Month: November 2012

The last 2 sessions in the Nifty and the BankNifty saw FII's make purchases of 2650 CR in the cash segment and 3700 CR in the Index futures.


Do you want to know where this buying happened?


Have a look at this chart :



In market profile the most common way to look for longer time frame activity is to check for single prints.


Single prints are areas of institutional activity where we see a quick rejection in the form of a strong movement away in a short period of time.


Refer to the glossary here-


In the chart above we see more evidence of this institutional activity in the highlighted green boxes.


When you see that one should not take a bias against these players and it pays to be on their side always.


Coming back to the market today, at some point of time we need to see this imbalance ending and a distribution happen.


Remember the market flow is from imbalance to balance and back to imbalance.

Institutional activity

Here are two volume profile charts of the Nifty and the BankNifty futures showing the distribution of volumes over prices through the November series with 1 day left for expiry.


Nifty :



Last month most of the rollovers took place in a narrow range between 5728 and 5756, so it was expected that this series may have some volatility.


In fact the profile picture above shows the market's liking to 2 distinct zones , one at 5740 and the other at 5640.These can be seen from the black graph across the chart.


The shape is that of a DD with the Nifty resting at the upper volume level of 5740 currently. The extent of the move in the past session and the fact that we hit the volume pocket shows that we may not move much ahead above this point for expiry.


The series volume weighted average is at 5680 and price staying above this will definitely give a positive bias to the next series.


As we know from market profile, buyers are in control above VWAP. Also value high at 5730 near the POC will give a positive spin to the index above this value line for december.


BankNifty :



Unlike the Nifty chart above which is a DD for the series the BankNifty profile looks more balances with a single distribution centering at 11512 in the futures.


The value area developing is almost the same as the OCT value area indicating acceptance of these prices after the big move from 10000 from 2 series earlier.


The 11500 zone will continue to be a pivot around where the next large moves in the bankNifty should emanate from,


11500 is also the series vwap and gives the bias to the buyers again for the banknifty.


Developing value high is again places near 11700 like the October series and will be an important level for further upsides in the bankNifty.

Volume profile of Nov series

The Prime levels are updated in a sheet periodically by us .


The link is here-


You can also access it through the today page and the link is open to all.


The prime levels are made on the last big auction in the markets and is independent of clock time as measured in hours, minutes or days.


We believe in auction theory that the markets move in the way they want based on buy-sell pressures and is independent of time. It's for this reason we refuse to calibrate the market in minutes or hours.


Coming to the subject of the post, the most important number in the prime levels sheet is PP0 which is the number to get the bias of the market. The market has tilted to the buy side when it moves above pp0 and to the sell side when it moves below.


The levels PR1 and PS1 represent extremes of the current swing and a market which moves beyond these points is known to have changes the swing and is likely to move to PR2 and even PR3 or PS2 or PS3 as the case may be.


As an example today's PR1 in NF is 5642 which the market has to take out to reverse the previous swing down.


Similarly the BNF took out PR1 at 11434 yesterday and promptly moved to PR2 11521 today and may even get to PR3 at 11608 or closer.


These are not absolute numbers but important supporting tools to get the bias of the market right.



Prime Levels

Here is an updated chart to the one put up on the blog on friday-2/11.-



The market has moved about 20 points on either side of the poc at 5703 but the structure remains the same and the profile still shows balance.


The merged profile has energy and holds the potential to swing one way . We still believe, as we did on friday that the move will be up to look for buyers on the other side.


Meanwhile ahead of the US vote have a look at the profile chart of the SPX



This chart was posted last on 22/10 – and we had noted 1403 as a destination trade for the spx.


Subsequently the market made a low near 1403 in the cash index and proceeded to form a balance around there. That was followed by a move to the high volume print of 22/10 again where rejection happened again.


At the moment 1427 remains initial resistance with support defined at 1403 and then 1398.The seller is still strong and holds the advantage in that auction.

Nifty and the Spx- Look ahead