Options Daily 17.02.2017

NIFTY Summary:

  1. Feb 8900 calls added 1,74,600 contracts.
  2. Feb 9000 calls shed 7,04,625.
  3. Feb 8700 puts added 5,35,950.
  4. Feb 8800 puts shed 2,82,750.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 71.06 217.66
5 72.54 229.49
10 74.02 242.10
20 73.73 245.46

NIFTY 50 NIFTY BANK
TrueRange 64.35 207.35
TrueHigh 8783.95 20295.55
TrueLow 8719.60 20088.20

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 14.78 15.95 16.74 16.74 16.74
σ 1.39 1.41 1.42 1.44 1.45

2017-02-16 Implied Volatility Record

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

Marketwide OI

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

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