FII – Index Derivatives Expiry Statistics – 25-02-2016
We have ended the 2nd Expiry of the year 2016 with the S&P CNX Nifty Index starting off the February 2016 expiry on a flat note and making an attempt to scale above the 7600 level on 01-02-2016 & failing to scale up. The index broke down below the psychological level of 7000 on 11-02-2016 and made a fresh 52 week low of 7869 on 12-02-2016 which was still above the May 2014 Election results week low of 7862.90. The index later struggled to scale above 7200 in the pullback and finally broke down below 7000 once again to end the expiry at 6970.60. The Nifty futures February 2016 contract closed at 6968.5 while the March 2016 Contract closed at 7001.10. 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 that started in the beginning of the year has lasted through the February expiry as well and we saw a lot of volatile moves with the IndiaVix inching up. We will keep tracking this data as we await the Budget 2016 on 29th February 2016. The FIIs may build positions later on after they get a guidance from the Budget and any fiscal policy changes pertaining to Long Term CGT and STT in the budget may clear a lot of rumors that have clouded the social media in the past few weeks.
Now, lets have a look at the FII – Index Derivatives Expiry Statistics – 25-02-2016 Expiry Series
INDEX FUTURES LONG, SHORT AND NET OUTSTANDING CONTRACTS
The FIIs carried forward 84349 Long contracts from February 2016 Expiry in Index Futures against 60694 Long Contracts from January 2016 Expiry. The FIIs carried forward 151336 Short contracts from February 2016 Expiry in Index Futures against 135505 Short contracts from January 2016 Expiry. Their Net Outstanding Open Interest in Index Futures stands at – 66987 ( Net Contracts ) from February 2016 Expiry against -74811 from January Expiry. The Net Outstanding is Short and has decreased by 7824 contracts on Expiry on Expiry basis, where they have decreased their Long contracts by almost 40% as well as increased their Short contracts by almost 15%.
INDEX CALL OPTION LONG, SHORT AND NET OUTSTANDING CONTRACTS
The FIIs carried forward 184238 Long contracts from February 2016 Expiry in Index Call Option against 185234 Long contracts from January 2016 Expiry. The FIIs carried forward 230882 Short contracts from February 2016 Expiry in Index Call Option against 227324 Short contracts from January 2016 Expiry. Their Net Outstanding Open Interest in Index Call Option stands at -46644 ( Net Contracts ) from February 2016 Expiry against -42090 from January 2016 Expiry. This shows almost 10% increase in Net Short contracts in Net Outstanding Call OI going into the March 2016 Expiry, which shows their bearish stance in the expiry rollover. The Index rally has been led by Call option buying by FIIs in recent past and they flip positions at a rapid pace when they reach extremes so any addition in call longs will be an early indication of a trend change.
INDEX PUT OPTION LONG, SHORT AND NET OUTSTANDING CONTRACTS
The FIIs carried forward 318438 Long contracts from February 2016 Expiry in Index Put Option against 340209 Long contracts from January 2016 Expiry. The FIIs carried forward 47592 Short contracts from February 2016 Expiry in Index Put Option against 43283 Short contracts from January 2016 Expiry. Their Net Outstanding Open Interest in Index Put Option stands at 270846 ( Net Contracts ) from February 2016 Expiry against 296926 from January 2016 Expiry. That shows a reduction of 26080 in the Net outstanding, which consists of reduction of Put Longs and approx 10% addition in Put shorts.
The data points to a neutral start as its just above the average shorts carried forward by FIIs and we may get further clues post 29th february once they start building up positions further.