NIFTY Summary:
- Dec 12100 calls added 2,08,725 contracts.
- Dec 11900 calls shed 11,850.
- Dec 12100 puts added 3,20,175.
- Dec 11750 puts shed 5,025.
Our trend model indicates a LONG on the NIFTY and LONG on the BANKNIFTY.
Avg. True Range
|
NIFTY.50 |
NIFTY.BANK |
3 |
104.21 |
326.39 |
5 |
103.71 |
354.74 |
10 |
105.79 |
398.27 |
20 |
110.24 |
432.26 |
|
NIFTY 50 |
NIFTY BANK |
TrueRange |
77.20 |
198.45 |
TrueHigh |
12114.90 |
31916.80 |
TrueLow |
12037.70 |
31718.35 |
Avg. True Range
|
NIFTY.50 |
NIFTY.BANK |
3 |
104.21 |
326.39 |
5 |
103.71 |
354.74 |
10 |
105.79 |
398.27 |
20 |
110.24 |
432.26 |
|
NIFTY 50 |
NIFTY BANK |
TrueRange |
77.20 |
198.45 |
TrueHigh |
12114.90 |
31916.80 |
TrueLow |
12037.70 |
31718.35 |
Nifty 50 Returns Density Plot

NOV NIFTY OI

NOV BANKNIFTY OI

DEC NIFTY OI

DEC BANKNIFTY OI

NIFTY Weighted Avg. Open Interest

NOV NIFTY Volatility

NOV BANKNIFTY Volatility

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(0,0)+GARCH(1,1) model:
VIX |
16.04 |
16.04 |
16.04 |
16.04 |
16.04 |
σ |
1.71 |
1.96 |
2.18 |
2.38 |
2.56 |
Marketwide OI
Securities under ban today: YESBANK.

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