Options Daily 03.12.2021

NIFTY Summary:

  1. Dec 18000 calls added 16,08,300 contracts.
  2. Dec 17100 calls shed 5,44,850.
  3. Dec 17300 puts added 22,28,800.
  4. Dec 17000 puts shed 23,45,950.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 308.42 766.09
5 310.36 801.31
10 290.84 788.85
20 268.96 774.04

NIFTY 50 NIFTY BANK
TrueRange 271.05 396.80
TrueHigh 17420.35 36563.50
TrueLow 17149.30 36166.70

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, IDEA.
market wide position limit chart

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