FII – Index Derivatives Expiry Statistics – 24-09-2015 Expiry Series

FII – Index Derivatives Expiry Statistics – 24-09-2015 Expiry Series

We have ended the September Expiry series with the S&P CNX Nifty Index starting off the expiry below 8000 level & trying to scale up above the psychological level of 8000 for 2 days but failing to stay above it, went down to make a fresh low for the year 2015, at 7539.50 on 08-09-15, & ended the expiry day at 7868.50, a minor loss of 80.45 points on EoE basis. The Nifty futures September 2015 contract last traded at 7869.15 while the October 2015 Contract traded at 7895.70. 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

The bearish sentiment which was visible in the previous Expiry played out in the second week itself & on a broader perspective, we will keep tracking this data as we await the RBI meeting outcome on 29th September 2015. This data helps us 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 – 24-09-2015 Expiry Series

The FIIs carried forward 440927 Longs from September 2015 Expiry in Index Futures against 518358 Longs from August 2015 Expiry. The FIIs carried forward 321530 Shorts from September 2015 Expiry in Index Futures against 269974 Shorts from August 2015 Expiry. Their Net Outstanding Open Interest in Index Futures stands at 119397 ( Net Long ) from September 2015 Expiry against 248384 from August 2015 Expiry. The Net Outstanding has decreased by more than 50% contracts on Expiry on Expiry basis, where they have increased their shorts & reduced longs pointing out to their bearish/cautious stance on the Index.

On the Index Options front :

The FIIs carried forward 365967 Longs from September 2015 Expiry in Index Call Option against 661416 Longs from August 2015 Expiry. The FIIs carried forward 349768 Shorts from September 2015 Expiry in Index Call Option against 457670 Shorts from August 2015 Expiry. Their Net Outstanding Open Interest in Index Call Option stands at 16199 from September 2015 Expiry against 203746 from August 2015 Expiry. This shows a massive reduction of 187547 contracts in Net Outstanding Call OI going into the October Expiry, further strengthening the bearish bias they may be having for the October series.

The FIIs carried forward 743504 Longs from September 2015 Expiry in Index Put Option against 949134 Longs from August 2015 Expiry. The FIIs carried forward 144919 Shorts from September 2015 Expiry in Index Put Option against 161241 Shorts from August 2015 Expiry. Their Net Outstanding Open Interest in Index Put Option stands at 598585 from September 2015 Expiry against 787893 from August 2015 Expiry. That is decent reduction in Put Longs as well as decent liquidation in Put shorts with a decrease in the net outstanding,. The Put OI does not point to bearishness as compared to the August series here.

Thus, going by the FII data it looks like they are having a bearish/cautious stance on the Index going forward in October 2015. RBI has it monetary policy review scheduled on 29th September & may give them a clue to build the positions later on. The FED has pointed out that the rate hike may be coming 2015 year end & these statement will  keep impacting their bias till we have some clarity on reforms on Indian govt. front as well as from the FED.

Disclaimer :

All the charts are compiled on the basis of the data available on the website of the National Stock Exchange. Utmost care is taken for data entries & updating of the charts and we are not liable for any errors or omissions caused due to software and/or human error. Trading in Index Derivatives involves huge risk and should be done after consulting your personal financial adviser/consultant. The above charts are just a graphic presentation of the data and is not a recommendation to buy/sell or trade in any of the derivatives.  The usage of the charts is subject to terms of use of this site and is not a recommendation of any sort but is just for education/information purpose only. We hereby acknowledge that, justfintech.com being the official website of Justfintech Investment Solutions LLP, Mumbai, None of the Directors, Designated Partners, Authors or Staff are Registered with SEBI or any other  Regulatory Authority as Research Analysts or Investment Advisers. As SEBI has clarified that comments on General Market Trend, Broad-based Indices, Economic, political and market conditions, Technical Analysis on Demand and Supply levels do not fall under the scope of the SEBI’s Research Analysts Regulations 2014 hence we will be posting articles/posts/charts in accordance with those rules w.e.f 01-12-2014.