Options Daily 15.10.2015

Summary: Oct NIFTY 8100 calls added 135,800 contracts while 7700 calls shed 101,725. On the Put side of the equation, the 7800 strike added 291,750 while the 8100’s shed 754,975.

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(0,0)+GARCH(1,1) model:

VIX 18.03 18.03 18.03 18.03 18.03
σ 1.50 2.09 2.55 2.94 3.29

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