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.