Options Daily 15.02.2017

NIFTY Summary:

  1. Feb 8900 calls added 2,61,225 contracts.
  2. Feb 8950 calls shed 77,025.
  3. Feb 8800 puts added 5,38,875.
  4. Feb 8000 puts shed 73,350.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 64.09 208.05
5 69.47 230.75
10 72.93 245.93
20 72.37 246.61

NIFTY 50 NIFTY BANK
TrueRange 47.95 155.20
TrueHigh 8820.45 20314.05
TrueLow 8772.50 20158.85

FEB NIFTY OI

FEB NIFTY OI chart

FEB BANKNIFTY OI

FEB BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest 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(0,2)+GARCH(1,1) model:

VIX 15.00 16.08 16.69 16.69 16.69
σ 1.32 1.33 1.34 1.35 1.35

2017-02-14 Implied Volatility Record

https://www.youtube.com/watch?v=gOwkV63xccM

Marketwide OI

Securities under ban today: BANKINDIA, CEATLTD, IFCI, JETAIRWAYS, JINDALSTEL, JPASSOCIAT, RCOM, UNIONBANK, WOCKPHARMA.
market wide position limit chart

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