Tag: open interest

Options Daily 22.10.2019

stockviz October 22, 2019 0

NIFTY Summary:

Oct 11900 calls added 2,01,225 contracts.
Oct 12000 calls shed 3,19,200.
Oct 11500 puts added 5,31,975.
Oct 11000 puts shed 1,46,325.

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

Avg. True Range

	NIFTY.50	NIFTY.BANK
3	132.13	523.58
5	141.03	617.44
10	155.00	705.22
20	166.33	741.57

	NIFTY 50	NIFTY BANK
TrueRange	131.55	385.40
TrueHigh	11684.70	29249.50
TrueLow	11553.15	28864.10

Avg. True Range

	NIFTY.50	NIFTY.BANK
3	132.13	523.58
5	141.03	617.44
10	155.00	705.22
20	166.33	741.57

	NIFTY 50	NIFTY BANK
TrueRange	131.55	385.40
TrueHigh	11684.70	29249.50
TrueLow	11553.15	28864.10

Nifty 50 Returns Density Plot

OCT NIFTY OI

OCT BANKNIFTY OI

NIFTY Weighted Avg. Open Interest

OCT NIFTY Volatility

OCT BANKNIFTY Volatility

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

VIX Density Plot

5-day forecast based on ARMA(0,0)+GARCH(1,1) model:

VIX	14.27	14.27	14.27	14.27	14.27
σ	1.58	1.53	1.48	1.45	1.42

Marketwide OI

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

Options Daily 21.10.2019

stockviz October 21, 2019 0

NIFTY Summary:

Oct 11900 calls added 2,01,225 contracts.
Oct 12000 calls shed 3,19,200.
Oct 11500 puts added 5,31,975.
Oct 11000 puts shed 1,46,325.

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

Avg. True Range

	NIFTY.50	NIFTY.BANK
3	132.13	523.58
5	141.03	617.44
10	155.00	705.22
20	166.33	741.57

	NIFTY 50	NIFTY BANK
TrueRange	131.55	385.40
TrueHigh	11684.70	29249.50
TrueLow	11553.15	28864.10

Avg. True Range

	NIFTY.50	NIFTY.BANK
3	132.13	523.58
5	141.03	617.44
10	155.00	705.22
20	166.33	741.57

	NIFTY 50	NIFTY BANK
TrueRange	131.55	385.40
TrueHigh	11684.70	29249.50
TrueLow	11553.15	28864.10

Avg. True Range

	NIFTY.50	NIFTY.BANK
3	132.13	523.58
5	141.03	617.44
10	155.00	705.22
20	166.33	741.57

	NIFTY 50	NIFTY BANK
TrueRange	131.55	385.40
TrueHigh	11684.70	29249.50
TrueLow	11553.15	28864.10

Nifty 50 Returns Density Plot

OCT NIFTY OI

OCT BANKNIFTY OI

NIFTY Weighted Avg. Open Interest

OCT NIFTY Volatility

OCT BANKNIFTY Volatility

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

VIX Density Plot

5-day forecast based on ARMA(0,0)+GARCH(1,1) model:

VIX	14.27	14.27	14.27	14.27	14.27
σ	1.58	1.53	1.48	1.45	1.42

Marketwide OI

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

Options Weekly 19.10.2019

stockviz October 19, 2019 0

Summary: Oct NIFTY 11700 calls added 10,84,425 contracts while 11500 calls shed 1,65,750. On the Put side of the equation, the 11500 strike added 15,98,550 while the 11050’s shed 34,350.

OCT NIFTY OI

OCT BANKNIFTY OI

OCT NIFTY Volatility

OCT 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 18.10.2019

stockviz October 18, 2019 0

NIFTY Summary:

Oct 11600 calls added 5,53,500 contracts.
Oct 11350 calls shed 1,875.
Oct 11500 puts added 10,39,725.
Oct 11050 puts shed 34,350.

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

Avg. True Range

	NIFTY.50	NIFTY.BANK
3	132.41	592.67
5	143.41	675.65
10	157.54	743.37
20	166.01	755.56

	NIFTY 50	NIFTY BANK
TrueRange	159.45	561.10
TrueHigh	11599.10	29049.05
TrueLow	11439.65	28487.95

Nifty 50 Returns Density Plot

OCT NIFTY OI

OCT BANKNIFTY OI

NIFTY Weighted Avg. Open Interest

OCT NIFTY Volatility

OCT BANKNIFTY Volatility

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

VIX Density Plot

5-day forecast based on ARMA(0,0)+GARCH(1,1) model:

VIX	14.26	14.26	14.26	14.26	14.26
σ	1.55	1.50	1.46	1.43	1.41

Marketwide OI

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

Options Daily 17.10.2019

stockviz October 17, 2019 0

NIFTY Summary:

Oct 11500 calls added 1,87,125 contracts.
Oct 11200 calls shed 525.
Oct 11400 puts added 1,89,150.
Oct 10800 puts shed 4,575.

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

Avg. True Range

	NIFTY.50	NIFTY.BANK
3	118.90	608.46
5	139.52	704.46
10	159.08	766.40
20	168.55	762.36

	NIFTY 50	NIFTY BANK
TrueRange	69.95	453.95
TrueHigh	11481.05	28759.35
TrueLow	11411.10	28305.40

Avg. True Range

	NIFTY.50	NIFTY.BANK
3	118.90	608.46
5	139.52	704.46
10	159.08	766.40
20	168.55	762.36

	NIFTY 50	NIFTY BANK
TrueRange	69.95	453.95
TrueHigh	11481.05	28759.35
TrueLow	11411.10	28305.40

Nifty 50 Returns Density Plot

OCT NIFTY OI

OCT BANKNIFTY OI

NIFTY Weighted Avg. Open Interest

OCT NIFTY Volatility

OCT BANKNIFTY Volatility

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

VIX Density Plot

5-day forecast based on ARMA(0,0)+GARCH(1,1) model:

VIX	14.26	14.26	14.26	14.26	14.26
σ	1.94	1.80	1.69	1.61	1.54

Marketwide OI

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