Tag: NIFTY

Options Daily 21.05.2019

NIFTY Summary:

  1. May 13000 calls added 9,65,775 contracts.
  2. May 11500 calls shed 3,56,250.
  3. May 11500 puts added 3,57,975.
  4. May 10000 puts shed 2,26,575.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 154.51 513.71
5 147.61 472.96
10 136.30 447.34
20 126.46 437.85

NIFTY 50 NIFTY BANK
TrueRange 169.05 704.15
TrueHigh 11426.15 29559.45
TrueLow 11257.10 28855.30
Avg. True Range

NIFTY.50 NIFTY.BANK
3 249.02 801.71
5 205.69 653.81
10 166.08 538.03
20 141.44 480.62

NIFTY 50 NIFTY BANK
TrueRange 438.05 1377.70
TrueHigh 11845.20 30827.85
TrueLow 11407.15 29450.15
Avg. True Range

NIFTY.50 NIFTY.BANK
3 249.02 801.71
5 205.69 653.81
10 166.08 538.03
20 141.44 480.62

NIFTY 50 NIFTY BANK
TrueRange 438.05 1377.70
TrueHigh 11845.20 30827.85
TrueLow 11407.15 29450.15

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 23.66 23.64 23.96 24.23 24.44
σ 2.02 2.01 2.00 1.99 1.98

Marketwide OI

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

Options Weekly 18.05.2019

Summary: May NIFTY 12000 calls added 6,40,875 contracts while 11200 calls shed 9,225. On the Put side of the equation, the 11000 strike added 4,54,275 while the 11400’s shed 5,250.

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 17.05.2019

NIFTY Summary:

  1. May 11500 calls added 1,11,075 contracts.
  2. May 11200 calls shed 16,50,825.
  3. May 11200 puts added 2,11,575.
  4. May 11300 puts shed 4,68,900.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 147.24 418.49
5 142.20 415.00
10 132.30 417.65
20 123.03 419.57

NIFTY 50 NIFTY BANK
TrueRange 138.20 422.15
TrueHigh 11281.55 28947.60
TrueLow 11143.35 28525.45

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

VIX 28.49 28.64 28.56 28.82 28.73
σ 0.77 0.77 0.77 0.77 0.77

Marketwide OI

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

Options Daily 16.05.2019

NIFTY Summary:

  1. May 12500 calls added 1,17,300 contracts.
  2. May 11900 calls shed 525.
  3. May 11200 puts added 55,350.
  4. May 11200 puts shed 3,45,225.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 151.77 416.66
5 143.21 413.24
10 131.80 417.72
20 122.32 419.54

NIFTY 50 NIFTY BANK
TrueRange 149.85 428.00
TrueHigh 11286.80 28983.15
TrueLow 11136.95 28555.15
Avg. True Range

NIFTY.50 NIFTY.BANK
3 151.77 416.66
5 143.21 413.24
10 131.80 417.72
20 122.32 419.54

NIFTY 50 NIFTY BANK
TrueRange 149.85 428.00
TrueHigh 11286.80 28983.15
TrueLow 11136.95 28555.15

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

VIX 28.46 28.23 28.08 27.98 27.92
σ 1.16 1.14 1.12 1.10 1.09

Marketwide OI

market wide position limit chart