Tag: NIFTY

Options Daily 21.08.2019

NIFTY Summary:

  1. Aug 11100 calls added 2,08,500 contracts.
  2. Aug 11500 calls shed 3,02,325.
  3. Aug 10800 puts added 1,51,650.
  4. Aug 10700 puts shed 5,63,400.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 130.57 440.79
5 147.94 489.64
10 153.29 504.84
20 145.34 479.16

NIFTY 50 NIFTY BANK
TrueRange 91.00 375.75
TrueHigh 11076.30 28215.40
TrueLow 10985.30 27839.65
Avg. True Range

NIFTY.50 NIFTY.BANK
3 130.57 440.79
5 147.94 489.64
10 153.29 504.84
20 145.34 479.16

NIFTY 50 NIFTY BANK
TrueRange 91.00 375.75
TrueHigh 11076.30 28215.40
TrueLow 10985.30 27839.65

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

Marketwide OI

Securities under ban today: DHFL, IDBI.
market wide position limit chart

Options Daily 20.08.2019

NIFTY Summary:

  1. Aug 11500 calls added 2,37,000 contracts.
  2. Aug 10900 calls shed 53,850.
  3. Aug 11100 puts added 2,12,550.
  4. Aug 10800 puts shed 2,30,625.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 171.00 548.77
5 175.68 567.66
10 169.38 549.19
20 156.81 505.86

NIFTY 50 NIFTY BANK
TrueRange 144.35 530.10
TrueHigh 11068.65 28251.05
TrueLow 10924.30 27720.95
Avg. True Range

NIFTY.50 NIFTY.BANK
3 150.35 473.31
5 162.34 518.70
10 162.56 526.96
20 153.03 500.30

NIFTY 50 NIFTY BANK
TrueRange 109.05 322.40
TrueHigh 11146.90 28468.90
TrueLow 11037.85 28146.50
Avg. True Range

NIFTY.50 NIFTY.BANK
3 150.35 473.31
5 162.34 518.70
10 162.56 526.96
20 153.03 500.30

NIFTY 50 NIFTY BANK
TrueRange 109.05 322.40
TrueHigh 11146.90 28468.90
TrueLow 11037.85 28146.50

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

Marketwide OI

Securities under ban today: DHFL, IDBI.
market wide position limit chart

Options Weekly 17.08.2019

Summary: Aug NIFTY 11100 calls added 13,46,025 contracts while 10900 calls shed 4,275. On the Put side of the equation, the 10900 strike added 18,00,075 while the 10300’s shed 43,200.

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 16.08.2019

NIFTY Summary:

  1. Aug 12000 calls added 9,11,475 contracts.
  2. Aug 12200 calls shed 600.
  3. Aug 11000 puts added 7,90,575.
  4. Aug 11250 puts shed 600.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 184.33 558.10
5 183.40 576.80
10 171.14 549.38
20 154.88 498.08

NIFTY 50 NIFTY BANK
TrueRange 152.30 380.40
TrueHigh 11078.15 28107.05
TrueLow 10925.85 27726.65

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

VIX 14.08 14.08 14.08 14.08 14.08
σ 2.05 1.86 1.71 1.60 1.52

Marketwide OI

Securities under ban today: DHFL.
market wide position limit chart