Options Weekly 25.02.2017

Summary: Mar NIFTY 9100 calls added 18,48,075 contracts while 8900 calls shed 1,75,500. On the Put side of the equation, the 8800 strike added 15,18,975 while the 8300’s shed 69,600.

FEB NIFTY OI

FEB NIFTY OI chart

FEB BANKNIFTY OI

FEB BANKNIFTY OI chart

MAR NIFTY OI

MAR NIFTY OI chart

MAR BANKNIFTY OI

MAR BANKNIFTY OI chart

MAR NIFTY Volatility

MAR NIFTY Volatility chart

MAR BANKNIFTY Volatility

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

VIX Density Plot

VIX kernel density plot

Opening Bell 23.02.2017

Your world at 9am

world equity market heatmap

Equities

Major
DAX(DEU) +0.26%
CAC(FRA) +0.15%
UKX(GBR) +0.38%
NKY(JPN) -0.35%
SPX(USA) -0.11%
MINTs
JCI(IDN) +0.07%
INMEX(MEX) -0.96%
NGSEINDX(NGA) -0.01%
XU030(TUR) -0.47%
BRICS
IBOV(BRA) -0.67%
SHCOMP(CHN) -0.31%
NIFTY(IND) +0.21%
INDEXCF(RUS) -1.01%
TOP40(ZAF) -1.06%

Commodities

Energy
Brent Crude Oil +0.93%
Ethanol +0.00%
Heating Oil +0.79%
RBOB Gasoline +0.81%
Natural Gas +0.85%
WTI Crude Oil +0.95%
Metals
Copper +0.00%
Silver 5000oz +0.00%
Gold 100oz +0.33%
Palladium -0.01%
Platinum -0.01%

Currencies

USDEUR:+0.01% USDJPY:-0.03%

MINTs
USDIDR(IDN) -0.06%
USDMXN(MEX) -0.03%
USDNGN(NGA) +0.20%
USDTRY(TUR) +0.03%
BRICS
USDBRL(BRA) -1.03%
USDCNY(CHN) +0.01%
USDINR(IND) -0.07%
USDRUB(RUS) -0.17%
USDZAR(ZAF) +0.34%
Agricultural
Coffee (Robusta) +0.00%
White Sugar +0.00%
Cattle +0.00%
Cocoa +0.00%
Feeder Cattle +0.00%
Sugar #11 +0.00%
Coffee (Arabica) +0.00%
Orange Juice +0.00%
Soybeans +0.24%
Wheat +0.45%
Corn +0.13%
Cotton +0.00%
Lean Hogs +0.00%
Lumber +0.00%
Soybean Meal +0.18%

Out of 42 world ETFs listed in NYSE that we track, 29 are trading above their 10-day SMA and 36 are trading above their 50-day SMA.

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Check out our Global Macro Dashboard for currency, commodity, bonds and credit charts.

Good luck!

Options Daily 23.02.2017

NIFTY Summary:

  1. Mar 9100 calls added 5,16,675 contracts.
  2. Mar 8900 calls shed 1,75,500.
  3. Mar 8800 puts added 2,48,475.
  4. Mar 8300 puts shed 69,600.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 68.86 261.98
5 72.29 276.35
10 74.22 272.94
20 75.21 265.84

NIFTY 50 NIFTY BANK
TrueRange 55.50 128.60
TrueHigh 8960.75 20958.25
TrueLow 8905.25 20829.65
Avg. True Range

NIFTY.50 NIFTY.BANK
3 68.86 261.98
5 72.29 276.35
10 74.22 272.94
20 75.21 265.84

NIFTY 50 NIFTY BANK
TrueRange 55.50 128.60
TrueHigh 8960.75 20958.25
TrueLow 8905.25 20829.65

FEB NIFTY OI

FEB NIFTY OI chart

FEB BANKNIFTY OI

FEB BANKNIFTY OI chart

MAR NIFTY OI

MAR NIFTY OI chart

MAR BANKNIFTY OI

MAR BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

FEB NIFTY Volatility

FEB NIFTY Volatility chart

FEB BANKNIFTY Volatility

FEB BANKNIFTY Volatility chart

MAR NIFTY Volatility

MAR NIFTY Volatility chart

MAR BANKNIFTY Volatility

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

VIX Density Plot

VIX kernel density plot

5-day forecast based on ARMA(0,2)+GARCH(1,1) model:

VIX 14.96 16.20 16.70 16.70 16.70
σ 1.33 1.35 1.37 1.38 1.40

2017-02-22 Implied Volatility Record

https://www.youtube.com/watch?v=t69WEXeX8AA

Marketwide OI

Securities under ban today: CEATLTD, GRANULES, IBREALEST, JINDALSTEL, JPASSOCIAT, RCOM, TV18BRDCST, WOCKPHARMA.
market wide position limit chart