NIFTY Summary:
- Dec 11100 calls added 2,57,700 contracts.
- Dec 10500 calls shed 40,650.
- Dec 10200 puts added 1,70,475.
- Dec 11000 puts shed 2,56,575.
Our trend model indicates a LONG on the NIFTY and LONG on the BANKNIFTY.
Avg. True Range
| NIFTY.50 | NIFTY.BANK | |
|---|---|---|
| 3 | 99.81 | 260.94 |
| 5 | 103.18 | 276.91 |
| 10 | 113.37 | 307.50 |
| 20 | 124.77 | 340.10 |
| NIFTY 50 | NIFTY BANK | |
|---|---|---|
| TrueRange | 121.55 | 250.15 |
| TrueHigh | 10869.50 | 26693.80 |
| TrueLow | 10747.95 | 26443.65 |
Nifty 50 Returns Density Plot
DEC NIFTY OI
DEC BANKNIFTY OI
NIFTY Weighted Avg. Open Interest
DEC NIFTY Volatility
DEC BANKNIFTY Volatility
Dotted lines indicated actual underlying volatility. Solid lines are IVs.
VIX Density Plot
5-day forecast based on ARMA(1,1)+GARCH(1,1) model:
| VIX | 18.36 | 18.36 | 18.35 | 18.35 | 18.35 |
| σ | 0.57 | 0.59 | 0.61 | 0.63 | 0.64 |
Marketwide OI
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