Tag: BANKNIFTY

Options Daily 11.12.2018

NIFTY Summary:

  1. Dec 10700 calls added 11,84,625 contracts.
  2. Dec 11100 calls shed 1,19,175.
  3. Dec 10200 puts added 4,94,625.
  4. Dec 10700 puts shed 5,34,225.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 154.70 408.79
5 138.40 367.56
10 130.10 346.81
20 130.87 348.78

NIFTY 50 NIFTY BANK
TrueRange 218.75 522.30
TrueHigh 10693.70 26594.30
TrueLow 10474.95 26072.00

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

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

VIX 20.27 20.25 20.24 20.22 20.20
σ 1.18 1.12 1.06 1.01 0.97

Marketwide OI

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

Options Daily 10.12.2018

NIFTY Summary:

  1. Dec 11200 calls added 5,13,000 contracts.
  2. Dec 11000 calls shed 3,84,225.
  3. Dec 10500 puts added 4,89,150.
  4. Dec 10900 puts shed 1,88,700.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 122.68 352.03
5 118.25 328.84
10 119.93 328.27
20 125.91 343.00

NIFTY 50 NIFTY BANK
TrueRange 105.20 461.40
TrueHigh 10704.55 26659.70
TrueLow 10599.35 26198.30
Avg. True Range

NIFTY.50 NIFTY.BANK
3 122.68 352.03
5 118.25 328.84
10 119.93 328.27
20 125.91 343.00

NIFTY 50 NIFTY BANK
TrueRange 105.20 461.40
TrueHigh 10704.55 26659.70
TrueLow 10599.35 26198.30

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

5-day forecast based on ARMA(3,1)+GARCH(1,1) model:

VIX 18.60 18.62 18.58 18.60 18.56
σ 0.70 0.70 0.70 0.69 0.69

Marketwide OI

market wide position limit chart

Options Weekly 08.12.2018

Summary: Dec NIFTY 11000 calls added 17,26,425 contracts while 10700 calls shed 7,34,100. On the Put side of the equation, the 10300 strike added 12,91,275 while the 10500’s shed 10,04,325.

DEC NIFTY OI

DEC NIFTY OI chart

DEC BANKNIFTY OI

DEC BANKNIFTY OI 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

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

Options Daily 07.12.2018

NIFTY Summary:

  1. Dec 11000 calls added 13,16,250 contracts.
  2. Dec 12500 calls shed 99,525.
  3. Dec 10300 puts added 5,17,200.
  4. Dec 10500 puts shed 5,00,025.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 131.42 297.35
5 121.47 295.53
10 121.45 312.77
20 127.37 336.94

NIFTY 50 NIFTY BANK
TrueRange 194.65 370.15
TrueHigh 10782.90 26519.60
TrueLow 10588.25 26149.45

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

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

VIX 19.20 19.17 19.15 19.13 19.11
σ 0.73 0.72 0.72 0.72 0.72

Marketwide OI

market wide position limit chart

Options Daily 06.12.2018

NIFTY Summary:

  1. Dec 11100 calls added 2,57,700 contracts.
  2. Dec 10500 calls shed 40,650.
  3. Dec 10200 puts added 1,70,475.
  4. Dec 11000 puts shed 2,56,575.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 99.81 260.94
5 103.18 276.91
10 113.37 307.50
20 124.77 340.10

NIFTY 50 NIFTY BANK
TrueRange 121.55 250.15
TrueHigh 10869.50 26693.80
TrueLow 10747.95 26443.65

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

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

VIX 18.36 18.36 18.35 18.35 18.35
σ 0.57 0.59 0.61 0.63 0.64

Marketwide OI

market wide position limit chart