NIFTY Summary:
- Nov 12100 calls added 70,500 contracts.
- Nov 11700 calls shed 1,38,000.
- Nov 11600 puts added 47,625.
- Nov 12000 puts shed 2,23,425.
Our trend model indicates a LONG on the NIFTY and LONG on the BANKNIFTY.
Avg. True Range
|
NIFTY.50 |
NIFTY.BANK |
3 |
119.42 |
500.14 |
5 |
118.28 |
487.99 |
10 |
124.99 |
533.73 |
20 |
134.82 |
612.83 |
|
NIFTY 50 |
NIFTY BANK |
TrueRange |
145.40 |
604.35 |
TrueHigh |
12034.15 |
31108.40 |
TrueLow |
11888.75 |
30504.05 |
Avg. True Range
|
NIFTY.50 |
NIFTY.BANK |
3 |
119.42 |
500.14 |
5 |
118.28 |
487.99 |
10 |
124.99 |
533.73 |
20 |
134.82 |
612.83 |
|
NIFTY 50 |
NIFTY BANK |
TrueRange |
145.40 |
604.35 |
TrueHigh |
12034.15 |
31108.40 |
TrueLow |
11888.75 |
30504.05 |
Avg. True Range
|
NIFTY.50 |
NIFTY.BANK |
3 |
119.42 |
500.14 |
5 |
118.28 |
487.99 |
10 |
124.99 |
533.73 |
20 |
134.82 |
612.83 |
|
NIFTY 50 |
NIFTY BANK |
TrueRange |
145.40 |
604.35 |
TrueHigh |
12034.15 |
31108.40 |
TrueLow |
11888.75 |
30504.05 |
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 |
1.03 |
1.44 |
1.76 |
2.02 |
2.26 |
Marketwide OI

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