Options Daily 14.10.2015

Summary: Oct NIFTY 8200 calls added 82,950 contracts while 8300 calls shed 425,200. On the Put side of the equation, the 7900 strike added 823,175 while the 8200’s shed 374,625.

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

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

5-day forecast based on ARMA(0,2)+GARCH(1,1) model:

VIX 17.72 17.54 17.89 17.89 17.89
σ 1.14 1.25 1.36 1.46 1.55

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