Tag: NIFTY

Options Weekly 15.12.2018

Summary: Dec NIFTY 11000 calls added 19,62,375 contracts while 10700 calls shed 17,16,825. On the Put side of the equation, the 10600 strike added 21,05,250 while the 10200’s shed 14,23,275.

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 14.12.2018

NIFTY Summary:

  1. Dec 10900 calls added 6,73,800 contracts.
  2. Dec 10700 calls shed 8,33,400.
  3. Dec 10800 puts added 13,04,850.
  4. Dec 10200 puts shed 3,72,300.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 159.19 430.01
5 153.29 411.38
10 139.37 372.93
20 129.20 345.54

NIFTY 50 NIFTY BANK
TrueRange 101.00 307.60
TrueHigh 10838.60 26951.45
TrueLow 10737.60 26643.85

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(4,2)+GARCH(1,1) model:

VIX 15.92 16.28 16.46 16.67 16.75
σ 1.39 1.34 1.28 1.23 1.19

Marketwide OI

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

Options Daily 13.12.2018

NIFTY Summary:

  1. Dec 10800 calls added 2,41,200 contracts.
  2. Dec 8600 calls shed 9,20,775.
  3. Dec 10600 puts added 11,81,550.
  4. Dec 10200 puts shed 6,33,450.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 188.29 491.22
5 166.52 437.64
10 145.86 384.91
20 136.15 358.77

NIFTY 50 NIFTY BANK
TrueRange 203.05 509.30
TrueHigh 10752.20 26672.70
TrueLow 10549.15 26163.40

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 16.02 16.03 16.04 16.06 16.07
σ 1.84 1.71 1.59 1.48 1.39

Marketwide OI

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

Options Daily 12.12.2018

NIFTY Summary:

  1. Dec 10600 calls added 7,16,475 contracts.
  2. Dec 10700 calls shed 3,05,400.
  3. Dec 10000 puts added 7,69,575.
  4. Dec 10700 puts shed 2,82,900.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 180.90 482.17
5 157.32 419.73
10 139.02 371.99
20 132.16 354.36

NIFTY 50 NIFTY BANK
TrueRange 233.30 628.95
TrueHigh 10567.15 26227.90
TrueLow 10333.85 25598.95

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 18.10 18.12 18.07 18.09 18.05
σ 1.62 1.52 1.42 1.33 1.26

Marketwide OI

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

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