Author: stockviz

Options Weekly 27.08.2022

Summary: Sep NIFTY 17700 calls added 70,44,350 contracts while 18500 calls shed 3,37,350. On the Put side of the equation, the 17500 strike added 43,55,850 while the 16000’s shed 6,05,050.

SEP NIFTY OI

SEP NIFTY OI chart

SEP BANKNIFTY OI

SEP BANKNIFTY OI chart

SEP NIFTY Volatility

SEP NIFTY Volatility chart

SEP BANKNIFTY Volatility

SEP BANKNIFTY Volatility chart
Dotted lines indicated actual underlying volatility. Solid lines are IVs.

VIX Density Plot

VIX kernel density plot

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

Options Daily 26.08.2022

NIFTY Summary:

  1. Sep 19000 calls added 45,61,750 contracts.
  2. Aug 19000 calls shed 39,97,500.
  3. Sep 16000 puts added 24,78,200.
  4. Sep 18000 puts shed 37,100.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 214.37 671.22
5 206.63 635.79
10 198.38 589.36
20 196.22 563.45

NIFTY 50 NIFTY BANK
TrueRange 239.05 668.05
TrueHigh 17726.50 39471.75
TrueLow 17487.45 38803.70

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

AUG NIFTY OI

AUG NIFTY OI chart

AUG BANKNIFTY OI

AUG BANKNIFTY OI chart

SEP NIFTY OI

SEP NIFTY OI chart

SEP BANKNIFTY OI

SEP BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

SEP NIFTY Volatility

SEP NIFTY Volatility chart

SEP BANKNIFTY Volatility

SEP BANKNIFTY Volatility chart
Dotted lines indicated actual underlying volatility. Solid lines are IVs.

VIX Density Plot

VIX kernel density plot

Marketwide OI

market wide position limit chart

Options Daily 25.08.2022

NIFTY Summary:

  1. Sep 17700 calls added 7,09,700 contracts.
  2. Sep 18800 calls shed 37,200.
  3. Sep 17500 puts added 8,09,650.
  4. Sep 17950 puts shed 5,800.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 202.04 672.81
5 198.53 627.71
10 193.98 580.96
20 193.79 558.46

NIFTY 50 NIFTY BANK
TrueRange 124.40 568.60
TrueHigh 17623.65 39120.80
TrueLow 17499.25 38552.20
Avg. True Range

NIFTY.50 NIFTY.BANK
3 202.04 672.81
5 198.53 627.71
10 193.98 580.96
20 193.79 558.46

NIFTY 50 NIFTY BANK
TrueRange 124.40 568.60
TrueHigh 17623.65 39120.80
TrueLow 17499.25 38552.20

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

AUG NIFTY OI

AUG NIFTY OI chart

AUG BANKNIFTY OI

AUG BANKNIFTY OI chart

SEP NIFTY OI

SEP NIFTY OI chart

SEP BANKNIFTY OI

SEP BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

AUG NIFTY Volatility

AUG NIFTY Volatility chart

AUG BANKNIFTY Volatility

AUG BANKNIFTY Volatility chart

SEP NIFTY Volatility

SEP NIFTY Volatility chart

SEP BANKNIFTY Volatility

SEP 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: RBLBANK.
market wide position limit chart

Options Daily 24.08.2022

NIFTY Summary:

  1. Sep 17600 calls added 4,79,650 contracts.
  2. Sep 18350 calls shed 32,200.
  3. Sep 17500 puts added 3,90,150.
  4. Sep 18000 puts shed 1,21,200.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 240.86 724.92
5 217.05 642.38
10 201.74 580.71
20 196.99 553.89

NIFTY 50 NIFTY BANK
TrueRange 280.35 919.05
TrueHigh 17625.55 38869.90
TrueLow 17345.20 37950.85
Avg. True Range

NIFTY.50 NIFTY.BANK
3 240.86 724.92
5 217.05 642.38
10 201.74 580.71
20 196.99 553.89

NIFTY 50 NIFTY BANK
TrueRange 280.35 919.05
TrueHigh 17625.55 38869.90
TrueLow 17345.20 37950.85

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

AUG NIFTY OI

AUG NIFTY OI chart

AUG BANKNIFTY OI

AUG BANKNIFTY OI chart

SEP NIFTY OI

SEP NIFTY OI chart

SEP BANKNIFTY OI

SEP BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

AUG NIFTY Volatility

AUG NIFTY Volatility chart

AUG BANKNIFTY Volatility

AUG BANKNIFTY Volatility chart

SEP NIFTY Volatility

SEP NIFTY Volatility chart

SEP BANKNIFTY Volatility

SEP BANKNIFTY Volatility chart
Dotted lines indicated actual underlying volatility. Solid lines are IVs.

VIX Density Plot

VIX kernel density plot

Marketwide OI

market wide position limit chart

Options Daily 23.08.2022

NIFTY Summary:

  1. Sep 17700 calls added 5,35,800 contracts.
  2. Sep 19000 calls shed 54,200.
  3. Sep 17600 puts added 5,48,050.
  4. Sep 17800 puts shed 1,95,900.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 221.11 627.85
5 201.18 573.27
10 192.29 543.22
20 190.52 534.58

NIFTY 50 NIFTY BANK
TrueRange 291.10 738.70
TrueHigh 17758.45 38985.95
TrueLow 17467.35 38247.25
Avg. True Range

NIFTY.50 NIFTY.BANK
3 221.11 627.85
5 201.18 573.27
10 192.29 543.22
20 190.52 534.58

NIFTY 50 NIFTY BANK
TrueRange 291.10 738.70
TrueHigh 17758.45 38985.95
TrueLow 17467.35 38247.25

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

AUG NIFTY OI

AUG NIFTY OI chart

AUG BANKNIFTY OI

AUG BANKNIFTY OI chart

SEP NIFTY OI

SEP NIFTY OI chart

SEP BANKNIFTY OI

SEP BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

AUG NIFTY Volatility

AUG NIFTY Volatility chart

AUG BANKNIFTY Volatility

AUG BANKNIFTY Volatility chart

SEP NIFTY Volatility

SEP NIFTY Volatility chart

SEP BANKNIFTY Volatility

SEP 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: TATACHEM.
market wide position limit chart