NIFTY Summary:
- Nov 10850 calls added 2,65,200 contracts.
- Nov 11200 calls shed 1,20,225.
- Nov 10500 puts added 1,68,150.
- Nov 10200 puts shed 6,04,800.
Our trend model indicates a SHORT on the NIFTY and SHORT on the BANKNIFTY.
Avg. True Range
| NIFTY.50 | NIFTY.BANK | |
|---|---|---|
| 3 | 107.97 | 267.95 |
| 5 | 114.47 | 298.33 |
| 10 | 132.26 | 356.99 |
| 20 | 151.13 | 416.38 |
| NIFTY 50 | NIFTY BANK | |
|---|---|---|
| TrueRange | 122.55 | 258.90 |
| TrueHigh | 10763.40 | 26300.70 |
| TrueLow | 10640.85 | 26041.80 |
Nifty 50 Returns Density Plot
NOV NIFTY OI
NOV BANKNIFTY OI
NIFTY Weighted Avg. Open Interest
NOV NIFTY Volatility
NOV BANKNIFTY Volatility
Dotted lines indicated actual underlying volatility. Solid lines are IVs.
VIX Density Plot
5-day forecast based on ARMA(1,3)+GARCH(1,1) model:
| VIX | 19.31 | 19.21 | 19.20 | 19.20 | 19.20 |
| σ | 0.58 | 0.59 | 0.61 | 0.62 | 0.62 |
Marketwide OI
Securities under ban today: ADANIENT, ADANIPOWER, DHFL, JETAIRWAYS, PCJEWELLER.
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