Category: Your Money

Options Daily 21.10.2019

NIFTY Summary:

  1. Oct 11900 calls added 2,01,225 contracts.
  2. Oct 12000 calls shed 3,19,200.
  3. Oct 11500 puts added 5,31,975.
  4. Oct 11000 puts shed 1,46,325.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 132.13 523.58
5 141.03 617.44
10 155.00 705.22
20 166.33 741.57

NIFTY 50 NIFTY BANK
TrueRange 131.55 385.40
TrueHigh 11684.70 29249.50
TrueLow 11553.15 28864.10
Avg. True Range

NIFTY.50 NIFTY.BANK
3 132.13 523.58
5 141.03 617.44
10 155.00 705.22
20 166.33 741.57

NIFTY 50 NIFTY BANK
TrueRange 131.55 385.40
TrueHigh 11684.70 29249.50
TrueLow 11553.15 28864.10
Avg. True Range

NIFTY.50 NIFTY.BANK
3 132.13 523.58
5 141.03 617.44
10 155.00 705.22
20 166.33 741.57

NIFTY 50 NIFTY BANK
TrueRange 131.55 385.40
TrueHigh 11684.70 29249.50
TrueLow 11553.15 28864.10

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

OCT NIFTY OI

OCT NIFTY OI chart

OCT BANKNIFTY OI

OCT BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

OCT NIFTY Volatility

OCT NIFTY Volatility chart

OCT BANKNIFTY Volatility

OCT 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(0,0)+GARCH(1,1) model:

VIX 14.27 14.27 14.27 14.27 14.27
σ 1.58 1.53 1.48 1.45 1.42

Marketwide OI

market wide position limit chart

FRED Scan 21.10.2019

Gold Fixing Price 3:00 P.M. (London time) in London Bullion Market, based in British Pounds

Gold Fixing Price 3:00 P.M. (London time) in London Bullion Market, based in British Pounds

Term Repurchase Agreements: Total Securities Purchased by the Federal Reserve in the Temporary Open Market Operations

Term Repurchase Agreements: Total Securities Purchased by the Federal Reserve in the Temporary Open Market Operations

10-Year 0.375% Treasury Inflation-Indexed Note, Due 07/15/2025

10-Year 0.375% Treasury Inflation-Indexed Note, Due 07/15/2025

NASDAQ OMX Commodities Index Update 20.10.2019

52-week Highs



NASDAQ Commodity Palladium Index TR (NQCIPATR)

52w H 13143810 png
Nasdaq Commodity Tradable Ex Energy Index TR (NQCITXENTR)

52w H 41166489 png
NASDAQ Commodity Lead Index TR (NQCIPBTR)

52w H 13143790 png

52-week Lows



NASDAQ Commodity Robusta Coffee Index TR (NQCIRMTR)

52w L 13143813 png

100-day Returns


top 5
NASDAQ Commodity Palladium Index TR (NQCIPATR) 28.75
NASDAQ Commodity Lead Index TR (NQCIPBTR) 22.45
Nasdaq Commodity Tradable Ex Energy Index TR (NQCITXENTR) 4.89
NASDAQ Commodity Robusta Coffee Index TR (NQCIRMTR) -17.68
bottom 5
NASDAQ Commodity Robusta Coffee Index TR (NQCIRMTR) -17.68
Nasdaq Commodity Tradable Ex Energy Index TR (NQCITXENTR) 4.89
NASDAQ Commodity Lead Index TR (NQCIPBTR) 22.45
NASDAQ Commodity Palladium Index TR (NQCIPATR) 28.75

200-day Returns


top 5
NASDAQ Commodity Palladium Index TR (NQCIPATR) 46.83
NASDAQ Commodity Lead Index TR (NQCIPBTR) 12.63
Nasdaq Commodity Tradable Ex Energy Index TR (NQCITXENTR) 4.41
NASDAQ Commodity Robusta Coffee Index TR (NQCIRMTR) -23.60
bottom 5
NASDAQ Commodity Robusta Coffee Index TR (NQCIRMTR) -23.60
Nasdaq Commodity Tradable Ex Energy Index TR (NQCITXENTR) 4.41
NASDAQ Commodity Lead Index TR (NQCIPBTR) 12.63
NASDAQ Commodity Palladium Index TR (NQCIPATR) 46.83

50-day Acceleration


top 5
NASDAQ Commodity Palladium Index TR (NQCIPATR) 3.84
NASDAQ Commodity Robusta Coffee Index TR (NQCIRMTR) 0.69
NASDAQ Commodity Lead Index TR (NQCIPBTR) 0.36
Nasdaq Commodity Tradable Ex Energy Index TR (NQCITXENTR) 0.25
bottom 5
Nasdaq Commodity Tradable Ex Energy Index TR (NQCITXENTR) 0.25
NASDAQ Commodity Lead Index TR (NQCIPBTR) 0.36
NASDAQ Commodity Robusta Coffee Index TR (NQCIRMTR) 0.69
NASDAQ Commodity Palladium Index TR (NQCIPATR) 3.84

100-day Acceleration


top 5
NASDAQ Commodity Robusta Coffee Index TR (NQCIRMTR) 2.46
NASDAQ Commodity Palladium Index TR (NQCIPATR) 2.05
NASDAQ Commodity Lead Index TR (NQCIPBTR) -2.80
Nasdaq Commodity Tradable Ex Energy Index TR (NQCITXENTR) -10.85
bottom 5
Nasdaq Commodity Tradable Ex Energy Index TR (NQCITXENTR) -10.85
NASDAQ Commodity Lead Index TR (NQCIPBTR) -2.80
NASDAQ Commodity Palladium Index TR (NQCIPATR) 2.05
NASDAQ Commodity Robusta Coffee Index TR (NQCIRMTR) 2.46

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