Tracking PUT CALL Open Interest

[hiteshsjoshi]

You are right Dipesh. Thanks for pointing out but more for being watchful .... :clap:

Hitesh, pls recheck and edit your post above.
Also write on the first line of the post that you have edited the post and to re-read as the data has been changed so that ppl who have already read your post would know that there have been changes to the data.

Murtaza


btw Hitesh - where do you get your data from i.e. where do you get the OI from?

Thanks SM and Dipesh.

Here is what I do to track OI changes everyday:

I have an Excel Sheet to track the OI changes in a format same as the one posted by me everyday. I visit the NSE OI Site post-market hours (at about 1615 - 1630 hours) to get the OI for EOD. I use the "Open Interest" column to get the OI for a particular strike on that particular day. This data is then compared to OI for the same strike collected from the above site page, the previous day at about the same time.

I understand the data as shown by NSE "Get Quote Details" (e.g. 5100 CE) is different. But I dont know how things get changed over the period of post-market hours. Is Options trading allowed in post-market hours in some cases? Is the time followed by me to collect OI data is incorrect?

SM/AW10, would be better if you can throw some light in this aspect.

 

[subodh9]

Dear Murtaz Bahi,
Please check correctness of the below para. Let me know if there is any scope of improvement or discard it in toto.

Quote

The psychology of an investor is such that when markets are falling, he waits for a rise to sell and when they are rising, he keeps on waiting for that elusive correction. And if the rally continues for a while, it is impossible for the investor to justify an entry at higher levels. If an investor has not sold at higher levels, he cant do it at lower levels and if it hasnt been bought at lower levels, he cant gather courage to buy at higher levels.
Root of this problem lies in the favourite past time of investors, that is of index gazing.
By focusing on the index too much, investors get blinded and down their shutters on any stock idea. If you are fully or partially into direct equity, then studying sectors or stocks will help and give you the comfort that you are looking for and possibly a reason for you to tip toe back into the market waters, no matter how late that may be. Idea is to buy a small quantity at current rates and add more when the stock falls, averaging the price.


Unquote

Thanks

Regards,
Subodh

 

[AW10]

Thanks SM and Dipesh.

Here is what I do to track OI changes everyday:

I have an Excel Sheet to track the OI changes in a format same as the one posted by me everyday. I visit the NSE OI Site post-market hours (at about 1615 - 1630 hours) to get the OI for EOD. I use the "Open Interest" column to get the OI for a particular strike on that particular day. This data is then compared to OI for the same strike collected from the above site page, the previous day at about the same time.

I understand the data as shown by NSE "Get Quote Details" (e.g. 5100 CE is different. But I dont know how things get changed over the period of post-market hours. Is Options trading allowed in post-market hours in some cases? Is the time followed by me to collect OI data is incorrect?

SM/AW10, would be better if you can throw some light in this aspect.

Hitesh, In my view, what you are doing is OK. You goto same source (Option chain page of NSE site) and get the details from there.. You are doing it consistently so even if there is any mistake in source, the same mistake will remain on next day as well and both mistakes nullifies each other.

And lets understand what we are doing with this data.. We are just trying to assess at very high level the sentiment of market. So if delta of a strike is 15% or 18% makes no difference. In my view, both pass the same msg. Simlarly, delta of 70% or 63% still pass the same msg. So why worry about it (there are many more important tasks for all of us that needs our time).

Yes you can improve to be 100% perfect, and spend 4 hrs collecting the data which otherwise, u can collect 95% perfect data within 2 min by copy paste from the option chain page. I would alway go for 2nd choice.. as trading is a gray area and nothign is 100% perfect here. So as a trader, we got to accept and live with this.

Just my views.

Happy trading.

 

[MurAtt]

Visit the site a bit later ... I collect the data after 6pm and even more later as possible.
I have seen data changes as late as 6pm too. (Dunno why... )

BUT as AW has pointed out ... if 5000CE shed 15% or 18% hardly makes a difference ..
yes 65% does make a difference though ..

 

[hiteshsjoshi]

OI based on EOD from NSE Option Chain.

Underlying Value As on 16-NOV-2009 15:30:18 Hours IST : 5051.55

%chn 13/11_CE 16/11_CE Strike 16/11_PE 13/11_PE %chn pcr_16/11 pcr_13/11
								
			Nov 2009					
1%	263350	265600	4000	1148200	1195850	-4%	4.32	4.54
0%	26500	26500	4100	844450	877500	-4%	31.87	33.11
0%	28050	28050	4200	1346550	1355700	-1%	48.01	48.33
-1%	30200	29750	4300	1947350	2096600	-7%	65.46	69.42
-1%	78850	77850	4400	2770750	2863600	-3%	35.59	36.32
-7%	267750	249900	4500	4673900	4656850	0%	18.70	17.39
-6%	879550	824250	4600	4693850	5687700	-17%	5.69	6.47
-4%	2296400	2201750	4700	5825750	6189200	-6%	2.65	2.70
-9%	2684300	2436650	4800	6371000	6323550	1%	2.61	2.36
-9%	3137400	2864050	4900	6048500	5748350	5%	2.11	1.83
[COLOR="red"]-16%[/COLOR]	4191700	3526200	5000	5216500	4662850	[COLOR="red"]12%	1.48	1.11[/COLOR]
[COLOR="Red"]10%[/COLOR]	3362000	3688200	5100	1787800	1077250	[COLOR="Red"]66%	0.48	0.32[/COLOR]
10%	2732350	3006550	5200	258750	198750	30%	0.09	0.07
4%	1872200	1938800	5300	49850	51200	-3%	0.03	0.03
-1%	1211100	1204900	5400	33450	33700	-1%	0.03	0.03
-7%	907800	843300	5500	97700	102150	-4%	0.12	0.11
-10%	405750	363600	5600	45900	46150	-1%	0.13	0.11
0%	227550	228650	5700	38800	42550	-9%	0.17	0.19
-3%  24602800  23804550  Total  43199050  43209500  0%  1.81  1.76

 

[MurAtt]

Lets see if our data matches ...

Just 5100PE shorting ... but still OI not as much to evict fear in shorters ...

[B]13-Nov-09		16-Nov-09		
OI	Strike		OI	Strike	% Chng
PE s			PE s[/B]		
1075350	5100		[B][COLOR="DarkGreen"]1629400	5100	51.52[/COLOR][/B]
4621700	5000		4904600	5000	6.12
5614200	4900		5948250	4900	5.95
6239200	4800		6219100	4800	-0.32
5975100	4700		5818200	4700	-2.63
4813050	4600		4661900	4600	-3.14
4641700	4500		4679400	4500	0.81
2858250	4400		2762100	4400	-3.36
1431800	4700D9		1398700	4600D9	
2363500	4500D9		2561650	4500D9	
39633850		40583300		
					
					
[B]CE s			CE s[/B]		
1216250	5400		1175100	5400	-3.38
1869600	5300		1860700	5300	-0.48
2751300	5200		2903800	5200	5.54
3322200	5100		3765550	5100	13.35
3872050	5000		3575650	5000	-7.65
3045900	4900		2800650	4900	-8.05
2640550	4800		2425400	4800	-8.15
2278650	4700		424300	5600D9	
997450	5200D9		1384800	5500D9	
847100	5400D9		909900	5400D9	
22841050		21225850

Data based on Top 10 active CEs and PEs from NSE website and file provided by Alex.

 

[hiteshsjoshi]

Lets see if our data matches ...

Just 5100PE shorting ... but still OI not as much to evict fear in shorters ...

[B]13-Nov-09		16-Nov-09		
OI	Strike		OI	Strike	% Chng
PE s			PE s[/B]		
1075350	5100		[B][COLOR="DarkGreen"]1629400	5100	51.52[/COLOR][/B]
4621700	5000		4904600	5000	6.12
5614200	4900		5948250	4900	5.95
6239200	4800		6219100	4800	-0.32
5975100	4700		5818200	4700	-2.63
4813050	4600		4661900	4600	-3.14
4641700	4500		4679400	4500	0.81
2858250	4400		2762100	4400	-3.36
1431800	4700D9		1398700	4600D9	
2363500	4500D9		2561650	4500D9	
39633850		40583300		
					
					
[B]CE s			CE s[/B]		
1216250	5400		1175100	5400	-3.38
1869600	5300		1860700	5300	-0.48
2751300	5200		2903800	5200	5.54
3322200	5100		3765550	5100	13.35
3872050	5000		3575650	5000	-7.65
3045900	4900		2800650	4900	-8.05
2640550	4800		2425400	4800	-8.15
2278650	4700		424300	5600D9	
997450	5200D9		1384800	5500D9	
847100	5400D9		909900	5400D9	
22841050		21225850

Data based on Top 10 active CEs and PEs from NSE website and file provided by Alex.

I see that NSE Option Chain page and NSE All Option contracts page is not in sync. Check out the 5100 PE in these pages: Get Quote Details and Option Chain.

Why do they not sync up all the pages and which one should we consider as the correct one?

 

[MurAtt]

I checked during market hours, it is same ...

Would suggest you clear your browsers cache once and then recheck ...

 

[praveen taneja]

Bro any suggestion on 5300 call taken at 6Rs now 5 Rs net loss of around 17% in a day???/

 

[findvikas]

Bro any suggestion on 5300 call taken at 6Rs now 5 Rs net loss of around 17% in a day???/

my suggestion is to controlllllll I keep SL in spot rather than in options price as they just fluctuate too much to decide a SL level or target level.