Options Daily 26.11.2021

NIFTY Summary:

  1. Dec 18500 calls added 10,67,700 contracts.
  2. Dec 18650 calls shed 3,750.
  3. Dec 16500 puts added 14,86,350.
  4. Nov 17100 puts shed 5,98,050.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 266.71 648.27
5 259.65 664.24
10 245.65 669.34
20 240.77 692.69

NIFTY 50 NIFTY BANK
TrueRange 212.65 389.55
TrueHigh 17564.35 37507.95
TrueLow 17351.70 37118.40

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

Marketwide OI

market wide position limit chart

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