Options Daily 02.12.2021

NIFTY Summary:

  1. Dec 17100 calls added 7,46,750 contracts.
  2. Dec 17000 calls shed 17,000.
  3. Dec 17100 puts added 8,67,300.
  4. Dec 16150 puts shed 2,500.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 327.11 950.74
5 320.16 902.10
10 292.74 826.66
20 269.66 786.75

NIFTY 50 NIFTY BANK
TrueRange 229.85 750.05
TrueHigh 17213.05 36445.35
TrueLow 16983.20 35695.30
Avg. True Range

NIFTY.50 NIFTY.BANK
3 327.11 950.74
5 320.16 902.10
10 292.74 826.66
20 269.66 786.75

NIFTY 50 NIFTY BANK
TrueRange 229.85 750.05
TrueHigh 17213.05 36445.35
TrueLow 16983.20 35695.30

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

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

Securities under ban today: IBULHSGFIN.
market wide position limit chart

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