Author: stockviz

Options Daily 10.11.2021

NIFTY Summary:

  1. Nov 18000 calls added 2,12,500 contracts.
  2. Nov 17900 calls shed 16,800.
  3. Nov 18000 puts added 2,09,350.
  4. Nov 17950 puts shed 27,200.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 188.32 576.25
5 208.52 662.05
10 221.68 696.21
20 221.23 668.42

NIFTY 50 NIFTY BANK
TrueRange 129.55 337.20
TrueHigh 18112.60 39560.60
TrueLow 17983.05 39223.40
Avg. True Range

NIFTY.50 NIFTY.BANK
3 188.32 576.25
5 208.52 662.05
10 221.68 696.21
20 221.23 668.42

NIFTY 50 NIFTY BANK
TrueRange 129.55 337.20
TrueHigh 18112.60 39560.60
TrueLow 17983.05 39223.40

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: ESCORTS, PNB, SUNTV.
market wide position limit chart

FRED Scan 10.11.2021

Equity Market Volatility: Infectious Disease Tracker

Equity Market Volatility: Infectious Disease Tracker

Coinbase Litecoin

Coinbase Litecoin

Number of Issues, with a Maturity Between 5 and 9 Days, Used in Calculating the A2/P2 Nonfinancial Commercial Paper Rates

Number of Issues, with a Maturity Between 5 and 9 Days, Used in Calculating the A2/P2 Nonfinancial Commercial Paper Rates

90-Day AA Asset-Backed Commercial Paper Interest Rate

90-Day AA Asset-Backed Commercial Paper Interest Rate

Options Daily 09.11.2021

NIFTY Summary:

  1. Nov 18600 calls added 2,73,900 contracts.
  2. Nov 17700 calls shed 3,400.
  3. Nov 17500 puts added 2,13,350.
  4. Nov 16600 puts shed 1,900.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 217.70 695.77
5 228.20 743.11
10 230.99 735.58
20 223.54 682.76

NIFTY 50 NIFTY BANK
TrueRange 251.70 741.90
TrueHigh 18087.80 39674.05
TrueLow 17836.10 38932.15
Avg. True Range

NIFTY.50 NIFTY.BANK
3 217.70 695.77
5 228.20 743.11
10 230.99 735.58
20 223.54 682.76

NIFTY 50 NIFTY BANK
TrueRange 251.70 741.90
TrueHigh 18087.80 39674.05
TrueLow 17836.10 38932.15

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: ESCORTS, PNB, SUNTV.
market wide position limit chart

Options Daily 08.11.2021

NIFTY Summary:

  1. Nov 19000 calls added 19,73,950 contracts.
  2. Nov 18000 calls shed 41,31,450.
  3. Nov 17000 puts added 7,50,400.
  4. Nov 18900 puts shed 800.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 241.87 842.74
5 248.33 846.05
10 241.10 781.63
20 227.58 703.41

NIFTY 50 NIFTY BANK
TrueRange 230.80 855.35
TrueHigh 17988.75 40160.20
TrueLow 17757.95 39304.85
Avg. True Range

NIFTY.50 NIFTY.BANK
3 241.87 842.74
5 248.33 846.05
10 241.10 781.63
20 227.58 703.41

NIFTY 50 NIFTY BANK
TrueRange 230.80 855.35
TrueHigh 17988.75 40160.20
TrueLow 17757.95 39304.85

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: ESCORTS, PNB.
market wide position limit chart