RM has been very kind to update a spreadsheet on Open Interest in the NF and the BNF.
The major point of this sheet is to identify the various auctions particularly the ones starting from single prints or from balance zones.
You can find this sheet at this link : RM's OI sheet
When we are watching delta in the trading room charts, we need to find a way to differentiate the change in daily delta from short covering to actual buying. Though it will not make a major change in the price move of the market if we know the above, it lets us know with the help of Open Interest the actual holding of market players.
As we saw in the NF charts the other day , the market continues to be short and today's OI position reflects an increase in short positions.
The chart shows the increase in delta from the 31st and being red it is all short positions from that date.
We also see 5975 as vwap and dpoc for this move and will be the minimum level the bulls have to overcome to make shorts running for cover.
Here's the BNF :
What stands out in RM's sheet is the OI reduction in BNF over the past 4 days. The cumulative from 31st however continues to show shorts holding though they are covering off at lower levels.
The chart above also shows a reduction from the lows in delta made on tuesday, however delta seems to suggest that the final few minutes in BNF had some more shorts opening up.
Since we are tracking this for the swing, we will see how that reconciles tomorrow.
We will discuss this in the webinar at 12.00 noon tomorrow.
See you there.