Options Daily 16.02.2017

NIFTY Summary:

  1. Feb 9000 calls added 8,09,550 contracts.
  2. Feb 9200 calls shed 3,32,550.
  3. Feb 8550 puts added 90,600.
  4. Feb 8800 puts shed 9,84,150.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 74.41 222.82
5 74.61 235.05
10 75.49 246.64
20 74.71 247.96

NIFTY 50 NIFTY BANK
TrueRange 95.05 252.35
TrueHigh 8807.90 20368.20
TrueLow 8712.85 20115.85

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 15.32 16.32 16.70 16.70 16.70
σ 1.26 1.28 1.30 1.31 1.33

2017-02-15 Implied Volatility Record

https://www.youtube.com/watch?v=_xQJ0UtwldA

Marketwide OI

Securities under ban today: IBREALEST, IFCI, JETAIRWAYS, JINDALSTEL, RCOM, TV18BRDCST, UNIONBANK.
market wide position limit chart

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