Options Daily 21.06.2016

NIFTY Summary:

  1. Jun 8400 calls added 7,74,225 contracts.
  2. Jun 8200 calls shed 5,14,200.
  3. Jun 8100 puts added 10,51,200.
  4. Jun 8000 puts shed 2,09,175.

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

JUN NIFTY OI

JUN NIFTY OI chart

JUN BANKNIFTY OI

JUN BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

JUN NIFTY Volatility

JUN NIFTY Volatility chart

JUN BANKNIFTY Volatility

JUN 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(0,2)+GARCH(1,1) model:

VIX 17.39 17.43 17.25 17.25 17.25
σ 0.90 0.97 1.04 1.10 1.16

Marketwide OI

Securities under ban today: CEATLTD, IBREALEST, JPASSOCIAT.
market wide position limit chart

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