Between Girish, Rm , Kris and myself we have been exchanging notes on how best to use the delta in the trading room from NF and BNF with the Open Interest Figures updated by RM every day at the close.
The Delta is available in the trading room and the OI figures are also available in the today tab on the right.
This exercise would be to merge the two to see if we can gain additional information from the flow of hot money across instruments.
What we have done is to identify entry points on the charts where single prints have come and use them as starting points for a trade.
Next we will track Open Interest from this point as also the delta change and see where the market is headed.
Initially we will do this for the Nifty and the BankNifty.
We identified Jan 31st as the day the new auction started. that chart was posted here- http://vtrender.com/content/waiting-new-auction
Point 2 in the chart has single prints and is the new auction . We can see how the market has developed since.
The chart above is showing the profile cumulative from that day, the vwap from that day as well as the dpoc and the most important point is the delta at the top.
As you can see the delta has just kept increasing and the market is with sellers at the moment.
The session on the extreme right is the current delta position which shows no let up in the selling.
Here;s the Intra day OI picture in NF :
We do not see a big change in the Open interest today in NF.
RM would be adding to this section by including an excel sheet with the total OI from 31st Jan,
Now we know that the change from 31st Jan is all sellers and any decrease in that OI will alert us that sellers are clearing up positions in Feb series.
Here is the BNf chart :
At the fag end in today's session one can see a change in delta as shorts look to have closed.
Here's the intra day OI picture :
Notice the drop in Open interest at the close as the market was closing.
These are signs that some shorts have chosen to come off in the banknifty Feb future.
We will continue monitoring this every day.