Tag: NIFTY

Options Daily 11.08.2020

NIFTY Summary:

  1. Aug 11400 calls added 1,60,800 contracts.
  2. Aug 11200 calls shed 20,475.
  3. Aug 11200 puts added 1,59,450.
  4. Aug 10500 puts shed 2,75,025.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 137.38 420.49
5 149.44 470.71
10 157.14 521.24
20 159.47 553.19

NIFTY 50 NIFTY BANK
TrueRange 123.25 317.95
TrueHigh 11337.30 22071.95
TrueLow 11214.05 21754.00
Avg. True Range

NIFTY.50 NIFTY.BANK
3 137.38 420.49
5 149.44 470.71
10 157.14 521.24
20 159.47 553.19

NIFTY 50 NIFTY BANK
TrueRange 123.25 317.95
TrueHigh 11337.30 22071.95
TrueLow 11214.05 21754.00

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(2,0)+GARCH(1,1) model:

VIX 22.51 22.51 22.51 22.51 22.51
σ 0.04 0.05 0.05 0.05 0.05

Marketwide OI

Securities under ban today: CANBK, CENTURYTEX, IDEA, MUTHOOTFIN, VEDL.
market wide position limit chart

Options Daily 10.08.2020

NIFTY Summary:

  1. Aug 11400 calls added 1,12,275 contracts.
  2. Aug 10600 calls shed 975.
  3. Aug 10600 puts added 2,99,925.
  4. Aug 9000 puts shed 675.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 144.45 471.76
5 155.98 508.80
10 160.81 542.19
20 160.61 560.59

NIFTY 50 NIFTY BANK
TrueRange 89.85 335.95
TrueHigh 11231.90 21787.25
TrueLow 11142.05 21451.30
Avg. True Range

NIFTY.50 NIFTY.BANK
3 144.45 471.76
5 155.98 508.80
10 160.81 542.19
20 160.61 560.59

NIFTY 50 NIFTY BANK
TrueRange 89.85 335.95
TrueHigh 11231.90 21787.25
TrueLow 11142.05 21451.30
Avg. True Range

NIFTY.50 NIFTY.BANK
3 144.45 471.76
5 155.98 508.80
10 160.81 542.19
20 160.61 560.59

NIFTY 50 NIFTY BANK
TrueRange 89.85 335.95
TrueHigh 11231.90 21787.25
TrueLow 11142.05 21451.30

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 24.56 24.56 24.56 24.56 24.56
σ 1.98 1.98 1.98 1.98 1.98

Marketwide OI

Securities under ban today: CANBK, CENTURYTEX, IDEA, VEDL.
market wide position limit chart

Options Weekly 08.08.2020

Summary: Aug NIFTY 11500 calls added 22,35,900 contracts while 11100 calls shed 73,200. On the Put side of the equation, the 11000 strike added 25,96,950 while the 10000’s shed 4,31,775.

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 07.08.2020

NIFTY Summary:

  1. Aug 12000 calls added 6,63,375 contracts.
  2. Aug 11100 calls shed 73,200.
  3. Aug 11200 puts added 8,19,225.
  4. Aug 10250 puts shed 1,425.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 171.75 539.67
5 172.54 552.07
10 168.94 565.55
20 164.40 572.16

NIFTY 50 NIFTY BANK
TrueRange 155.15 556.25
TrueHigh 11256.80 21926.55
TrueLow 11101.65 21370.30

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 24.56 24.56 24.56 24.56 24.56
σ 1.41 1.41 1.41 1.41 1.41

Marketwide OI

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