Tag: open interest

Options Weekly 20.04.2019

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 NIFTY OI chart

APR BANKNIFTY OI

APR BANKNIFTY OI chart

APR NIFTY Volatility

APR NIFTY Volatility chart

APR BANKNIFTY Volatility

APR 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 18.04.2019

NIFTY Summary:

  1. Apr 11850 calls added 1,54,050 contracts.
  2. Apr 11700 calls shed 5,04,750.
  3. Apr 11800 puts added 12,49,125.
  4. 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

NIFTY 50 kernel density plot

APR NIFTY OI

APR NIFTY OI chart

APR BANKNIFTY OI

APR BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

APR NIFTY Volatility

APR NIFTY Volatility chart

APR BANKNIFTY Volatility

APR 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(1,3)+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.
market wide position limit chart

Options Daily 16.04.2019

NIFTY Summary:

  1. Apr 11700 calls added 77,325 contracts.
  2. Apr 12000 calls shed 3,22,875.
  3. Apr 11700 puts added 3,63,300.
  4. 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

NIFTY 50 kernel density plot

APR NIFTY OI

APR NIFTY OI chart

APR BANKNIFTY OI

APR BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

APR NIFTY Volatility

APR NIFTY Volatility chart

APR BANKNIFTY Volatility

APR 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 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.
market wide position limit chart

Options Daily 15.04.2019

NIFTY Summary:

  1. Apr 12100 calls added 24,450 contracts.
  2. Apr 12000 calls shed 3,46,050.
  3. Apr 11500 puts added 2,40,750.
  4. 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

NIFTY 50 kernel density plot

APR NIFTY OI

APR NIFTY OI chart

APR BANKNIFTY OI

APR BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

APR NIFTY Volatility

APR NIFTY Volatility chart

APR BANKNIFTY Volatility

APR 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(1,3)+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.
market wide position limit chart

Options Weekly 13.04.2019

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.

APR NIFTY OI

APR NIFTY OI chart

APR BANKNIFTY OI

APR BANKNIFTY OI chart

APR NIFTY Volatility

APR NIFTY Volatility chart

APR BANKNIFTY Volatility

APR 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