NIFTY Summary:
- Nov 12000 calls added 79,800 contracts.
- Nov 12200 calls shed 13,200.
- Nov 11900 puts added 1,38,075.
- Nov 11400 puts shed 19,650.
Our trend model indicates a LONG on the NIFTY and LONG on the BANKNIFTY.
Avg. True Range
| NIFTY.50 | NIFTY.BANK | |
|---|---|---|
| 3 | 102.34 | 413.81 |
| 5 | 112.43 | 453.87 |
| 10 | 135.95 | 579.64 |
| 20 | 162.90 | 734.21 |
| NIFTY 50 | NIFTY BANK | |
|---|---|---|
| TrueRange | 98.55 | 379.80 |
| TrueHigh | 11989.15 | 30607.05 |
| TrueLow | 11890.60 | 30227.25 |
Avg. True Range
| NIFTY.50 | NIFTY.BANK | |
|---|---|---|
| 3 | 102.34 | 413.81 |
| 5 | 112.43 | 453.87 |
| 10 | 135.95 | 579.64 |
| 20 | 162.90 | 734.21 |
| NIFTY 50 | NIFTY BANK | |
|---|---|---|
| TrueRange | 98.55 | 379.80 |
| TrueHigh | 11989.15 | 30607.05 |
| TrueLow | 11890.60 | 30227.25 |
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(0,0)+GARCH(1,1) model:
| VIX | 16.06 | 16.06 | 16.06 | 16.06 | 16.06 |
| σ | 1.05 | 1.48 | 1.80 | 2.08 | 2.32 |
Marketwide OI
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