Trade Date SPOT Close FUT Close Open Cummulative FUT % Chg

Interest (OI) OI
10-Sep-20 11,449.25 11,455.35 9,996,900 10,797,375 1.31 %

9-Sep-20 11,278.00 11,306.90 9,884,625 10,634,775 -0.11 %

8-Sep-20 11,317.35 11,319.85 10,544,625 11,221,050 -0.41 %

7-Sep-20 11,355.05 11,365.90 10,743,150 11,421,525 0.12 %

4-Sep-20 11,333.85 11,351.75 10,749,450 11,413,950 -1.66 %

3-Sep-20 11,527.45 11,542.80 10,777,050 11,384,475 -0.16 %

2-Sep-20 11,535.00 11,561.50 10,584,825 11,186,400 0.44 %

1-Sep-20 11,470.25 11,510.95 10,145,325 10,729,800 0.96 %

31-Aug-20 11,387.50 11,401.95 11,209,650 11,782,950 -2.34 %

28-Aug-20 11,647.60 11,675.25 12,217,425 12,723,225 0.82 %

27-Aug-20 11,559.25 11,580.05 11,721,450 15,216,975 0.13 %

26-Aug-20 11,549.60 11,564.90 8,407,950 13,556,700 0.72 %

24-Aug-20 11,466.45 11,474.15 8,358,450 11,693,925 0.85 %

21-Aug-20 11,371.60 11,377.20 9,365,775 11,867,475 0.64 %

20-Aug-20 11,312.20 11,305.40 9,541,425 11,615,475 -1.01 %

19-Aug-20 11,408.40 11,420.80 9,739,875 11,581,125 0.20 %

18-Aug-20 11,385.35 11,398.55 10,386,525 11,922,000 1.16 %

17-Aug-20 11,247.10 11,268.20 10,048,725 11,373,900 0.73 %

14-Aug-20 11,178.40 11,186.70 10,045,350 11,329,725 -1.15 %

13-Aug-20 11,300.45 11,317.35 10,236,450 11,400,975 0.00 %

12-Aug-20 11,308.40 11,317.80 10,490,475 11,626,500 -0.23 %

11-Aug-20 11,322.50 11,344.35 10,257,150 11,367,075 0.45 %

10-Aug-20 11,270.15 11,293.35 10,313,625 11,380,950 0.60 %

7-Aug-20 11,214.05 11,226.20 10,348,950 11,373,600 0.24 %

6-Aug-20 11,200.15 11,199.50 10,206,150 11,181,150 0.73 %

5-Aug-20 11,101.65 11,118.00 9,953,400 10,880,625 0.14 %

4-Aug-20 11,095.25 11,102.05 10,620,900 11,513,250 1.73 %

3-Aug-20 10,891.60 10,913.40 10,201,950 10,979,175 -1.64 %

31-Jul-20 11,073.45 11,095.85 10,260,450 11,054,700 0.02 %

31-Jul-20 11,073.45 11,095.85 10,260,450 11,054,700 0.02 %

30-Jul-20 11,102.15 11,093.40 10,410,225 14,392,575 -1.14 %

29-Jul-20 11,202.85 11,221.30 7,700,400 14,278,950 -0.74 %

28-Jul-20 11,300.55 11,305.40 5,660,925 13,347,975 1.67 %

27-Jul-20 11,131.80 11,119.85 4,467,900 13,110,225 -0.52 %

24-Jul-20 11,194.15 11,178.20 3,377,250 13,419,600 -0.32 %

23-Jul-20 11,215.45 11,214.45 2,946,600 13,585,125 0.89 %

22-Jul-20 11,132.60 11,115.95 2,520,000 13,208,850 -0.52 %

21-Jul-20 11,162.25 11,170.55 10,637,100 13,287,675 1.47 %

20-Jul-20 11,022.20 11,008.60 10,768,500 12,966,300 0.95 %

17-Jul-20 10,901.70 10,905.05 10,499,475 12,488,025 1.78 %

16-Jul-20 10,739.95 10,713.85 10,534,875 12,217,725 0.81 %

15-Jul-20 10,618.20 10,628.25 9,585,375 11,240,475 0.14 %

14-Jul-20 10,607.35 10,613.85 10,937,175 12,604,125 -1.79 %

13-Jul-20 10,802.70 10,807.55 11,510,175 13,168,275 0.38 %

10-Jul-20 10,768.05 10,766.65 11,680,050 13,438,575 -0.53 %

9-Jul-20 10,813.45 10,823.55 11,662,575 13,379,775 1.19 %

8-Jul-20 10,705.75 10,696.30 11,196,000 12,617,025 -0.65 %

7-Jul-20 10,799.65 10,766.65 11,683,950 13,101,900 0.11 %

6-Jul-20 10,763.65 10,754.85 11,237,700 12,527,625 1.73 %

3-Jul-20 10,607.35 10,572.45 10,940,775 12,073,275 0.31 %

2-Jul-20 10,551.70 10,539.70 10,700,700 11,795,100 1.26 %

1-Jul-20 10,430.05 10,408.30 10,738,125 11,738,175 1.64 %

30-Jun-20 10,302.10 10,240.25 11,508,600 12,438,525 -0.15 %

29-Jun-20 10,312.40 10,255.80 11,420,700 12,307,875 -0.60 %

26-Jun-20 10,383.00 10,318.00 11,634,825 12,467,550 0.71 %

25-Jun-20 10,288.90 10,245.65 10,638,150 14,449,800 -0.34 %

24-Jun-20 10,305.30 10,280.75 7,493,100 13,430,775 -1.63 %

23-Jun-20 10,471.00 10,451.45 4,734,300 12,773,700 1.73 %

22-Jun-20 10,311.20 10,273.45 3,040,050 11,829,675 0.54 %

19-Jun-20 10,244.40 10,218.05 1,833,750 11,505,000 1.66 %

18-Jun-20 10,091.65 10,051.65 1,517,025 11,166,750 2.15 %

17-Jun-20 9,881.15 9,839.90 1,436,700 11,480,625 -0.38 %

16-Jun-20 9,914.00 9,877.60 1,329,525 11,362,575 0.82 %

15-Jun-20 9,813.70 9,797.00 1,280,700 11,688,375 -1.50 %

12-Jun-20 9,972.90 9,946.40 1,002,750 12,191,100 0.59 %

11-Jun-20 9,902.00 9,888.00 940,275 12,313,800 -2.20 %

10-Jun-20 10,116.15 10,110.15 886,050 11,811,675 0.87 %

9-Jun-20 10,046.65 10,023.40 867,300 11,804,025 -1.35 %

8-Jun-20 10,167.45 10,160.45 865,125 11,832,750 0.18 %

5-Jun-20 10,142.15 10,142.25 888,150 11,663,700 1.29 %

4-Jun-20 10,029.10 10,013.40 844,950 11,340,675 -0.49 %

3-Jun-20 10,061.55 10,062.95 868,200 11,738,700 1.06 %

2-Jun-20 9,979.10 9,957.50 819,375 11,841,000 1.74 %

1-Jun-20 9,826.15 9,787.00 789,375 11,001,375 3.17 %

29-May-20 9,580.30 9,486.20 556,500 10,467,825 0.69 %

28-May-20 9,490.10 9,421.65 510,150 13,318,275 1.33 %

27-May-20 9,314.95 9,297.75 426,150 12,813,975 2.97 %

26-May-20 9,029.05 9,030.00 314,175 10,659,900 -0.04 %

22-May-20 9,039.25 9,033.85 299,025 9,978,525 -0.43 %

21-May-20 9,106.25 9,073.05 292,275 9,799,725 0.09 %

20-May-20 9,066.55 9,064.85 280,350 9,890,100 2.05 %

19-May-20 8,879.10 8,882.35 247,050 9,612,750 0.60 %

18-May-20 8,823.25 8,828.95 225,600 9,474,150 -3.40 %

15-May-20 9,136.85 9,139.40 144,000 8,784,900 -0.28 %

14-May-20 9,142.75 9,164.95 85,575 8,502,150 -2.63 %

13-May-20 9,383.55 9,412.45 69,375 8,375,250 1.97 %

12-May-20 9,196.55 9,230.80 66,450 8,192,250 -0.11 %

11-May-20 9,239.20 9,241.35 60,675 8,142,525 -0.15 %

8-May-20 9,251.50 9,255.00 54,600 8,666,400 0.31 %

7-May-20 9,199.05 9,226.45 48,375 8,603,175 -0.81 %

6-May-20 9,270.90 9,301.85 40,950 8,459,475 0.80 %

5-May-20 9,205.60 9,228.30 32,250 8,898,975 -0.83 %

4-May-20 9,293.50 9,305.55 23,475 9,456,900 0.00 %

OI % Chg COI % Chg Volatility PCR Rollover % Price Action Premium / Premium
(as per COI) Discount /Discount %
1.14 % 1.53 % 0.3325 1.34 0.0741 Long Buildup 6.1 0.05%

-6.26 % -5.22 % 0.3329 1.24 0.0705 Long Windup 28.9 0.26%

-1.85 % -1.76 % 0.3337 1.31 0.0603 Long Windup 2.5 0.02%

-0.06 % 0.07 % 0.3345 1.25 0.0594 Long Buildup 10.85 0.10%

-0.26 % 0.26 % 0.3354 1.24 0.0582 Short Buildup 17.9 0.16%

1.82 % 1.77 % 0.3354 1.27 0.0534 Short Buildup 15.35 0.13%

4.33 % 4.26 % 0.3363 1.3 0.0538 Long Buildup 26.5 0.23%

-9.49 % -8.94 % 0.3371 1.33 0.0545 Short Covering 40.7 0.35%

-8.25 % -7.39 % 0.3377 1.28 0.0487 Long Windup 14.45 0.13%

4.23 % -16.39 % 0.337 1.41 0.0398 Short Covering 27.65 0.24%

39.41 % 12.25 % 0.3377 1.44 - Long Buildup 20.8 0.18%

68.81 % 14.82 % 0.3385 1.42 - Long Buildup 15.3 0.13%

-10.76 % -1.46 % 0.3401 1.4 0.2852 Short Covering 7.7 0.07%

-1.84 % 2.17 % 0.3407 1.26 0.2108 Long Buildup 5.6 0.05%

-2.04 % 0.30 % 0.3415 1.24 0.1786 Short Buildup -6.8 -0.06%

-6.23 % -2.86 % 0.3421 1.61 0.159 Short Covering 12.4 0.11%

3.36 % 4.82 % 0.3429 1.59 0.1288 Long Buildup 13.2 0.12%

0.03 % 0.39 % 0.3434 1.51 0.1165 Long Buildup 21.1 0.19%

-1.87 % -0.62 % 0.3441 1.48 0.1134 Long Windup 8.3 0.07%

-2.42 % -1.94 % 0.3447 1.49 0.1021 16.9 0.15%

2.27 % 2.28 % 0.3455 1.51 0.0977 Short Buildup 9.4 0.08%

-0.55 % -0.12 % 0.3464 1.52 0.0976 Short Covering 21.85 0.19%

-0.34 % 0.06 % 0.3472 1.59 0.0938 Long Buildup 23.2 0.21%

1.40 % 1.72 % 0.348 1.56 0.0901 Long Buildup 12.15 0.11%

2.54 % 2.76 % 0.3488 1.58 0.0872 Long Buildup -0.65 -0.01%

-6.28 % -5.49 % 0.3496 1.54 0.0852 Short Covering 16.35 0.15%

4.11 % 4.86 % 0.3504 1.61 0.0775 Long Buildup 6.8 0.06%

-0.57 % -0.68 % 0.3505 1.55 0.0708 Long Windup 21.8 0.20%

-1.44 % -23.19 % 0.3507 1.67 0.0718 Short Covering 22.4 0.20%

-1.44 % -23.19 % 0.3507 1.67 0.0718 Short Covering 22.4 0.20%

35.19 % 0.80 % 0.3516 1.74 - Short Buildup -8.75 -0.08%

36.03 % 6.97 % 0.3521 2.02 - Short Buildup 18.45 0.16%

26.70 % 1.81 % 0.3529 2.19 - Long Buildup 4.85 0.04%

32.29 % -2.31 % 0.353 2.05 - Long Windup -11.95 -0.11%

14.62 % -1.22 % 0.3539 2.04 - Long Windup -15.95 -0.14%

16.93 % 2.85 % 0.3547 2.07 - Long Buildup -1 -0.01%

8.09 % -0.59 % 0.3554 1.95 - Long Windup -16.65 -0.15%

-1.22 % 2.48 % 0.3563 1.79 19.95% Long Buildup 8.3 0.07%

2.56 % 3.83 % 0.3566 1.68 16.95% Long Buildup -13.6 -0.12%

-0.34 % 2.21 % 0.3573 1.64 15.92% Long Buildup 3.35 0.03%

9.91 % 8.69 % 0.3574 1.51 13.77% Long Buildup -26.1 -0.24%

-12.36 % -10.82 % 0.3581 1.51 14.72% Short Covering 10.05 0.09%

-4.98 % -4.28 % 0.359 1.46 13.23% Long Windup 6.5 0.06%

-1.45 % -2.01 % 0.3591 1.61 12.59% Short Covering 4.85 0.04%

0.15 % 0.44 % 0.3599 1.63 13.09% Short Buildup -1.4 -0.01%

4.17 % 6.05 % 0.3607 1.63 12.83% Long Buildup 10.1 0.09%

-4.18 % -3.70 % 0.3613 1.58 11.26% Long Windup -9.45 -0.09%

3.97 % 4.58 % 0.3621 1.6 10.82% Long Buildup -33 -0.31%

2.71 % 3.76 % 0.363 1.54 10.30% Long Buildup -8.8 -0.08%

2.24 % 2.36 % 0.3632 1.55 9.38% Long Buildup -34.9 -0.33%

-0.35 % 0.48 % 0.3641 1.54 9.28% Long Buildup -12 -0.11%

-6.69 % -5.63 % 0.3646 1.53 8.52% Short Covering -21.75 -0.21%

0.77 % 1.06 % 0.3648 1.48 7.48% Short Buildup -61.85 -0.60%

-1.84 % -1.28 % 0.3657 1.49 7.21% Long Windup -56.6 -0.55%

9.37 % -13.72 % 0.3666 1.5 6.68% Short Covering -65 -0.63%

41.97 % 7.59 % 0.3674 1.49 - Short Buildup -43.25 -0.42%

58.27 % 5.14 % 0.3683 1.59 - Short Buildup -24.55 -0.24%

55.73 % 7.98 % 0.3685 1.59 - Long Buildup -19.55 -0.19%

65.78 % 2.82 % 0.3687 1.66 - Long Buildup -37.75 -0.37%

20.88 % 3.03 % 0.3695 - - Long Buildup -26.35 -0.26%

5.59 % -2.73 % 0.3698 1.72 - Short Covering -40 -0.40%

8.06 % 1.04 % 0.3696 1.68 - Short Buildup -41.25 -0.42%

3.81 % -2.79 % 0.3704 1.74 - Short Covering -36.4 -0.37%

27.72 % -4.12 % 0.3712 1.73 - Long Windup -16.7 -0.17%

6.64 % -1.00 % 0.3716 1.79 - Short Covering -26.5 -0.27%

6.12 % 4.25 % 0.3725 1.89 - Short Buildup -14 -0.14%

2.16 % 0.06 % 0.3722 1.87 - Long Buildup -6 -0.06%

0.25 % -0.24 % 0.3729 1.84 - Long Windup -23.25 -0.23%

-2.59 % 1.45 % 0.3734 1.81 - Long Buildup -7 -0.07%

5.11 % 2.85 % 0.3744 1.69 - Long Buildup 0.1 0%

-2.68 % -3.39 % 0.3749 1.59 - Long Windup -15.7 -0.16%

5.96 % -0.86 % 0.3758 - - Short Covering 1.4 0.01%

3.80 % 7.63 % 0.3764 1.31 - Long Buildup -21.6 -0.22%

41.85 % 5.10 % 0.3766 1.21 - Long Buildup -39.15 -0.40%

9.09 % -21.40 % 0.4776 1.14 - Short Covering -94.1 -0.98%

19.71 % 3.94 % 0.4926 1.15 - Long Buildup -68.45 -0.72%

35.64 % 20.21 % 0.4995 1.21 - Long Buildup -17.2 -0.18%

5.07 % 6.83 % 0.4944 1.4 - Short Buildup 0.95 0.01%

2.31 % 1.82 % 0.5099 1.14 - Short Buildup -5.4 -0.06%

4.25 % -0.91 % 0.5253 1.07 - Short Covering -33.2 -0.36%

13.48 % 2.89 % 0.5418 1.05 - Long Buildup -1.7 -0.02%

9.51 % 1.46 % 0.5502 1.05 - Long Buildup 3.25 0.04%

56.67 % 7.85 % 0.5666 0.93 - Short Buildup 5.7 0.06%

68.27 % 3.33 % 0.5599 0.84 - Short Buildup 2.55 0.03%

23.35 % 1.52 % 0.5775 0.85 - Short Buildup 22.2 0.24%

4.40 % 2.23 % 0.5813 0.78 - Long Buildup 28.9 0.31%

9.52 % 0.61 % 0.5921 0.73 - Short Buildup 34.25 0.37%

11.13 % -6.04 % 0.6107 0.75 - Long Windup 2.15 0.02%

12.87 % 0.73 % 0.6298 0.61 - Long Buildup 3.5 0.04%

18.13 % 1.70 % 0.6494 0.68 - Short Buildup 27.4 0.30%

26.98 % -4.94 % 0.6686 0.54 - Short Covering 30.95 0.33%

37.38 % -5.90 % 0.6886 0.74 - Long Windup 22.7 0.25%

0.00 % -29.84 % 0.7091 0.43 - 12.05 0.13%

 2.5

1.5
Value

0.5

0
18-Jun-20 28-Jun-20 8-Jul-20 18-Jul-20 28-Jul-20 7-Au

Time
 iv
pcr

28-Jul-20 7-Aug-20 17-Aug-20 27-Aug-20 6-Sep-20 16-Sep-20

Time
 iv
pcr

16-Sep-20
12,000.00

11,500.00

11,000.00

10,500.00

10,000.00

9,500.00

9,000.00

8,500.00
19-Apr-20 9-May-20 29-May-20 18-Jun-20 8-Jul-20

Spot Fu
-20 8-Jul-20 28-Jul-20 17-Aug-20 6-Sep-20 26-Sep-20

Spot Future
26-Sep-20
16,000,000

14,000,000

12,000,000

10,000,000

8,000,000

6,000,000

4,000,000

2,000,000

0
19-Apr-20 9-May-20 29-May-20 18-Jun-20 8-Jul-20

OI COI
 8-Jul-20 28-Jul-20 17-Aug-20 6-Sep-20 26-Sep-20

OI COI
-Sep-20
 2.5 12,000.00

11,500.00
2
11,000.00

1.5
10,500.00
Value

iv
1 10,000.00
pcr

9,500.00
0.5
9,000.00

0 8,500.00
18-Jun-20 8-Jul-20 28-Jul-20 17-Aug-20 6-Sep-20 26-Sep-20 19-Apr-20 9-May-2029-May-2018-Ju
Time

Premium /Discou
60
40
20
0
19-Apr-20 9-May-20 29-May-20 18-Jun-20 8-Jul-20
-20
-40
-60
-80
-100
-120
0.00
16,000,000

0.00 14,000,000

0.00 12,000,000

10,000,000
0.00

8,000,000
0.00
6,000,000
0.00
4,000,000

0.00
2,000,000

0.00 0
19-Apr-20 9-May-2029-May-2018-Jun-20 8-Jul-20 28-Jul-20 17-Aug-20 6-Sep-20 26-Sep-20 10-Mar-20 29-Apr-20 18-Jun-20 7-Aug-20

Spot OI COI

Premium /Discount

8-Jul-20 28-Jul-20 17-Aug-20 6-Sep-20 26-Sep-20

0 18-Jun-20 7-Aug-20 26-Sep-20

OI COI

26-Sep-20
 Rules of FNO Analysis

PCR OI Premium(mod) COI Prediction

CALL IN UP BUY
CALL IN DOWN SELL
CALL OUT UP OUT SELL
CALL OUT DOWN OUT BUY
PUT IN UP BUY
PUT IN DOWN BUY
PUT OUT UP OUT BUY
PUT OUT DOWN OUT SELL
 volatility Premium(mod)
Short covering
DOWN DOWN

UPSIDE(+VE)
DECREASE(+VE)
LONG WINDUP
DEPENDS ON VALUE OF PREMIUM INTENSITY (+VE) TO (-VE)
DECREASE(-VE)

INCREASE(-VE)
SHORT BUILDUP
VOLATILITY HELPS DECREASE(+VE)
OI% Prediction
UP BUY

IF Gap DOWN WAIT FOR GREEN CANDLE BUY

EVEN IF GAPDOWN WAIT FOR GREEN CANDLE BUY
WAIT FOR RED CANDLE SELL
EVEN IF GAPUP WAIT FOR RED CANDLE SELL

IF GAPDOWN OR NORMAL BUY

IF GAPDOWN OR NORMAL BUY