Participant Wise Open Interest || 22nd 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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22nd January - Participant Wise Open Interest Analysis based on 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: Contrary to expected, in spite of today being a Friday, India VIX sustained above 22. This definitely suggests that last four trading sessions of January will continue to see sharp moves.
- Dollar Index: Dollar continues to face pressure in spite of glaring jobs and manufacturing data from the US. At 91.10 DXY is right on the brink of retesting crucial support below which emerging markets equity continues to be more lucrative in terms of risk reward set up for global investors.
- Oil and Precious Metals: Oil is barely holding on to its current levels and precious metals are also seeing price pressure. If a significant movement of money is expected into commodities and out of equities this should be come out as consolidation for a good upside.
- Daily RSI: Yesterday's divergence played out in price action and with today's sharp fall in indices Nifty Daily RSI is below 60 and Bank Nifty Daily RSI is below 50 now. Just to make it interesting, this is first time since Sept-20 that Bank Nifty Daily RSI has breached 50 (even on 21st December it did not).
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
Now let us discuss this numbers in detail.
3. Clients Open Interest Data:
(How Clients participated in Nifty Open Interest, Bank Nifty Open Interest and Stock Derivatives)
- Clients (aptly retail investors) have more than doubled their net long in indices (299k) today by adding 186k longs just today. The respite in this set up is 125k longs are by way of buying index call options which is a limited risk exposure.
- However, 52k net new index put options written by retail investors today is a grave situation especially considering total net index put options written are now at 165k and gross shorts in index put options by them is more than 1 million.
- One more interesting observation is 266k net long in indices are acquired by clients in the month of January - at the peak of the market.
- Clients have added longs (30k) today to their already humongous longs in stocks (843k) this is either with complete disregard to the ongoing results season or the union budget already knocking on the doors now.
- Their two front battle in the stock options field keeps intensifying:
- Stock call options bought (249k) from FII (36k) and Pro (210k)
- Stock put options sold (74k) to FII (6k) and Pro (68k)
- The trade set up retail investors have demonstrated today could also be a result of intraday buying support market has witnessed day after day for last few weeks. This seems to have synced into the mind set of retail investors as a constant. The change however is FII are now on short side of trade and the support retail investors are hoping (I mean "praying") for may not come through.
4. DII Open Interest Data:
(How DII participated in Nifty Open Interest, Bank Nifty Open Interest and Stock Derivatives)
- DII continued their selling in cash market today also above 1,000 Crs. While they simply sold 1k new stock call options, in indices they booked profit on 15k contracts by covering 6k index futures short and unwinding 9k index put long.
5. FII Open Interest Data:
(How FII participated in Nifty Open Interest, Bank Nifty Open Interest and Stock Derivatives):
- FII has today swung again back to bears side for indices. This time the swing answers a question which was perplexing yesterday.
- FII unwound 39k long in index call options today which has to be in loss booking as these were carried from yesterday and market didnt have any significant upside spike to provide even a small window for profitable exit.
- FII added 22k long in index put options today taking total long to 103k. With a single directional move in the market and also a closing which is near to the lows of the day, if FII were expecting indices to bottom out, would they really have increased put options (by paying higher premium as the market trend was down all the day) or would they rather look to unwind and book profit in index puts, built long in index calls and be ready to make some money with gap up opening on Monday? (this might sound familiar as it has been happening over last few weeks)
- With these two interesting developments on index options, FII's stance is now almost clear as far as indices are concerned and it definitely is concerning for retail investors.
- Even though FII reduced net long in stocks by 12k for the day, their still carried gross long in stock futures (687k) is not budging which is the only confirmation bears need before coming out to play.
6. PRO Open Interest Data:
(How PRO participated in Nifty Open Interest, Bank Nifty Open Interest and Stock Derivatives):
- For the first time in days, we have seen Pro creating trades which are sitting in profit at the end of the day and those trades are short, that too heavy.
- Pro obviously did not mind being index call writers yesterday and have added (86k) new shorts today which were only bought by clients. Again we have seen in recent sessions that Clients successfully toppled Pros in their contra trades, however, the credit for it, to a large extent, belonged to FII swinging sides and also pumping in cash.
- With 16k shorts added in stocks Pro remain short in stocks, however, their built up, because of heavy dependence on stock call writing (210k), doesn't result in matching gains in case of fall in stocks - this obviously can be dismissed simply by acknowledging that stock open interest may not necessarily net off (long can be in stock A and short in stock B.)
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)
- If what we saw in open interest built up of clients yesterday was COMPLACENCY, today they have simply aggravated the built up to EGOTISTIC LEVELS. (I am grasping for a better word here)
- DII with booking profits in index contracts now no longer remain biggest losers or gainers in index movement. Dethroned completely.
- FII have today made their view clearer on index by now being largest beneficiary of any fall in indices while obviously being second largest gainers in case of rise in indices.
- Pro intensified their bear play in indices options today and are now fully invested in pulling indices down with their full might.
9. FII, DII, Clients and PRO - Exposure to Stocks Volatility
(Stocks Open Interest covering Stock Futures, Stock Call Options and Stock Put Options)
- Retail investors still carry huge net longs in stocks, however a third of it is long in stock call options which saves them that much downside exposure.
- FII even though continue to be bullish on stocks, are simply insignificant against the might of clients on net basis, however, as far as gross longs in stock futures are concerned they dominate the bull play.
- DII are largest bears in stocks simply on account of their huge cash market position, a small portion of which stands hedged as short in stock derivatives.
- Pro's stand is not that clear in stocks as in indices probably because the stock in which longs are carried in are yet to come out with results. By the time result season is through, Pro might make their stand firm in stocks.
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