The daily state of the Indian F&O market in five measured gauges. These are context and sizing inputs, not signals: our regime research (9 pre-registered tests) showed states cannot rescue dead strategies, but they do tell you when your style is swimming upstream.
How differently stocks are moving from each other (20d avg of daily cross-sectional sigma). LOW dispersion = compressed, macro-driven tape where stock-picking pays least; dip-buying ran -149 bps/trade in the lowest third historically.
Share of the liquid universe above its own 50-day average. High = broad participation; low = narrow leadership carrying the index.
Share of total traded value in the top 10 names. Rising concentration = a narrowing, fragile tape.
Option-implied 30-day volatility. Top-tercile days call for half sizing by our constitution; the volatility premium we measured widens here but so does its tail risk.
Foreign institutional net long-short ratio in single-stock futures (+1 = all long, -1 = all short). A slow, structural gauge: it barely moved through the 2025 regime change.
Open interest as a share of each stock's market-wide position limit. At 95% the stock enters the F&O ban (reduce-only: no new positions). Names at 80%+ are tomorrow's ban candidates; our research (H4.1, 1,028 episodes) found crowds persist straight through bans, so the practical risk is being LOCKED OUT of adjusting, not a predictable unwind.
| Stock | MWPL used | Open interest | Limit |
|---|---|---|---|
| MANAPPURAM | 95.6% | 78.6M | 82.2M |
| SAIL | 93.9% | 203.7M | 216.9M |
| BANDHANBNK | 92.8% | 136.8M | 147.4M |
| INOXWIND | 90.7% | 131.3M | 144.7M |
| KAYNES | 90.0% | 4.2M | 4.7M |
| IREDA | 86.0% | 102.3M | 119.0M |
| LICI | 81.9% | 54.4M | 66.4M |
| LICHSGFIN | 80.8% | 36.5M | 45.2M |
| CROMPTON | 80.2% | 77.5M | 96.6M |
| AMBUJACEM | 78.9% | 96.1M | 121.7M |
| CANBK | 77.1% | 388.7M | 504.3M |
| NMDC | 72.0% | 372.2M | 517.0M |
| NBCC | 69.5% | 107.6M | 154.9M |
| PATANJALI | 68.9% | 35.7M | 51.8M |
| IEX | 63.8% | 85.1M | 133.4M |