Options Daily 25.04.2016

NIFTY Summary:

  1. May 8200 calls added 5,72,100 contracts.
  2. May 7500 calls shed 2,775.
  3. May 7900 puts added 1,74,600.
  4. Apr 7600 puts shed 8,02,350.

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

APR NIFTY OI

APR NIFTY OI chart

APR BANKNIFTY OI

APR BANKNIFTY OI chart

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

APR NIFTY Volatility

APR NIFTY Volatility chart

APR BANKNIFTY Volatility

APR BANKNIFTY Volatility chart

MAY NIFTY Volatility

MAY NIFTY Volatility chart

MAY BANKNIFTY Volatility

MAY 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(3,1)+GARCH(1,1) model:

VIX 16.49 16.56 16.63 16.70 16.77
σ 0.78 0.82 0.86 0.89 0.92

2016-04-22 Implied Volatility Record

https://www.youtube.com/watch?v=_M3DsvArvcM

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