Options Daily 05.09.2017

NIFTY Summary:

  1. Sep 10000 calls added 9,61,350 contracts.
  2. Sep 10600 calls shed 69,075.
  3. Sep 9700 puts added 4,39,500.
  4. Sep 10000 puts shed 2,89,650.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 98.48 237.39
5 95.82 248.53
10 93.98 272.58
20 91.47 288.36

NIFTY 50 NIFTY BANK
TrueRange 127.40 302.95
TrueHigh 9988.40 24459.35
TrueLow 9861.00 24156.40

SEP NIFTY OI

SEP NIFTY OI chart

SEP BANKNIFTY OI

SEP BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

SEP NIFTY Volatility

SEP NIFTY Volatility chart

SEP BANKNIFTY Volatility

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

VIX 13.09 12.88 12.85 12.79 12.74
σ 0.73 0.73 0.73 0.73 0.73

2017-09-04 Implied Volatility Record

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

Marketwide OI

Securities under ban today: IBREALEST, JSWENERGY.

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