Options Daily 08.02.2016

NIFTY Summary:

  1. Feb 7800 calls added 3,82,050 contracts.
  2. Feb 7300 calls shed 2,02,875.
  3. Feb 7500 puts added 9,64,650.
  4. Feb 7100 puts shed 4,56,075.

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

FEB NIFTY OI

FEB NIFTY OI chart

FEB BANKNIFTY OI

FEB BANKNIFTY OI 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 18.12 18.06 18.03 17.98 17.94
σ 0.80 0.84 0.86 0.89 0.91

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