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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