Author: stockviz

Options Daily 11.01.2022

NIFTY Summary:

  1. Jan 18600 calls added 1,12,400 contracts.
  2. Jan 17850 calls shed 12,550.
  3. Jan 16300 puts added 3,62,100.
  4. Jan 16900 puts shed 8,250.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 215.74 713.85
5 217.45 706.71
10 226.44 694.90
20 238.23 690.73

NIFTY 50 NIFTY BANK
TrueRange 204.75 660.75
TrueHigh 18017.45 38400.35
TrueLow 17812.70 37739.60
Avg. True Range

NIFTY.50 NIFTY.BANK
3 215.74 713.85
5 217.45 706.71
10 226.44 694.90
20 238.23 690.73

NIFTY 50 NIFTY BANK
TrueRange 204.75 660.75
TrueHigh 18017.45 38400.35
TrueLow 17812.70 37739.60

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

JAN NIFTY OI

JAN NIFTY OI chart

JAN BANKNIFTY OI

JAN BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

JAN NIFTY Volatility

JAN NIFTY Volatility chart

JAN BANKNIFTY Volatility

JAN 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: DELTACORP, IBULHSGFIN, RBLBANK.
market wide position limit chart

FRED Scan 11.01.2022

Euro Short-Term Rate: Number of Active Banks

Euro Short-Term Rate: Number of Active Banks

Equity Market Volatility: Infectious Disease Tracker

Equity Market Volatility: Infectious Disease Tracker

Total Value of Issues, with a Maturity Between 1 and 4 Days, Used in Calculating the AA Asset-Backed Commercial Paper Rates

Total Value of Issues, with a Maturity Between 1 and 4 Days, Used in Calculating the AA Asset-Backed Commercial Paper Rates

Overnight Repurchase Agreements: Federal Agency Securities Purchased by the Federal Reserve in the Temporary Open Market Operations

Overnight Repurchase Agreements: Federal Agency Securities Purchased by the Federal Reserve in the Temporary Open Market Operations

Overnight Bank Funding Volume

Overnight Bank Funding Volume

Options Daily 10.01.2022

NIFTY Summary:

  1. Jan 18200 calls added 1,02,850 contracts.
  2. Jan 17750 calls shed 750.
  3. Jan 17600 puts added 71,400.
  4. Jan 17100 puts shed 4,850.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 221.24 740.40
5 220.73 718.76
10 230.62 706.56
20 244.13 709.28

NIFTY 50 NIFTY BANK
TrueRange 200.45 707.05
TrueHigh 17905.00 38134.85
TrueLow 17704.55 37427.80
Avg. True Range

NIFTY.50 NIFTY.BANK
3 221.24 740.40
5 220.73 718.76
10 230.62 706.56
20 244.13 709.28

NIFTY 50 NIFTY BANK
TrueRange 200.45 707.05
TrueHigh 17905.00 38134.85
TrueLow 17704.55 37427.80
Avg. True Range

NIFTY.50 NIFTY.BANK
3 221.24 740.40
5 220.73 718.76
10 230.62 706.56
20 244.13 709.28

NIFTY 50 NIFTY BANK
TrueRange 200.45 707.05
TrueHigh 17905.00 38134.85
TrueLow 17704.55 37427.80

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

JAN NIFTY OI

JAN NIFTY OI chart

JAN BANKNIFTY OI

JAN BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

JAN NIFTY Volatility

JAN NIFTY Volatility chart

JAN BANKNIFTY Volatility

JAN 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: DELTACORP, RBLBANK.
market wide position limit chart

FRED Scan 10.01.2022

Euro Short-Term Rate: Total Volume

Euro Short-Term Rate: Total Volume

Total Value of Issues, with a Maturity Between 1 and 4 Days, Used in Calculating the AA Asset-Backed Commercial Paper Rates

Total Value of Issues, with a Maturity Between 1 and 4 Days, Used in Calculating the AA Asset-Backed Commercial Paper Rates

Overnight Repurchase Agreements: Federal Agency Securities Purchased by the Federal Reserve in the Temporary Open Market Operations

Overnight Repurchase Agreements: Federal Agency Securities Purchased by the Federal Reserve in the Temporary Open Market Operations

Overnight Bank Funding Volume

Overnight Bank Funding Volume

1-Year Treasury Bill Secondary Market Rate

1-Year Treasury Bill Secondary Market Rate

Market Yield on U.S. Treasury Securities at 1-Year Constant Maturity

Market Yield on U.S. Treasury Securities at 1-Year Constant Maturity