Tag: NIFTY

Options Weekly 25.05.2019

Summary: May NIFTY 12500 calls added 36,64,650 contracts while 12000 calls shed 12,83,925. On the Put side of the equation, the 11700 strike added 16,81,425 while the 10800’s shed 7,57,500.

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

MAY NIFTY Volatility

MAY NIFTY Volatility chart

MAY BANKNIFTY Volatility

MAY 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 24.05.2019

NIFTY Summary:

  1. May 12500 calls added 18,98,925 contracts.
  2. May 11300 calls shed 1,08,450.
  3. May 11600 puts added 3,31,350.
  4. May 10800 puts shed 5,71,575.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 268.50 896.77
5 232.68 766.91
10 188.66 622.93
20 156.25 532.08

NIFTY 50 NIFTY BANK
TrueRange 426.65 1412.65
TrueHigh 12041.15 31705.00
TrueLow 11614.50 30292.35

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

MAY NIFTY Volatility

MAY NIFTY Volatility chart

MAY BANKNIFTY Volatility

MAY 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 19.79 19.79 19.79 19.79 19.79
σ 4.45 4.41 4.37 4.34 4.30

Marketwide OI

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

Options Daily 23.05.2019

NIFTY Summary:

  1. May 12500 calls added 8,98,650 contracts.
  2. May 11600 calls shed 80,100.
  3. May 10800 puts added 5,33,100.
  4. May 11600 puts shed 2,54,175.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 189.42 638.84
5 184.26 605.64
10 163.03 536.58
20 143.45 488.73

NIFTY 50 NIFTY BANK
TrueRange 102.40 406.50
TrueHigh 11784.80 30675.10
TrueLow 11682.40 30268.60
Avg. True Range

NIFTY.50 NIFTY.BANK
3 189.42 638.84
5 184.26 605.64
10 163.03 536.58
20 143.45 488.73

NIFTY 50 NIFTY BANK
TrueRange 102.40 406.50
TrueHigh 11784.80 30675.10
TrueLow 11682.40 30268.60

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

MAY NIFTY Volatility

MAY NIFTY Volatility chart

MAY BANKNIFTY Volatility

MAY 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(2,2)+GARCH(1,1) model:

VIX 27.49 27.29 27.14 27.02 26.93
σ 2.01 2.00 1.99 1.98 1.96

Marketwide OI

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

It Is Not Your Father’s NIFTY

Here’s something to keep in mind while using historical index returns to draw conclusions about the future: the composition of the index keeps changing. The shifting effects of industry dynamics and market cycles should not be ignored.

NIFTY 50 in 2009:
NIFTY 50 sector weights in 2009

NIFTY 50 in 2019 (10 years later):
NIFTY 50 sector weights in 2019

Banks and financials now have a bigger impact on index performance. If you are looking for a more diversified exposure, the NEXT 50 is a better option:
NEXT 50 sector weights in 2019

Code and charts on github.

Options Daily 22.05.2019

NIFTY Summary:

  1. May 12400 calls added 6,63,825 contracts.
  2. May 11800 calls shed 2,58,975.
  3. May 11600 puts added 1,84,425.
  4. May 11100 puts shed 2,11,500.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 232.93 755.00
5 204.71 655.35
10 169.52 549.75
20 144.77 489.59

NIFTY 50 NIFTY BANK
TrueRange 200.75 661.60
TrueHigh 11883.55 30926.70
TrueLow 11682.80 30265.10
Avg. True Range

NIFTY.50 NIFTY.BANK
3 232.93 755.00
5 204.71 655.35
10 169.52 549.75
20 144.77 489.59

NIFTY 50 NIFTY BANK
TrueRange 200.75 661.60
TrueHigh 11883.55 30926.70
TrueLow 11682.80 30265.10

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

MAY NIFTY Volatility

MAY NIFTY Volatility chart

MAY BANKNIFTY Volatility

MAY 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(2,3)+GARCH(1,1) model:

VIX 25.53 25.81 25.88 25.94 26.01
σ 2.00 1.99 1.98 1.97 1.96

Marketwide OI

Securities under ban today: ADANIPOWER, IDBI, JETAIRWAYS, RELCAPITAL.
market wide position limit chart