Participant Wise Open Interest || 13th Jan Analysis of FII DII CLIENT AND PRO Data || Nifty OI, Bank Nifty OI, Change in Nifty OI
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Before we proceed with today's open interest data analysis, let us understand few global / macro factors which are more relevant for NSE / BSE these days:
Now let us discuss this numbers in detail.
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Participant Wise Open Interest Analysis based on 13th January FII, DII, Client and Pro Data
Welcome to the analysis of FII, DII, Client and PRO data of their open interest in Index Derivatives (net open interest and daily changes in Nifty Open Interest and Bank Nifty OI) and Stock Derivatives (net open interest and daily changes in Stock Futures, Stock Call Options and Stock Put Options).Sections of this analysis:
- Macro and global factors
- Participant wise open interest data
- Clients open interest data
- DII open interest data
- FII open interest data
- PRO open interest data
- Open interest data converted into EXPOSURE TO VOLATILITY
- FII, DII, Clients and PRO Data - Exposure to INDEX VOLATILITY
- FII, DII, Clients and PRO Data - Exposure to STOCK VOLATILITY
1. Macro And Global Factors
Before we proceed with today's open interest data analysis, let us understand few global / macro factors which are more relevant for NSE / BSE these days:
- India VIX: India Vix continued to rise and briefly crossed over the threshold of 24 and started contracting again with intrady pull back, however, closed at 23.30 which is still a rising and imminent pressure on the current trend.
- Dollar Index: The rising political unrest in the US sent DXY down below 90 on intrady basis and again USD managed to show some strength with DXY consolidating at 90.30. We may not assume the liquidity flow to continue with the same vigour if USD keeps on strengthening.
- Oil: Oil prices showed some current after invebtories data came in significantly shorter than the street expectations. The strength could increase if there is any added geopolitical tension arises as a resulf of regime change in US.
- Daily RSI: Bulls grip on the indices is very much apparent as they are able to pull back Nifty from intrady correction and maintain daily RSI at 81, this is the second consecutive day for Nifty with RSI almost at 81. Bank nifty daily RSI as expected continued its upward marach and now stand at 75.60. There is still some steam left in Bank Nifty before its RSI crosses over 80 and trades in overbought zones.
2. Participant wise open interest data
Previous Day's FII, DII, Client and Pro Data || Open Interest Analysis
Today's Participant Wise Open Interest - Index Charts
Today's Participant Wise Open Interest - Stock Charts
3. Clients Open Interest Data:
(How Clients participated in Nifty Open Interest, Bank Nifty Open Interest and Stock Derivatives)
- Clients (loosely "retail investors") have added 101k longs in index today, even though there was no net addition in index futures, clients have bought 42k calls for the day.
- Also, clients have added 58k short in index put options taking their net short in index put options to 100k now. The situation gets more intense with clients gross index put option shorts being at stunning 1.4 million contracts. There is a direct hussle between FII and Clients now for index put options:
- Clients have written put options;
- FII have bought put options
- Will FII let go of its index put premium as a cost of hedge or will they topple the clients with a sudden trend reversal in index (Remember Nifty daily RSI is at 81 and VIX above 23!)
- Clients have added 54k long in stocks as well for the day and that is by 19k net long in stock futures, 23k net long in stock call options and 11k net short in stock puts options.
- There is an interesting battle that clients have taken up on stock options front as well:
- Stock Call Options: Clients have bought net 208k stock call options; these are written by FII (26k) and Pro (181k)
- Stock Put Options: Clients have written net 71k stock put options; these are bought by FII (3k) and Pro (68k)
- The question is can clients keep buying and supporting the indices and stocks till they are able to book profits in their longs, just like FII did? (A rhetorical question, by the way)
- Analysis of clients data simply suggests the rally is or is soon about to be OVER.
4. DII Open Interest Data:
(How DII participated in Nifty Open Interest, Bank Nifty Open Interest and Stock Derivatives)
- DII added small shorts both in index (1k) and stocks (6k) for the day. This is in spite of selling 2400 Crs worth of stocks in cash market. So they have increased hedged proportion of their cash holdings today,however, the proportion remains insignificant.
- Assuming 15 Lac Crores worth of Equity AUM with DII's, they current hedge is only 4-5% meaning they still need to book profits on large portion of their cash holding and hence in coming days, if market reverses its trend, it would be wrong to assume DII shall counter FII's sale in cash market.
5. FII Open Interest Data:
(How FII participated in Nifty Open Interest, Bank Nifty Open Interest and Stock Derivatives):
- FII have finally handed over almost all of their long in indices. This is extremely important considering that till the time large investments were being funneled into India (till end of November, 2020) FII used to carry at least 100k net longs in indices.
- Continuous unwinding of their longs in indices was seen almost entire part of December and today they are only long 10k contracts.
- In fact, FII's open interest now in indices is composed in such a way that they would end up booking profits irrespective of market movement, having taken full advantage of two sided movement in indices we have seen over last couple of weeks.
- On stocks front, FII have rolled down 19k longs today most of which by way of reducing longs in stock futures.
- On gross basis also, FII has slim participation in stock options, however, they longs of almost 700k stock futures must remain the focal points for bulls now.
6. PRO Open Interest Data:
(How PRO participated in Nifty Open Interest, Bank Nifty Open Interest and Stock Derivatives):
- With 76k short in index primarily by writing 65k index call options, Pro are now fully invested in keeping the indices contained.
- They have also opened two fronts in the battle of index calls by writing index calls (124k) for FII (82k) and Clients (42k) both.
- Pro have shorted 29k stock contracts and now have a clear contest with retail investors for stock options.
7. Open Interest Data converted in "Exposure to Volatility"
(Risk exposure for each participant - Client, FII, DII and Pro in case of sharp movement in Index and Stocks in either direction):
- Long positions can be created by Buying of Call Options or by Selling of Put Options. Even though both are longs, the risk reward to participant are extremely different.
- CALL BUYERS take risk equal to premium paid and shall only lose the premium amount in case of downward movement. However they participate and earn fully in case of upwards movement of the underlying asset.
- On the other hand, PUT SELLERS earn only the premium amount and nothing more in case of upwards movement however they take unlimited risk and loss in case the underlying moves downward.
- Therefore, it is not sufficient to only analyse NET LONG or NET SHORT positions but also to consider the nature of this position which shall reveal more details like which participants shall look to buy in case of dip (may be to protect their shorts in put options) and which shall look to sell in case of rise (may be the participant with highest short in call options).
- To account for this, we have mapped each participants open interest data with the nature of open interest and converted it into their EXPOSURE TO VOLATILITY in Index and in Stocks.
- Here is FII, DII, CLIENTS AND PRO DATA summarizing their EXPOSURE TO VOLATILITY:
8. FII, DII, Clients and PRO - Exposure to Index Volatility
(Nifty Open Interest and Bank Nifty Open interest including Futures, Call Options and Put Options)
- Clients are now in the most miserable position with taking maximum losses in case of fall in indices and earning only a third of it in case of rise.
- DII are hedged smartly and happen to lose half in case indices go up and earn double in case indices fall.
- Even though FII's best interest still lies in keeping the market up, even if indices move down, they also earn top dollar in case indices tank - a perfect open interest set up anyone would hope for.
- Pro are set to keep indices contained at least till tomorrow and if at all market is to make sharp moves, Pro would prefer that to be on the downside.
9. FII, DII, Clients and PRO - Exposure to Stocks Volatility
(Stocks Open Interest covering Stock Futures, Stock Call Options and Stock Put Options)
- Clients do carry naked longs in stock futures and hence end up earning the most in case stocks move up - across the board, however, what we are seeing over last few days is rotation.
- FII have covered significant portion of their longs, however, they do carry 700k long in stock futures which might keep few stocks immune from significant correction.
- DII remain largest shorts in stocks which is dismissed as hedge.
- Pro even though are looking to keep stocks also contained, it would be directly a result of their contra position with clients in stock options.
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