Options Daily 11.02.2016

NIFTY Summary:

  1. Feb 7300 calls added 17,17,575 contracts.
  2. Feb 7600 calls shed 2,38,650.
  3. Feb 7000 puts added 7,59,450.
  4. Feb 7400 puts shed 6,50,700.

Our trend model indicates a SHORT on the NIFTY and LONG 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 22.28 22.11 22.05 21.94 21.86
σ 1.17 1.16 1.14 1.13 1.12

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