Month: February 2011

I will just do a simple copy-paste of some analysis we do at Vtrender Live based on Market profile charts :

( Charts are not included)

Profile charts for 24th Feb : Posted by Shai at 10:00 PM , Wednesday, February 23, 2011

Bank Nifty :

– The poor lows created around 10800(-40) gave way today.
– Positions can be carried below 10616 for 10165 with a closing stop at 10830 for a 450 point move.
-Only 10400 is a minor support below 10616

Nifty :

-5367 is the top of the minus development region from 11/2.
-Below 5367 we can see 5229 all over again and a possible 4975.

SBI :

– New selling activity clearly seen off 2724 at the open.
– SBI attempted today to break into the buyer zone of 11/2 and 14/2 in last 45 mins of trade.
– As a leader of the rally, we wait to see if it confirms a break early below lows for 2514 as a target.

Reliance :

– An inside day today in RIL.
– a break of 986/ 1016 can give 20 points either direction.

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Profile charts for 25th Feb : Posted by Shai at 11:15 PM , Thursday, February 24, 2011

BankNifty :

– support zone at 10160 close by ( to be watched at the open)
-risk/ reward does not favor new shorts here.
-10560 is the pull back high above which short term trend changes to up.

Nifty :

-Like the BankNifty, the Nifty also moved swiftly through the minus development region.
-With two minus development regions back to back the odds increase of a rotation in the 5250-5375 zone to fill up the volume and form a distribution curve.
– lower side support is 5229
-upper side resistance is the pull back high of 5391.

SBI :

– SBI opened in the spike area of Wednesday and continued lower.
– 2514 almost done. is a good support zone.
– Holding 2514, is expected to rotate to 2644.

Reliance :

– Inside day broke to the downside and hit 966.
– 966 represents upper end of the prior bracket, as also gap fill.
– One can take a long position here for 991/1010 with a stop at 952.

At the time of this post, the Nifty futures are at 5335, SBI at 2615, Relaince at 982 and Bank Nifty at 10430.

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From Vtrender Live

We just finished off an extremely non-volatile expiry day with price probing lower all day and a session which closed at the lows.

The day was extremely profitable for a lot of us at Vtrender Live, with OrderFlow doing the bulk of the work for us.

With expiry out of the way, next week also promises to be an eventful one, starting with the budget session on Monday.

It’s always been our endeavor that we offer the best of our tools and our experience to you to ensure your profitability in return for a small monetary consideration from you for our time and attention paid to your details as a win-win situation.All this whilst ensuring that you see the same charts as I do and trade the same way as I do.

With that objective, we want to introduce a small offer for you to get a feel of what we do at Vtrender Live.

Come trade with us at Vtrender Live all of next week for Rupees 999/- only and catch the movement of the market as it unfolds through OrderFlow indicators and Market profile Charts.

This offer is valid only for next week, starting Monday 28th Feb and ending on Friday 4th March.

What it includes :

– Access to the Vtrender Live Trading Room for 5 days
– Live charts of the Nifty, BankNifty, Reliance and SBI delivered to your desktop.
– OrderFlow indicators within charts to ensure the right trades for yourself
– 1-3 calls everyday on Nifty / BankNifty with very clear entry, stops and targets.
– Real time analysis of market action
– Audio seminar everyday at 10.00 am and 2.45 pm on the day’s developments
– Answers and assistance on individual positions
– Education on Market profile

What it does not include
:

– sms alerts ( only for regular subscribers)
– Access to
Vtrender Live site and the analysis there ( only for regular subscribers)
-analysis on other positions besides the 4 instruments mentioned above

The weekly offer is only for the coming week. If you are interested in being a part of the team, then you can send your subscription for the weekly offer by following this link.

We begin On Monday 28th Feb at 9.15 am and you will be accommodated in the same room as our regular subscribers and have access to the same tools as they do.

See you there.

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Vtrender Live Weekly offer

Over the weekend, Viren had posted an interesting chart about the Point of control for the series holding price down and a flat market for the week.

Unfortunately the profit for the straddle has been severely affected by a rampaging Vix which has put paid to hopes of a theta decay for most writers from last week.

But the importance of the chart for direction cannot be undermined.

The Vix range for expiry tomorrow is 5500- 5381 and the market should operate within that range tomorrow provided we do not have another 10 % bump-up in the Vix during the day.

The values developed for the series are 5385-5475-5553.

5475 has been a pivot around which most of the trading has been happening and attempts to break down below 5429 have been stopped by an adamant VWAP which has converted those moves into day lows right around there !

Very clearly fresh downward impetus will be below 5385 and upward bias will resume over 5553 for the month of March.

My charts indicate new shorts in march futures at current levels, could also be rollovers, and we would wait for price to confirm that downward bias.

For tomorrow, there is a 30 point trade above 5460 to consider, a 20 point trade below 5427 and a further 30 points from there to work out of.

Happy Trading.

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Expiry for Feb

Here is some recent Vix discussion from the trading room :

The excerpt in unedited and recent :

[10:55] Shai C: a higher vix and lower price is actually a false notion of the mkts
[10:55] Shai C: does not happen all the time
[10:56] Lingaraju Haralahalli: Shai, I fully agree on that
[10:56] Shai C: maybe when people buy and sell india volatility, the corelation will be better
[10:57] Chandra Shekhar: LH… just read something on nseindia online. It is computed from option prices itself. So it should be higher because option writers are asking for higher prices and buyers are paying those prices.
[10:57] Lingaraju Haralahalli: But the VIX stops rising or falling whenever indices are abt to reverse their direction many times
[10:58] Chandra Shekhar: those of you who may be interested, here’s a small writeup with a link to bigger paper …
http://www.nseindia.com/content/vix/India_VIX_comp_meth.pdf
[10:58] r m: VIX is calculated from Option premium volatility so the pain to writers means higher VIX
[10:59] Lingaraju Haralahalli: Yes may be even with wild nifty movements. But to calculate VIX as per option premiums defeats the very purpose
[11:00] Shai C: agree
[11:01] Shai C: and considering how lopsided the option mkt is, it fails to impress as a lead indicator
[11:01] Chandra Shekhar: LH… according to my theoretical knowledge, volatility is calculated over historical data but market is interested in future volatility which is better reflected in current prices at which options are getting traded.
[11:02] Chandra Shekhar: no doubt if markets are not liquid and highly competitive, such calculation based on recent premiums would tend to become meaningless
[11:02] Lingaraju Haralahalli: Yes it is playing into the hands of Option writers/market makers
[11:03] r m: @CS, it is calculated on the basis of near and next series Out of Money option spreads
[11:03] Lingaraju Haralahalli: All in all there is no level playing ground in options mkt
[11:08] Shai C: http://www.scribd.com/doc/19240573/Volatility-Index
[11:08] Shai C: another paper on india vix
[11:11] Lingaraju Haralahalli: Yes RM. You r right. There is no evil in the methodology. But we are entitled to a volatility index which will reflect on the Index movements as the presenr VIX as Shai rightly said fails to impress as a lead indicator.
[11:12] Chandra Shekhar: thanks Shai… that’s a good paper
[11:13] Chandra Shekhar: LH… I believe a lead indicator is just a dream. Volatility calculated with historical data is far removed from current conditions. Atleast VIX is based on current market quotations. There is nothing else really
[11:16] Lingaraju Haralahalli: CS Yes it makes sense. Agreed

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Vix

After two days of activity, the Nifty Future has managed to close at exactly the developing point of control and today’s lows were exactly at the VWAP for the series.

Viren’s charts posted over the weekend haven’t changed much and neither has been the assessment for the series.

During such times it is better to sit back and let the action unfold through pre-determined levels ( Value areas suggested by him) than alternate between buying and selling views for every 40 point move the index makes.

Speaking of taking views on buying and selling, our OrderFlow indicators continue to amaze us with their accuracy even in these side-ways markets.

As a trader, you only want to be on the right side of the days trend and whilst you may not be able to capture every rupee from the markets, our OrderFlow indicators at least help us to decide which side to lean on for our trades.

It’s a strict “No” to trade opposite the main trend as indicated by the OrderFlow Red-Blue.

Have a look :

The Order Flow captures all the moves of the market and occasionally when it goes side-ways, it tells us to lie low or trade less aggressively than we normally do.

You don’t need great technical analysis to know which side to trade on. Short when OF is red and Long when OF is Blue.The two reversals (blue OF) at 10.00 am and 3.00 pm with each measuring 40 points tell us clearly when the trend is changing and are a warning to book existing profits if not to reverse the trade.

Here’s the bank nifty :

It’s great to see such a volatile instrument being tamed to such perfect signals by the OrderFlow indicators. 6 signals in 2 days and each measures over 80 points at the minimum.

You just require two things to trade the OrderFlow :

1) belief in the method ( we have put all the thinking in the indicator)
2) patience.

with these two things, you will surely “kick the habit of losing money in the markets”

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OrderFlow

I apologize for not posting regularly. Most of last week I was so overwhelmed with lots of tasks/meetings/travel that I couldn’t post.

Summary:
1. With expiry week weighing upon Nifty, Friday’s action seemed like cows coming back home after grazing the entire day. The range for expiry as indicated by options table is 5400-5500
2. 5500 is the resistance. With 14L new calls added with VWAP of 56 bucks on Friday it would be interesting to see if these new call writers – with almost no time premium for expiry – will hold on to their calls till expiry. One the same lines 32L 5500PEs covered.
3. 5400 is the current support with a monstrous OI of 1 Cr+ and only 5L covered on Friday despite an almost 150+ point intraday fall 
4. For March series highest OI of puts is at 5400 (40L) and highest OI for calls is at 5500 (17L)
5. PCR dipped from 1.28 to 1.18 – due to call addition and put covering @5400/5500


Nifty Futures:
Feb: 2.49Cr OI down 4% (10.7L shares cut)
March: 58L OI up 51% (19.8L shares added) — 50% more roll over on Friday


Banknifty Futures:
Feb: 10.8L OI up 4% (0.45L shares added) – BN still suffers from OI deficiency but the trend seems to be that more OI is getting added after the low of almost 10000 was made day before ‘Bad IIP day’. 


Market makes the news and not the other way round:
Just wanted to point out that this massive 1300 point rally in Banknifty & almost 400 point rally in Nifty – started on the day when bad IIP data was announced. 
Still not convinced about the fact that its not the news that makes the market but its the market that makes the news? – Wake up Sid!

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Options/futures data for 18th Feb 2011 (EOD)

Viren here.

My current commitments prevent me from watching the market action in the way I love, the screen flickering every second in front of me.

Even though it’s painful to see so many opportunities pass by, I take recourse in the next best thing I know.Swing Trade with Market profile.Actually Market profile is a great tool, if you want to trade options, especially if you understand the ebb and flow of market behavior.

With expiry next week and the markets coming off the resistance of 5577 and the support of 5370 close by ( All NF Prices ), I wrote the 5500 March Calls and Puts late yesterday for a combined premium of 312.

Let’s look at the charts and see what is in store next week :

The chart has a volume profile chart for the feb series overlaid with delta at the bottom which is the net difference between the volume traded at the bid prices and the ask prices.Delta is the effective volume and can be used as a replacement for the combined open interest in options as well as futures. A positive delta is akin to new money entering the markets and the opposite is also true.

To explain the charts I want to use a similar style employed by Shai in an earlier post.

Point 1 : Lows of the feb series
Point 2 : Low of delta. Notice how delta stopped going down earlier to price.
Point 3 : A pause at the Developing point of control
Point 4 : Delta moves up
Point 5 : Price at Developing value high
Point 6 : is DPOC again
Point 7 : Point 7 is vwap at 5421 currently
Point 8 : Value low at 5385 . Support on closing basis.
Point 9 : Delta at the close. Much higher than point 4.

Inference : Price between VWAP and DPOC for the series as of the close on Friday. Upper break out levels ( VAH ) and Lower breakdown level ( VAL) clearly defined.

Bank Nifty :

1) The difference between this chart and the one posted above is that delta is net positive for the bank Nifty.
2) Price is above VAH
3) VWAP and DPOC at 10587 ( very strong support )
4) Green lines are the value areas.
5) even though delta came off on Friday, it is relatively higher than the open on Thursday.

Inference : Region around 10820 can be used as a stop n reverse for a move higher.

Back to the 5500 straddle :

1)The POC is the best time to write an option as price tends to rotate around it.DPOC is 5475 and hence the 5500 strike was chosen.

2) Exit of the losing leg would be a break of value either side.The position should be profitable by upto 15 % on Thursday if price hold up around 5500 and volatility does not increase much.

Have a great weekend.

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Expiry