F&O – Open Interest Report for 22nd June 2016

After a quiet day on 21st June 2016 where Nifty Futures traded  in a range of 48 points, we had a reasonably action packed day in the afternoon. Till 13.40, the range of NF was 8206 and 8253. Then suddenly  selling started and within 10 minutes NF made a low of 8154. Later it slowly went up and closed at 8205.

Foreign institutional investors  (FIIs) were net sellers in cash segment with a net sell figure of Rs 41 crores and Domestic institutional investors (DIIs) were buyers to the tune of Rs 361 crores.

F&O segment

In Index futures , the open  interest was down by 13,124 contracts as the Clients and FIIs closed out some of their positions before the BREXIT event. FIIs shed 7,817 contracts of index futures longs and closed 78 contracts of shorts.

In Index calls, Clients added a whopping 60,291 contracts longs and also added 22,175 contracts shorts.
FIIs shorted 9,138 contracts of Index Calls and trimmed longs by 122 contracts

Pros added 33,099 contracts of Index calls shorts and also added 4,242 longs

In Index puts FIIs added a net of 3,262 contracts.

Delivery statistics of selected stocks

Nifty futures Volumes at Day High and Day Low

Put Call Ratio (PCR)

PCR of 8200 strike has fallen below 1 and 8300 PCR is 0.3

Max Open Interest is at 8000 PE and 8300 CE

8000 PE  is quoting at 40 and 8300 CE is trading around 55 with 8 calendar days to expiry

Nifty Futures hourly chart has a triangle of 200+ points. I am expecting an explosive move after Britain’s EU referendum of at least 100 points up or down depending on the outcome of the event.