Tag: options

Options Daily 22.10.2019

NIFTY Summary:

  1. Oct 11900 calls added 2,01,225 contracts.
  2. Oct 12000 calls shed 3,19,200.
  3. Oct 11500 puts added 5,31,975.
  4. 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

NIFTY 50 kernel density plot

OCT NIFTY OI

OCT NIFTY OI chart

OCT BANKNIFTY OI

OCT BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

OCT NIFTY Volatility

OCT NIFTY Volatility chart

OCT BANKNIFTY Volatility

OCT 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 14.27 14.27 14.27 14.27 14.27
σ 1.58 1.53 1.48 1.45 1.42

Marketwide OI

market wide position limit chart

Options Daily 21.10.2019

NIFTY Summary:

  1. Oct 11900 calls added 2,01,225 contracts.
  2. Oct 12000 calls shed 3,19,200.
  3. Oct 11500 puts added 5,31,975.
  4. 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

NIFTY 50 kernel density plot

OCT NIFTY OI

OCT NIFTY OI chart

OCT BANKNIFTY OI

OCT BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

OCT NIFTY Volatility

OCT NIFTY Volatility chart

OCT BANKNIFTY Volatility

OCT 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 14.27 14.27 14.27 14.27 14.27
σ 1.58 1.53 1.48 1.45 1.42

Marketwide OI

market wide position limit chart

Options Weekly 19.10.2019

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 NIFTY OI chart

OCT BANKNIFTY OI

OCT BANKNIFTY OI chart

OCT NIFTY Volatility

OCT NIFTY Volatility chart

OCT BANKNIFTY Volatility

OCT 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 18.10.2019

NIFTY Summary:

  1. Oct 11600 calls added 5,53,500 contracts.
  2. Oct 11350 calls shed 1,875.
  3. Oct 11500 puts added 10,39,725.
  4. 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

NIFTY 50 kernel density plot

OCT NIFTY OI

OCT NIFTY OI chart

OCT BANKNIFTY OI

OCT BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

OCT NIFTY Volatility

OCT NIFTY Volatility chart

OCT BANKNIFTY Volatility

OCT 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 14.26 14.26 14.26 14.26 14.26
σ 1.55 1.50 1.46 1.43 1.41

Marketwide OI

market wide position limit chart

Options Daily 17.10.2019

NIFTY Summary:

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

NIFTY 50 kernel density plot

OCT NIFTY OI

OCT NIFTY OI chart

OCT BANKNIFTY OI

OCT BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

OCT NIFTY Volatility

OCT NIFTY Volatility chart

OCT BANKNIFTY Volatility

OCT 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 14.26 14.26 14.26 14.26 14.26
σ 1.94 1.80 1.69 1.61 1.54

Marketwide OI

market wide position limit chart