Today’s post will be fairly long and have a few extra charts as we look at the short term auction, the weekly one and the longer term which has played out
Let’s go straight to the charts :
1) BNF weekly Futures composite –
Last week the BNF operated in the confines of the range established in the previous week.
The chart above shows an inside week with a value area inside that of the previous week’s value area highlighted in purple.
It shows clearly that larger money or OTF chose to stay on the sidelines as the market ‘digested’ the gains of the previous two weeks. Within this smaller value area we saw OI reduction in BNF during the week as I have pointed out in a previous post on the main blog.
Certainly there is a loss of momentum on the weekly scale but so far there is no evidence of aggressive shorts coming in, just mild skimming of profits
2) NF weekly of March Futures :
The NF profile tried to probe above last week’s high but was met with rejection as new buyers failed to show up.
Just like the BNF, the NF profile is also inside but we can see the value area drifting a bit lower in NF.
6560- 6510 is the weekly value area of the NF and any move lower that the weekly value low of 6510 is weakness .
3) BNF daily profiles
The chart above is the daily profiles of the BNF March futures which shows the range the index has been in since the 11th of March.
We see those 2 clear moves on the 7th of March from 11340 which have single prints and the 10th of March from 11800 which also have evidence of single prints or in MP lingo evidence of buyers in control.
Thereafter we saw the seller enter aggressively on the 11th of march as the auction made single prints at the top near 12340. These were neutralised on the 13th and the buyer has so far managed to keep the index up at the highs of the range.
The chart tells us that there are buyers controlling prices below 10900 but the seller has been neutralised at 12350 , so the market still keeps an up bias as long as we stay above 11900 within the 11900- 12350 bracket.
4) Chart of BNF on friday :
Friday’s auction in BNF was in a 100 point range which created an inside day and a balanced profile.
The auction tells us that a break of this profile’s value area at 12150- 12100 followed by break of range of 12180- 12080 is the trading opportunity which can set up a move to the extremes of the bracket of 11900- 12380 pointed out in the charts above.
It’s a potential 200 pointer and can be traded with a sl of 12110 vwap in either direction or VAL/ VAH depending on the direction of the breakout
5) BNF structure within the bracket
We started identifying this 11900- 12380 range fairly early as the end of the imbalance and the beginning of balance.
Our initial assessment was that it was a 3-1-3 in the 11820- 12240 range ( see post dated Pan for 12/03) but since then the profile has moved about a 100 points higher to trade in the 11920- 12360 region.
The initial 3-1-3 is in the profile dated 10th and 11th of march and the balance is seen in the profile dated 12th.
Thereafter a DD on the composite timeframe with a poorer volume participation is showing up as being built between 12330- 12030.
This would mean that the market may spend time between 12120- 12280 in next 1- 2 sessions to complete the structure.
The overall structure from the 10th may also be completing a bell balance and we can see a move now beginning to 12700 to 13100 again as long as the 12800 level holds in F
6) Longer Term View of BNF
This chart is a simple price – vwap chart of the BN spot.
The chart shows 2 tops near 13300 as well as the top near 12300 which last caused the fall to 9900.
The market is balancing here and a break is still a 1000 point trade in either direction even if you choose a market neutral approach here and trade the breakout of the current bracket .
8) Vwap of the series
As we move into the expiry week we are seeing vwap developing for the March futures at 11732 and the dpoc at 12100.
The bigger TF has moved to set value at 12100 and hence an expiry at 12100 is the preferred option for the BNF.
9) Nifty Longer term auction
I keep this chart of a vwap composite for the Nifty spot with volume taken from Futures every month to give us a vwap.
For the move which began at 2200- 2400 in 09 March we are seeing a 2SD band near 6700 and a channel which I have been tracking since dec 12 alos project 6700 spot as a top of the range.
Being a 2 SD band of the past 5 years of the auction in the Nifty it tells us that there is a 5% chance of the market surviving above 6700 for any extended period of time.
This does not mean that we will not go above 6700, (infact we can even rise to 7100 per the breakout targets of the last composite) but the chances of the move staying up above 6700 for several sessions is very weak in my opinion.
So if the markets do build up euphoria and climb high on election expectations at the end of April our little vwap tells us plainly that we should book profits and stay out . The chances of a further upmove are 5% on a monthly close above 6700.
10) Nifty last composite :
This chart above is the last composite of the NF which broke to the upside.
That range was 5970- 6350.
Using the principles of auction theory that range of the bell is 370 points and a break above 6350 spot gives us a target of 6350+ 370 or 6720 as we have pointed out in the vwap chart.
11) Nifty beginning to balance again
This chart above shows that since we broke above 6350 we have had an end to the up auction at 6570 spot we short of the expected 6700.
In such cases if the highs of 6570 is not taken out we are looking for a retest of old balance highs near 6350- 6360 as the market feels there is unfinished business left at those points.
12) Friday’s auction
Friday was a balanced profile in a 31 point range.
As mentioned above the market is undecided in the larger auction whether to continue going up to 6700 for the target or come back to 6350 for the test.
Hence such short term auctions often give clues on where the Market may be heading next.
Look for signs of the market staying below vwap or doing an IB extension lower to see if the seller is coming back.
On friday the market was neutral
13) NF daily profiles
The NF daily profiles chart shows a market largely in the 6515- 6595 zone except for a move lower on 14th which was largely pulled back into this balance.
There was an au auction tried the very next day which failed.
14) NF structure
The NF structure shows a balance between the 10th and the 13th which brought an end to the up auction seen from Mid FEB
The larger balance is being worked out at the moment
Plan for Monday :
1) In NF we trade a break of range above 6538 for 6567 anbd 6597 with a sl below 6521
2) Below 6506 we trade for 6475/ 6444 with sl of 6521 again
3) In BNF we trade a positive bias above 12190 for 12270/ 12370 with sl 12120
4) Below 12080 we trade for 11980/ 11900 with sl of 12140
Thoughts/ Feedback on the 1232 worder welcome.