Category: Your Money

Options Daily 10.12.2021

NIFTY Summary:

  1. Dec 18500 calls added 18,77,650 contracts.
  2. Dec 17350 calls shed 14,100.
  3. Dec 17500 puts added 16,79,250.
  4. Dec 17300 puts shed 29,04,900.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 266.32 718.36
5 285.84 757.62
10 286.81 774.49
20 270.31 759.30

NIFTY 50 NIFTY BANK
TrueRange 163.65 513.10
TrueHigh 17543.25 37397.55
TrueLow 17379.60 36884.45

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

DEC NIFTY OI

DEC NIFTY OI chart

DEC BANKNIFTY OI

DEC BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

DEC NIFTY Volatility

DEC NIFTY Volatility chart

DEC BANKNIFTY Volatility

DEC 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, IBULHSGFIN.
market wide position limit chart

Options Daily 09.12.2021

NIFTY Summary:

  1. Dec 17800 calls added 3,79,650 contracts.
  2. Dec 17200 calls shed 1,28,900.
  3. Dec 17400 puts added 6,75,300.
  4. Dec 16400 puts shed 53,750.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 317.65 820.98
5 316.27 818.33
10 299.79 801.16
20 273.88 768.84

NIFTY 50 NIFTY BANK
TrueRange 307.90 766.40
TrueHigh 17484.60 37384.80
TrueLow 17176.70 36618.40
Avg. True Range

NIFTY.50 NIFTY.BANK
3 317.65 820.98
5 316.27 818.33
10 299.79 801.16
20 273.88 768.84

NIFTY 50 NIFTY BANK
TrueRange 307.90 766.40
TrueHigh 17484.60 37384.80
TrueLow 17176.70 36618.40

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

DEC NIFTY OI

DEC NIFTY OI chart

DEC BANKNIFTY OI

DEC BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

DEC NIFTY Volatility

DEC NIFTY Volatility chart

DEC BANKNIFTY Volatility

DEC 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: IBULHSGFIN.
market wide position limit chart

FRED Scan 09.12.2021

6-Month Treasury Constant Maturity Minus Federal Funds Rate

6-Month Treasury Constant Maturity Minus Federal Funds Rate

Total Value of Issues, with a Maturity Between 10 and 20 Days, Used in Calculating the AA Financial Commercial Paper Rates

Total Value of Issues, with a Maturity Between 10 and 20 Days, Used in Calculating the AA Financial Commercial Paper Rates

90-Day AA Nonfinancial Commercial Paper Interest Rate

90-Day AA Nonfinancial Commercial Paper Interest Rate

Effective Federal Funds Rate: 99th Percentile

Effective Federal Funds Rate: 99th Percentile

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

Options Daily 08.12.2021

NIFTY Summary:

  1. Dec 17500 calls added 4,59,750 contracts.
  2. Dec 17300 calls shed 78,350.
  3. Dec 17000 puts added 2,36,500.
  4. Dec 16000 puts shed 16,350.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 322.53 848.27
5 318.29 830.81
10 298.64 801.69
20 271.28 763.35

NIFTY 50 NIFTY BANK
TrueRange 339.40 1084.80
TrueHigh 17251.65 36820.70
TrueLow 16912.25 35735.90
Avg. True Range

NIFTY.50 NIFTY.BANK
3 322.53 848.27
5 318.29 830.81
10 298.64 801.69
20 271.28 763.35

NIFTY 50 NIFTY BANK
TrueRange 339.40 1084.80
TrueHigh 17251.65 36820.70
TrueLow 16912.25 35735.90

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

DEC NIFTY OI

DEC NIFTY OI chart

DEC BANKNIFTY OI

DEC BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

DEC NIFTY Volatility

DEC NIFTY Volatility chart

DEC BANKNIFTY Volatility

DEC 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: IBULHSGFIN.
market wide position limit chart