Options Daily 27.01.2016

Summary: Feb NIFTY 7600 calls added 4,57,875 contracts while 8100 calls shed 75,300. On the Put side of the equation, the 7200 strike added 5,05,500 while the 6900’s shed 68,250.

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

JAN NIFTY OI

JAN NIFTY OI chart

JAN BANKNIFTY OI

JAN BANKNIFTY OI chart

FEB NIFTY OI

FEB NIFTY OI chart

FEB BANKNIFTY OI

FEB BANKNIFTY OI chart

JAN NIFTY Volatility

JAN NIFTY Volatility chart

JAN BANKNIFTY Volatility

JAN BANKNIFTY Volatility chart

FEB NIFTY Volatility

FEB NIFTY Volatility chart

FEB BANKNIFTY Volatility

FEB 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 18.31 18.28 18.20 18.16 18.10
σ 1.17 1.15 1.14 1.13 1.12

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