Nifty spot analysis BY Santhosh2010

[lsgangadhararao]

excellent analysis. please continue

 

[santhosh2010]

What about nifty next ? 30/11/2013 [vimalraj]

 

[santhosh2010]

 

[santhosh2010]

GreenTree_Nifty_Analysis_Active_v 8.8

http://goo.gl/XcQM5i

 

[Option.Trader]

GreenTree_Nifty_Analysis_Active_v 8.8

http://goo.gl/XcQM5i

How do you make sense of this? Have seen this before, but just couldn't make sense

 

[santhosh2010]

How do you make sense of this? Have seen this before, but just couldn't make sense

dear option trader,

This excel not mine... Just shearing which one i got from Google search...

 

[santhosh2010]

What about nifty next ? 02/12/2013 [vimalraj]

 

[santhosh2010]

Banknifty Spot Long Term View [vimalraj]

Banknifty Spot Long Term View

 

[santhosh2010]

What about nifty next ? 03/12/2013 [vimalraj]

Well ... Nifty spot now closed above the previous peak (19 Nov 2013) high of 6212.

Now I have 2 doubts in current rally...

First thing is last two trading day’s market in bullish mode only first 2 hour only...

Second thing is after 11.00 AM market try to range bound...

What it’s witnessed us

Intraday players only create this rally? [First 2 hour rally]

Positional players create fresh short positions at higher level? [Range bound]

Nifty spot once if hold above 6182 (Yesterday high) no problem for all longs.

Note: As per end of day chart today MACD gave the bullish crossover signal.

So tomorrow nifty spot once if trade above 6229 (Today’s high) MACD signal will conform.

 

[santhosh2010]

__________________________________________________ ______

About India VIX*

Thumb Rule

India VIX and Market Movement go opposite to each other.

1. When Volatility increases i.e. India VIX is HIGH, Market goes DOWN.

2. When Volatility decreases i.e. India VIX is LOW, Market goes UP.
________________________________________________________

About India VIX*

India VIX is a volatility index based on the index option prices of NIFTY. India VIX is computed using the best bid and ask quotes of the out-of-the-money near and mid-month

NIFTY option contracts which are traded on the F&O segment of NSE. India VIX indicates the investor’s perception of the market’s volatility in the near term. The index depicts the expected market volatility over the next 30 calendar days. i.e. higher the India VIX values, higher the expected volatility and vice-versa.

India VIX computation methodology

India VIX uses the computation methodology of CBOE, with suitable amendments to adapt to the NIFTY options order book using cubic splines, etc.

The factors considered in the computation of India VIX are mentioned below:

1) Time to expiry:

The time to expiry is computed in minutes instead of days in order to arrive at a level of precision expected by professional traders.

2) Interest Rate:

The relevant tenure NSE MIBOR rate (i.e. 30 days or 90 days) is being considered as risk-free interest rate for the respective expiry months of the NIFTY option contracts

3) The forward index level:

India VIX is computed using out-of-the-money option contracts. Out-of-the-money option contracts are identified using forward index level. The forward index level helps in determining the at-the-money (ATM) strike which in turn helps in selecting the option contracts which shall be used for computing India VIX. The forward index level is taken as the latest available price of NIFTY future contract for the respective expiry month.

*“VIX” is a trademark of Chicago Board Options Exchange, Incorporated (“CBOE”) and Standard & Poor’s has granted a license to NSE, with permission from CBOE, to use such mark in the name of the India VIX and for purposes relating to the India VIX.

4) Bid-Ask Quotes

The strike price of NIFTY option contract available just below the forward index level is taken as the ATM strike. NIFTY option Call contracts with strike price above the ATM strike and NIFTY option Put contracts with strike price below the ATM strike are identified as out-of-the-money options and best bid and ask quotes of such option contracts are used for computation of India VIX. In respect of strikes for which appropriate quotes are not available, values are arrived through interpolation using a statistical method namely “Natural Cubic Spline”

After identification of the quotes, the variance (volatility squared) is computed separately for near and mid month expiry. The variance is computed by providing weightages to each of the NIFTY option contracts identified for the computation, as per the CBOE method. The weightage of a single option contract is directly proportional to the average of best bid-ask quotes of the option contract and inversely proportional to the option contract’s strike price.

Computation of India VIX

The variance for the near and mid month expiry computed separately are interpolated to get a single variance value with a constant maturity of 30 days to expiration. The square root of the computed variance value is multiplied by 100 to arrive at the India VIX value. For further details please refer to the white paper with the detailed methodology on computation of India VIX at www.nseindia.com

Thanks to : Vilas Havanur