Yesterday’s DD we noted is still controlling the market auction and only a move above those session highs can give the buyers some impetus.
Personally would have preferred the market to spend a little more time below 6200 .
But those buyers we saw on 18/11 had some other ideas.
Here is what we have been tracking in terms of OrderFlow all morning.
Notice the big defense of the lows at 6188 as buyers quickly mopped up all the orders at market prices.
In profile , this is what we call as intent or aggressive trading which is a player who has a view of what he wants to do next.
There is a little bit of selling near the POC of yesterday at 6229, but the orderflow is with the Buyer who is controlling the auction now.
Our earlier view remains.
The November series just got interesting after the gap up and the spike into the close yesterday.
The down move which was one time frame from 6360 to 6004 in the November Futures showed value drifting lower and any more fall would have seen some serious long liquidation in the markets.
Critically at the 6000 support, the market missed an opportunity to develop and has since moved higher based on short covering and quick profit booking of some early shorts.
The current profile of today is developing as a DD from yesterday and we are looking for signs of acceptance above current day highs .
This pattern of the profile marked by the minus development at the lows of 6000 would mean a retest of the 6360 zone in futures.
Time wise the DD pattern holds the key with a move above session highs sure to bring 6305 during the week.
Even a consolidation between 6210 and 6075 tomorrow will give the profile the required energy to travel higher.
Levels are all of Nov Futures.
As we have noted in the trading room, the BankNifty looks more bullish to test 11700 again in the coming days.
All said and done the Nifty is on track for the december target of 6632- 6652 spot.
As the Nifty begins a retrace of the recent downmove we have seen, here is a volume by price chart which will show us where the big volumes have come
We have a cumulative profile for November in blue on the right which is the net of the volume traded at every price from 6350 to 6000 yesterday.
Also we have individual profiles on the candles marked in green colors which represent the highest of the volumes that came in that day.
Today's high volume sits at 6110 as of 11.30 am currently.
Yesterday's high volumes were at 6035- 6040.
Up above we got heavy volume at 6151, then 6184 and 6208.
All Fut prices.
Here's a chart of the Nifty Spot which shows the number of days the market went in one direction between open and close.
What we have done in the above chart is that we have taken only the direction between the open and the close and not between the previous day's close and the current day's close.
This gives us a firmer idea of the directional conviction during the day and takes away factors like gaps etc.
So a close which is less than the open price of the day will be marked in red is the second pane and shows a seller being more dominant in the day.
Likewise a close higher than the open is blue and shows a buyer in control of the action,
The recent down move from Diwali day is now at number 6 and is the highest since the upmove began from 5120 levels.
There was a period in August when the market went down from 6100 to 5500 and that was 10 straight down sessions.
It's a simple way to see where the control is.
Here are the weekly profiles for the Nifty, BankNifty, Nifty Nov futures and BankNifty Nov Futures
The Blue shaded region is the weekly value area
BankNifty Spot :
BankNifty Futures :
Nifty Futures :
The pink shaded above is the weekly value and the profile is split to show the movement
Here is a volume by price chart sent by Viren for the NF which traded on Sunday
The chart shows high volumes of the day in red and are around 6355 mainly.
All of them are in reasonalble profits at current prices of 6290 in the futures.
That zone of 6355 will play out in the days to come as an important zone.
The Buy Auction which started on RBI day is still ongoing with volumes and data pointing to buyers dominating the action.
At this moment we don't have a counter response from the seller even as the NF trades at ATH.
Auction theory- The market will continue up till the last buyer has bought or it moves up till there is a counter response and the seller finds the price to be attractive enough.
As we look back into the October series, it's been a buyer dominated one and the buyer has stamped his authority through October.
In our last post – https://vtrender.com/content/september-series-charts, we had noted the September series vwap to be around 5734 for the expiring Fut or roughly 5700 in the spot.
That happened to be the low of this current series.
As we move into November the current vwap is at 6035 in cash.
As Profilers we know the market's medium term trend will not change till we get a close below this number.
Keep an eye out for 6035 through November.
We also note 6090 as a high volume node which marks the place where the maximum interest lay this series.
Above vwap, this would be the level the Buyer will first try to defend.
This is a chart of the bankNifty cash index.
By virtue of that move on RBI day, the BN finds itself trading above monthly developing value and POC.
Vwap is at 10480 which looks like a short term base now for the medium term.
Supports for any major fall would be 10800 now.
As keen followers of Auction Market Theory and Volume at Price, we are keenly interested to know the kind of volumes which move the market.
Since the start of this year RM who gives us the daily McClellan readings has devoted a lot of time and energy to trace the footprints of one particular section of traders popularly known as Foreign Institutional Investors or FII's in our markets.
The helpful data from the NSE now ensures that we do get daily reports more on the likes of the Commitment of traders ( COT) report popular worldwide.
We track this data for a few reasons
a) It helps us ( as Viren says) keep an eye on the neighborhood
b) It shows us what the larger institutional desks are doing everyday.
c) This part of the market is very transparent and represents often times over 50% of the traded daily volume.
Here is a chart which was made by RM 2 days back on the Open Interest in futures and the FII role in them.
The chart is annotated and FII index Future longs and shorts can be compared with the total open interest of the market.
One thing which stands out is that every big upmove has happened with a fall in the red line or the shorts held by FII's.Most rallies have happened this year on short covering than active buying at the lows. The actual buying has come much later as the green lines would show.
A few days back I had covered in a post the September buying at 5700. That post is here : https://vtrender.com/content/vwap-September-revisited
When the Market hit 5700 the first time on 4th September , the total Open Interest in the Market in Nifty Futures was about 5L contracts and FII's held about 38% of the longs in the market that day.
Today when the market is at 6100, the total open Interest in the market is roughly the same around 5.2 L contracts , but FII's have increased their ownership in long positions from 38% to an astounding 76 % as of yesterday's close.
That 76% figure would alert us to the possibility of some profit booking and hence we would be checking the daily stats to see if there are signs of some profits taken after every fall.
On Tuesday though, they added 28620 long contracts in futures and showed no signs of taking profits off the table.
Watch this space for updates.
In the trading room of Vtrender we have been tracking for quite some time a variation of an Initial Balance setup first popularized by Kris and RM .
The set up is that after an Initial Balance ( IB) is formed in the first hour, we are on the look out for range extensions in the next 30 minutes.
When such extensions happen in the period between 10.15 am and 10.45 am , we are then looking for the market to come back into the IB, following which we get a trade setup activated which takes the market to the other extreme of the IB.
Hope Fully this chart would explain it better :
The blue horizontal lines are the Initial balance (IB) or the first 60 minutes of the day.
Time wise it is being represented by the purple lines.
The orange lines are the next 30 minutes or the period between 10.15 and 10.45 am.
If it enter IB again from day high to below IBH it is a short and represented by pink in the chart ( pink will be on top of the orange)
If it enters from IBLow and goes up it is green ( green on top of the orange).
We have three variations of this set up in the past three days.
Monday we went short, tuesday the setup was long and today the condition was not met, so no trade alert was there.
Let’s look at these conditions for the trade to set up :
Here is a revisit to a post we have done earlier on the bias each day carries between the open and the close.
That first post on the subject is here – https://www.vtrender.com/content/nifty-daily-stats-3
You may like to revisit that to check results from that time to today.
This is of academic interest rather than a trading strategy but may have relevance to traders who trade the cycle between Monday and Friday.
To re – emphasize we are tracking the move within each day that is from Open to Close and if the Close is greater than Open then the day is a plus day and negative if the close is less than the Open price.
What this ensures is that we do not get any baggage from overnight news or gaps as the day session plays out.
The lower panes each are marked with the day and give one bar every week.
We can see that the last three Monday's have gone down sizeably from open to close and that tuesdays' have been up in the past one month.
Here is a longer term view of the same data to see how it has played out.
There has been a big chop in the way the data has played out from the last post.
But the common denominator still seems to be Wednesday which continues to be the best bet for taking a long position at the start of the day and carrying it to the close.
Here are the trades executed in NF today between 10:20:31 and 10:20:32 this morning.
It started at 5908 and ended at 5990 and all happened in that one second.
Notice the bid- ask spread at 10:20 :32 between 5945 – 5990 which was the reason we got that high tick.
Buyers and sellers match and a trade is done in this case at very high volumes.
The total volume from the 5908 tick measure 949450 shared in NF and those at 10:20:32 was 824050 in volume.
A quick post with reference to a previous view on September's vwap posted here- https://vtrender.com/content/september-series-charts
We saw september as a series filled with short covering and longs and basically what we call in market profile as one time frame movement.
Such series often get to visit the vwap to test buyer/ seller strength.
Here is the NF September series with it's volumes overlaid on Nifty Spot so that we still get the volume weighted average price ( vwap).
The chart is ofcourse the Nifty spot or cash chart :
Vwap tagged to the tick and we have a lift off !
Here is a Volume by Price chart of the September Futures (expired contract).
The Purpose of the chart is only to see and note the volume weighted average price (vwap) of the series as well as the region where the highest volume occurred.
The Orange is the vwap of the series and the yellow is the 2 Standard deviation of the vwap line.
The white horizontal lines are the Point of Control or POC.
The black horizontal bars are the volume at price.
The Value area is in purple.
The Market did not put in a normal distribution in September, so to me the value area of September is not important.
But the POC and the vwap of the above distributions are the most important points.
The vwap of September was at 5734 and the POC was the closing price or expiry price at 5882.
All prices are of course Sept Futures.
The rollovers were at a 65 point premium , one of the highest I have seen in several months .What it does is, it makes it difficult for a long only trader to hold on to a long position especially if price moves against him quickly.
A few things which stand out in the chart and something which we talk about in the trading room everyday
1) The Market tested vwap on 3rd / 4th Sept for new sellers, broke lower but could not find any and carried up above vwap all month. Buyers breathe above vwap freely.
2) It's never advantageous to buy a 2 SD or a 3SD vwap touch. You are playing a trade with a 5% chance of winning.
3) The test of vwap is due sometime again soon based on this chart ( +/- 25 -30 points to account for OCT premium).
4) The Market will be under pressure below the high volume zone of 5882 and is likely to witness increased selling if vwap is not defended.
5) If the POC and the vwap are carried with volumes to a Nifty Spot chart then vwap is 5709 spot and POC is at 5869.
The BankNifty Sept Chart is below with the same logic as above
The above data is all market generated information.
It's the market's levels and something which the market would respect.
We trade the market with it's levels, not of our own!