FII – Index Derivatives Expiry Statistics – 27-08-2015 Expiry Series
We have ended the August Expiry series with the S&P CNX Nifty Index making a fresh low of the year 2015 at 7667.25 on 25-08, & ended the expiry day at 7948.95, the worst loss on EoE basis since August 2013. The Nifty futures August 2015 contract last traded at 7948 while the September 2015 Contract traded at 7991. The statistics of the Institutions, whether Domestic or Foreign, provide a better view of their commitment towards the Index. As the DIIs are not that much involved in trading of Index Future Derivatives, we keep a close look at the Index Derivatives statistics of FIIs on a Daily as well as Expiry on Expiry basis. You can have a look at the FII Daily Index Derivatives Statistics by following this link – Daily FII – Index Derivative Statistics
Since the beginning of the series we had been observing that the Index moves were in sync with FII positions in the Index Derivative segment, barring 3 instances when the moves went against but with a very narrow range. So on a broader perspective, this data helped us a lot in taking trading decisions coupled with our Market Profile & Order flow analysis for our daily hypothesis.
Now, lets have a look at the FII – Index Derivatives Expiry Statistics – 27-08-2015 Expiry Series
The FIIs carried forward 518358 Longs from August 2015 Expiry in Index Futures against 463279 Longs from July 2015 Expiry. The FIIs carried forward 269974 Shorts from August 2015 Expiry in Index Futures against 126029 Shorts from July 2015 Expiry. Their Net Outstanding Open Interest in Index Futures stands at 248384 ( Net Long ) from August 2015 Expiry against 337250 from July 2015 Expiry. The Net Outstanding has decreased by 88866 contracts on Expiry on Expiry basis, where they have increased their shorts by more than 100% & increased negligible longs pointing out to their bearish/cautious stance on the Index.
On the Index Options front :
The FIIs carried forward 661416 Longs from August 2015 Expiry in Index Call Option against 692357 Longs from July 2015 Expiry. The FIIs carried forward 457670 Shorts from August 2015 Expiry in Index Call Option against 371133 Shorts from July 2015 Expiry. Their Net Outstanding Open Interest in Index Call Option stands at 203746 from August 2015 Expiry against 321224 from July 2015 Expiry. This shows a massive reduction of Net Outstanding Call Longs going into the September Expiry, which again points to their bearish stance.
The FIIs carried forward 949134 Longs from August 2015 Expiry in Index Put Option against 863761 Longs from July 2015 Expiry. The FIIs carried forward 161241 Shorts from August 2015 Expiry in Index Put Option against 249070 Shorts from July 2015 Expiry. Their Net Outstanding Open Interest in Index Put Option stands at 787893 from August 2015 Expiry against 614691 from July 2015 Expiry. That is again a decent addition in Put Longs as well as decent liquidation in Put shorts with a increase in the net outstanding,. IF we consider the hedge part to cushion their Index Futures long positions, still the addition call for their bearish stance once again.
Thus, going by the FII data it looks like they are having a bearish/cautious stance on the Index going forward in September 2015. There is a lot happening on the world economy front with the Chinese markets dragging the world markets down with their currency devaluation & Institutions awaiting the FED announcement of the rate hike if happens.