Tag: open interest

Options Weekly 20.04.2019

stockviz April 20, 2019 0

Summary: Apr NIFTY 11800 calls added 12,38,850 contracts while 12000 calls shed 8,15,625. On the Put side of the equation, the 11800 strike added 13,84,800 while the 11200’s shed 4,49,475.

APR NIFTY OI

APR BANKNIFTY OI

APR NIFTY Volatility

APR BANKNIFTY Volatility

Dotted lines indicated actual underlying volatility. Solid lines are IVs.

VIX Density Plot

Nifty 50 Returns Density Plot

Categories Your Money Tags BANKNIFTY, NIFTY, open interest, options, weekly

Options Daily 18.04.2019

stockviz April 18, 2019 0

NIFTY Summary:

Apr 11850 calls added 1,54,050 contracts.
Apr 11700 calls shed 5,04,750.
Apr 11800 puts added 12,49,125.
Apr 11200 puts shed 2,77,800.

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

Avg. True Range

	NIFTY.50	NIFTY.BANK
3	93.82	365.32
5	96.59	371.01
10	100.97	383.18
20	103.10	386.70

	NIFTY 50	NIFTY BANK
TrueRange	120.60	486.70
TrueHigh	11810.95	30590.95
TrueLow	11690.35	30104.25

Avg. True Range

	NIFTY.50	NIFTY.BANK
3	93.82	365.32
5	96.59	371.01
10	100.97	383.18
20	103.10	386.70

	NIFTY 50	NIFTY BANK
TrueRange	120.60	486.70
TrueHigh	11810.95	30590.95
TrueLow	11690.35	30104.25

Nifty 50 Returns Density Plot

APR NIFTY OI

APR BANKNIFTY OI

NIFTY Weighted Avg. Open Interest

APR NIFTY Volatility

APR BANKNIFTY Volatility

Dotted lines indicated actual underlying volatility. Solid lines are IVs.

VIX Density Plot

5-day forecast based on ARMA(1,3)+GARCH(1,1) model:

VIX	21.64	21.59	21.57	21.57	21.57
σ	0.54	0.57	0.59	0.61	0.62

Marketwide OI

Securities under ban today: IDBI, IDEA, JETAIRWAYS, PCJEWELLER, RPOWER.

Categories Your Money Tags BANKNIFTY, daily, NIFTY, open interest, options

Options Daily 16.04.2019

stockviz April 16, 2019 0

NIFTY Summary:

Apr 11700 calls added 77,325 contracts.
Apr 12000 calls shed 3,22,875.
Apr 11700 puts added 3,63,300.
Apr 11100 puts shed 1,68,750.

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

Avg. True Range

	NIFTY.50	NIFTY.BANK
3	80.42	304.64
5	90.67	342.46
10	99.85	375.17
20	104.48	388.84

	NIFTY 50	NIFTY BANK
TrueRange	61.15	244.00
TrueHigh	11704.60	30163.10
TrueLow	11643.45	29919.10

Avg. True Range

	NIFTY.50	NIFTY.BANK
3	80.42	304.64
5	90.67	342.46
10	99.85	375.17
20	104.48	388.84

	NIFTY 50	NIFTY BANK
TrueRange	61.15	244.00
TrueHigh	11704.60	30163.10
TrueLow	11643.45	29919.10

Nifty 50 Returns Density Plot

APR NIFTY OI

APR BANKNIFTY OI

NIFTY Weighted Avg. Open Interest

APR NIFTY Volatility

APR BANKNIFTY Volatility

Dotted lines indicated actual underlying volatility. Solid lines are IVs.

VIX Density Plot

5-day forecast based on ARMA(2,3)+GARCH(1,1) model:

VIX	20.98	20.63	20.33	20.08	19.88
σ	0.77	0.76	0.76	0.76	0.76

Marketwide OI

Securities under ban today: DHFL, IDBI, JETAIRWAYS, PCJEWELLER, RPOWER, WOCKPHARMA.

Categories Your Money Tags BANKNIFTY, daily, NIFTY, open interest, options

Options Daily 15.04.2019

stockviz April 15, 2019 0

NIFTY Summary:

Apr 12100 calls added 24,450 contracts.
Apr 12000 calls shed 3,46,050.
Apr 11500 puts added 2,40,750.
Apr 10900 puts shed 62,100.

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

Avg. True Range

	NIFTY.50	NIFTY.BANK
3	90.06	334.96
5	98.05	367.06
10	103.88	388.43
20	105.98	392.73

	NIFTY 50	NIFTY BANK
TrueRange	78.55	293.95
TrueHigh	11657.35	30000.95
TrueLow	11578.80	29707.00

Avg. True Range

	NIFTY.50	NIFTY.BANK
3	90.06	334.96
5	98.05	367.06
10	103.88	388.43
20	105.98	392.73

	NIFTY 50	NIFTY BANK
TrueRange	78.55	293.95
TrueHigh	11657.35	30000.95
TrueLow	11578.80	29707.00

Avg. True Range

	NIFTY.50	NIFTY.BANK
3	90.06	334.96
5	98.05	367.06
10	103.88	388.43
20	105.98	392.73

	NIFTY 50	NIFTY BANK
TrueRange	78.55	293.95
TrueHigh	11657.35	30000.95
TrueLow	11578.80	29707.00

Nifty 50 Returns Density Plot

APR NIFTY OI

APR BANKNIFTY OI

NIFTY Weighted Avg. Open Interest

APR NIFTY Volatility

APR BANKNIFTY Volatility

Dotted lines indicated actual underlying volatility. Solid lines are IVs.

VIX Density Plot

5-day forecast based on ARMA(1,3)+GARCH(1,1) model:

VIX	20.91	20.90	20.89	20.89	20.89
σ	0.60	0.62	0.63	0.64	0.65

Marketwide OI

Securities under ban today: DHFL, DLF, IDBI, JETAIRWAYS, RPOWER, WOCKPHARMA.

Categories Your Money Tags BANKNIFTY, daily, NIFTY, open interest, options

Options Weekly 13.04.2019

stockviz April 13, 2019 0

Summary: Apr NIFTY 11700 calls added 15,69,525 contracts while 11700 calls shed 1,75,575. On the Put side of the equation, the 11600 strike added 15,51,750 while the 11100’s shed 24,000.