Options Daily 09.12.2021

NIFTY Summary:

  1. Dec 17800 calls added 3,79,650 contracts.
  2. Dec 17200 calls shed 1,28,900.
  3. Dec 17400 puts added 6,75,300.
  4. Dec 16400 puts shed 53,750.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 317.65 820.98
5 316.27 818.33
10 299.79 801.16
20 273.88 768.84

NIFTY 50 NIFTY BANK
TrueRange 307.90 766.40
TrueHigh 17484.60 37384.80
TrueLow 17176.70 36618.40
Avg. True Range

NIFTY.50 NIFTY.BANK
3 317.65 820.98
5 316.27 818.33
10 299.79 801.16
20 273.88 768.84

NIFTY 50 NIFTY BANK
TrueRange 307.90 766.40
TrueHigh 17484.60 37384.80
TrueLow 17176.70 36618.40

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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