Author: stockviz

Options Daily 22.11.2021

NIFTY Summary:

  1. Nov 18600 calls added 26,75,300 contracts.
  2. Nov 15500 calls shed 66,600.
  3. Nov 17300 puts added 11,08,600.
  4. Nov 18000 puts shed 4,31,850.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 198.37 495.24
5 196.96 529.23
10 204.71 588.86
20 214.34 632.15

NIFTY 50 NIFTY BANK
TrueRange 257.10 485.50
TrueHigh 17945.60 38233.95
TrueLow 17688.50 37748.45
Avg. True Range

NIFTY.50 NIFTY.BANK
3 198.37 495.24
5 196.96 529.23
10 204.71 588.86
20 214.34 632.15

NIFTY 50 NIFTY BANK
TrueRange 257.10 485.50
TrueHigh 17945.60 38233.95
TrueLow 17688.50 37748.45

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

NOV NIFTY OI

NOV NIFTY OI chart

NOV BANKNIFTY OI

NOV BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

NOV NIFTY Volatility

NOV NIFTY Volatility chart

NOV BANKNIFTY Volatility

NOV 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: BHEL, ESCORTS, IDEA, NATIONALUM, SAIL, SUNTV.
market wide position limit chart

Theme Recap 20.11.2021

A quick look at the results of some of our most popular investment strategies over the last 200-days.

Static Momentum Themes

Static Momentum Themes 200-day performance

Dynamic Momentum Themes

Dynamic Momentum Themes 200-day performance

Value Themes

Value Themes 200-day performance

Machine Learning Themes

Machine Learning Themes 200-day performance

Neural Network Themes

Neural Network Themes 200-day performance

*BRK denotes returns after assuming a brokerage of 0.1% and an STT of 0.1%

A complete list of Themes and investment strategies can be found here.