysis - For Comparison

18th December - Dashboard

Today's Participant Wise Open Position

Here are key highlights for today:

Analysis of Clients Trades in Index and Stock Contracts:

(Net trades by Clients in Index Futures, Index Call Options, Index Put Options, Stock Futures, Stock Call Options and Stock Put Options):

• Clients (Retail Investors) have created bullish positions today both in index as well as in stocks. 
• The worrisome parts of this long positions is retail investors have sold puts for index as well as stocks hoping for reversal from the fall which was witnessed almost all of last week. This has trapped them in exposed long positions with weekly expiry in three days.
• At the end of the day, net open position of Clients (Retail Investors) is massive longs with short of 170k index put options, long of 451k stock futures and short of 58k stock put options.
• This renders retail investors in a measurable condition as the only participant with highest fully exposed bullish positions.

Analysis of DII Trades in Index and Stock Contracts:

(Net trades by DII in Index Futures, Index Call Options, Index Put Options, Stock Futures, Stock Call Options and Stock Put Options):

• DII have added short positions, even though small quantity, in both index as well as stocks for today. 
• They stand firm on their bearish view with short net open positions in both index as well as stocks.
• If we consider this positions (~55k Crs) as hedge against their cash holdings, it remains at 4% of total equity AUM (~ 15 Lacs Crs). Which suggests, DII are still to book profits or hedge the fall. This shall push market further down only.

Analysis of FII Trades in Index and Stock Contracts:

(Net trades by FII in Index Futures, Index Call Options, Index Put Options, Stock Futures, Stock Call Options and Stock Put Options):

• FII have taken strong short positions in Nifty as well as in Bank Nifty for the day, also bear in mind that FII are net sells in cash market as well for the day.
• FII's net open position in index contracts reduces to just 20k which was four times this number during the start of December series. A classic distribution of open position at highest price levels to retail investors is concluded.
• The only case against bears is FII buying 19k contracts of stock futures and also their net long open position in stock futures of 142k contracts. Even though this is much lower than their peak long positions in stock futures and only 60% of their beginning of the month long positions, this needs to be unwound as last nail in the coffin for bullish retail investors.

Analysis of PRO Trades in Index and Stock Contracts:

(Net trades by PRO in Index Futures, Index Call Options, Index Put Options, Stock Futures, Stock Call Options and Stock Put Options):

• PRO have created massive short positions in Index as well as in Stocks. By far, today's fall is attributable to PRO adding short in call options and long in put options.
• This ensures that PRO are now net buyers of index put options and stock put options. (Please refer yesterday's net position) and changing their stance from expecting range bound market to steep downfall.
• Huge net short in index call options and stock call options indicate PRO need to ensure that market remain lower for the weekly expiry.

High Volatility Impact Assessment for Open Positions in Index and Stocks Derivatives

(Risk exposure for each participant - Client, FII, DII and Pro in case market sees high volatility in either direction):

• Each participant even though has net index or stock position which is shown as long or short, the composition and characteristic of these are fairly different, imagine a long position by way of buying of call options versus a long position by way of selling of put options. Risk and reward substantially differ even though both are long positions 
• To account for this, we have prepared High Volatility Impact Assessment reflecting how many positions actually carry unlimited downside or upside risk for each participant in case of extreme one directional move in the market.
• Here is today's derivative data high volatility heat map:

Index Volatility Impact Assessment

• FII by adding index put options today carries most comfortable open position in index contracts with full participation in case market moves up or down. 
• Clients continue to be the exposed by 140k contracts in case index moves down. Where as all the other participants make money in case of downward movement of index. A strong bear case in Nifty and Bank Nifty. 
• PRO & DII lose in case index moves up. Assuming DII's position in Index is largely hedge against their cash market holding, PRO are only losers in case of rally in Nifty and Bank Nifty. Another strong bear case for Index. 

Stocks Volatility Impact Assessment

• FII & DII carry largely balanced net open position in stocks resulting in almost similar gain and loss in case stocks move up or down.
• Clients are biggest beneficiaries of upwards movement in stocks and largest losers of downward movement in stocks. This means market has to go up to ensure only retail investors make money, which is never the case. Big Bear Sign in stock derivatives.
• PRO shall end up biggest losers in case stocks go up. Another bear sign in Stocks.