Tag: BANKNIFTY

Options Daily 20.08.2018

NIFTY Summary:

  1. Aug 11600 calls added 4,36,725 contracts.
  2. Aug 11500 calls shed 8,94,675.
  3. Aug 11400 puts added 9,30,825.
  4. Aug 11200 puts shed 4,20,525.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 88.62 302.56
5 85.00 295.56
10 83.77 288.14
20 84.02 283.32

NIFTY 50 NIFTY BANK
TrueRange 101.40 351.60
TrueHigh 11486.45 28178.15
TrueLow 11385.05 27826.55
Avg. True Range

NIFTY.50 NIFTY.BANK
3 88.62 302.56
5 85.00 295.56
10 83.77 288.14
20 84.02 283.32

NIFTY 50 NIFTY BANK
TrueRange 101.40 351.60
TrueHigh 11486.45 28178.15
TrueLow 11385.05 27826.55

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

AUG NIFTY OI

AUG NIFTY OI chart

AUG BANKNIFTY OI

AUG 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
Dotted lines indicated actual underlying volatility. Solid lines are IVs.

VIX Density Plot

VIX kernel density plot

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

VIX 13.22 13.25 13.28 13.30 13.33
σ 0.54 0.57 0.59 0.60 0.61

Marketwide OI

Securities under ban today: ADANIENT, ADANIPOWER, JETAIRWAYS, JISLJALEQS, RAYMOND.
market wide position limit chart

Options Weekly 18.08.2018

Summary: Aug NIFTY 11500 calls added 12,40,275 contracts while 11500 calls shed 12,32,250. On the Put side of the equation, the 11400 strike added 23,61,225 while the 11400’s shed 7,32,825.

AUG NIFTY OI

AUG NIFTY OI chart

AUG BANKNIFTY OI

AUG BANKNIFTY OI chart

AUG NIFTY Volatility

AUG NIFTY Volatility chart

AUG BANKNIFTY Volatility

AUG 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 17.08.2018

NIFTY Summary:

  1. Aug 11500 calls added 3,34,425 contracts.
  2. Aug 11700 calls shed 53,850.
  3. Aug 10500 puts added 1,52,925.
  4. Aug 11000 puts shed 3,15,150.

Our trend model indicates a SHORT on the NIFTY

AUG NIFTY OI

AUG NIFTY OI chart

AUG BANKNIFTY OI

AUG BANKNIFTY OI chart

AUG NIFTY Volatility

AUG NIFTY Volatility chart
Dotted lines indicated actual underlying volatility. Solid lines are IVs.

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

VIX 13.65 13.66 13.68 13.70 13.72
σ 0.52 0.55 0.58 0.60 0.61

Marketwide OI

Securities under ban today: ADANIENT, ADANIPOWER, JETAIRWAYS, JISLJALEQS.
market wide position limit chart

Options Daily 16.08.2018

NIFTY Summary:

  1. Aug 11600 calls added 3,02,400 contracts.
  2. Aug 11500 calls shed 3,37,575.
  3. Aug 11400 puts added 7,27,200.
  4. Aug 10300 puts shed 2,69,250.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 81.55 295.97
5 80.20 291.30
10 81.01 283.06
20 82.19 276.33

NIFTY 50 NIFTY BANK
TrueRange 96.70 258.65
TrueHigh 11452.45 28053.05
TrueLow 11355.75 27794.40

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

AUG NIFTY OI

AUG NIFTY OI chart

AUG BANKNIFTY OI

AUG 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
Dotted lines indicated actual underlying volatility. Solid lines are IVs.

VIX Density Plot

VIX kernel density plot

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

VIX 13.31 13.34 13.37 13.40 13.43
σ 0.50 0.54 0.57 0.59 0.60

Marketwide OI

Securities under ban today: ADANIENT, ADANIPOWER, JETAIRWAYS, PNB.
market wide position limit chart

Options Daily 14.08.2018

NIFTY Summary:

  1. Aug 11400 calls added 5,05,050 contracts.
  2. Aug 11000 calls shed 1,25,850.
  3. Aug 11200 puts added 2,59,275.
  4. Aug 11400 puts shed 3,93,900.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 73.98 314.63
5 76.09 299.59
10 79.44 287.08
20 81.94 279.87

NIFTY 50 NIFTY BANK
TrueRange 89.20 384.75
TrueHigh 11429.50 28124.25
TrueLow 11340.30 27739.50

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

AUG NIFTY OI

AUG NIFTY OI chart

AUG BANKNIFTY OI

AUG 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
Dotted lines indicated actual underlying volatility. Solid lines are IVs.

VIX Density Plot

VIX kernel density plot

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

VIX 13.39 13.41 13.44 13.48 13.50
σ 0.53 0.57 0.59 0.61 0.62

Marketwide OI

Securities under ban today: ADANIENT, ADANIPOWER, JETAIRWAYS, PNB.
market wide position limit chart