On twitter today Viren ( @VirenRasquinia) made an interesting observation on the holding of FII's in index futures.
With today's EOD data the shorts have added 249445 contracts this series and from the 14th this addition is now 197156 contracts or roughly 79 % of the total short buildup this series.
The ever dependable RM (@sharma_rm) maintains a neat data base of the FII activity. Here is a snapshot
What started off as long liquidation on the part of FII's is now metamorphosing into a short buildup rarely seen before.
My immediate interest and the subject of this post is the short buildup in index futures from the 14th of August prior to the Independence Day holiday
If 80% of the short interest has come in a week's time then it does set up an exciting series close considering that we have only one week left to expiry.
So I plotted a volume at price chart along with a vwap from the 14th to see how the new shorts are placed after today's rally.
The vwap from the 14th is around 5450 NF. This will be the price below which the shorts are expected to be comfortable or stable.
If you check the OI graphic on tuesday 20th Aug FII's had not built longs in futures or even options and hence that gap up was quickly faded.
Even today's data does not show long buildup in futures, infact they have sold futures into today's rise.However the shorts entered at 5700 and 5595 in the chart above are profitable and have an option to book if price probes higher.
So we'll watch 5450 ( +/ – 20) for signs of further shorts or short covering in tomorrow's session.
Anything is possible in the markets of today and just being an FII does not grant one immunity from market losses. Tomorrow is the weekly close too ahead of what has been a big series.