Today I came across glaring discrepancy in Put / Call ratio published by NSE. Take a look at it.
It mentions that the Put / Call ratio is 0.95 , the Put/Call ratio as on close of 12/06/2012 was 1.12. Does it mean anything ?
It would be normal on the day of expiration, such a massive change in ratio in middle of the month is worth looking. For a P/C ratio to fall, it denotes that huge put positions are liquidated or huge longs are created or both. Such change can be decisive for traders as liquidation or creation of longs of such scale denotes huge Expected volatility in underlying or a trade by informed traders.
To take a further dig in the ratio, I went to dissect, what has changed. ?
I was surprised to see no big change in OI (Open Interest) in Call or Put. The OI has increased in both calls and Puts. The change in open interest in Puts are more than change in open Interest of Calls.There lies the big question how can the Put/ Call ratio fall ? ???
It would need a different dissection in NSE reporting but let us take the figures at face value as of now and look for interesting outcomes of market in coming day.
| Home > F&O > Market Information > Historical Data > Business Growth in F&O Segment> Jun 2012 | |||
| Daywise Turnover | |||
| Jun-12 | |||
| Date | Index Futures | Total | |
| Turnover | ||
| |||
| cr.) | |||
| 444173 | 10077.83 | 1.01 | |
| 441058 | 9889.04 | 1.03 | |
| 400019 | 9094.9 | 0.91 | |
| 520113 | 11954.02 | 0.99 | |
| 427933 | 10046.77 | 1.06 | |
| 538746 | 12674.99 | 1.06 | |
| 466961 | 11139.51 | 1.14 | |
| 571735 | 13675.23 | 1.12 | |
| 447577 | 10799.2 | 0.95 | |
It mentions that the Put / Call ratio is 0.95 , the Put/Call ratio as on close of 12/06/2012 was 1.12. Does it mean anything ?
It would be normal on the day of expiration, such a massive change in ratio in middle of the month is worth looking. For a P/C ratio to fall, it denotes that huge put positions are liquidated or huge longs are created or both. Such change can be decisive for traders as liquidation or creation of longs of such scale denotes huge Expected volatility in underlying or a trade by informed traders.
To take a further dig in the ratio, I went to dissect, what has changed. ?
I was surprised to see no big change in OI (Open Interest) in Call or Put. The OI has increased in both calls and Puts. The change in open interest in Puts are more than change in open Interest of Calls.There lies the big question how can the Put/ Call ratio fall ? ???
It would need a different dissection in NSE reporting but let us take the figures at face value as of now and look for interesting outcomes of market in coming day.
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