Wednesday, June 13, 2012

Put / Call Ratio at the end of 13/06/2012

Today I came across glaring discrepancy in Put / Call ratio published by NSE. Take a look at it.

Home > F&O > Market Information > Historical Data > Business Growth in F&O Segment> Jun 2012
Daywise Turnover
Date Index Futures Total
No. of contracts
Turnover Put Call Ratio
01-Jun-12 444173  10077.83 1.01
04-Jun-12 441058 9889.04 1.03
05-Jun-12 400019 9094.9 0.91
06-Jun-12 520113 11954.02 0.99
07-Jun-12 427933 10046.77 1.06
08-Jun-12 538746 12674.99 1.06
11-Jun-12 466961 11139.51 1.14
12-Jun-12 571735 13675.23 1.12
13-Jun-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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