Options Daily 29.11.2019

NIFTY Summary:

  1. Dec 12200 calls added 4,82,700 contracts.
  2. Nov 12100 calls shed 13,98,900.
  3. Dec 12000 puts added 11,95,125.
  4. Nov 11900 puts shed 5,97,450.

Our trend model indicates a SHORT on the NIFTY and SHORT on the BANKNIFTY.

Avg. True Range

NIFTY.50 NIFTY.BANK
3 89.09 311.29
5 94.78 340.04
10 101.87 387.02
20 109.13 425.87

NIFTY 50 NIFTY BANK
TrueRange 58.85 281.10
TrueHigh 12158.80 32157.05
TrueLow 12099.95 31875.95

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

NOV NIFTY OI

NOV NIFTY OI chart

NOV BANKNIFTY OI

NOV BANKNIFTY OI chart

DEC NIFTY OI

DEC NIFTY OI chart

DEC BANKNIFTY OI

DEC BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

DEC NIFTY Volatility

DEC NIFTY Volatility chart

DEC BANKNIFTY Volatility

DEC BANKNIFTY Volatility chart
Dotted lines indicated actual underlying volatility. Solid lines are IVs.

VIX Density Plot

VIX kernel 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 2.27 2.47 2.65 2.82 2.98

Marketwide OI

market wide position limit chart

Comments are closed, but trackbacks and pingbacks are open.