Options Daily 06.10.2017

NIFTY Summary:

  1. Oct 10000 calls added 4,67,475 contracts.
  2. Oct 11000 calls shed 2,18,625.
  3. Oct 9800 puts added 1,95,600.
  4. Oct 9700 puts shed 2,82,675.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 90.07 224.08
5 96.57 252.05
10 94.96 252.82
20 88.84 236.27

NIFTY 50 NIFTY BANK
TrueRange 64.10 154.95
TrueHigh 9945.95 24188.30
TrueLow 9881.85 24033.35

OCT NIFTY OI

OCT NIFTY OI chart

OCT BANKNIFTY OI

OCT BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

OCT NIFTY Volatility

OCT NIFTY Volatility chart

OCT BANKNIFTY Volatility

OCT 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(3,2)+GARCH(1,1) model:

VIX 11.77 11.82 11.86 11.88 11.90
σ 0.61 0.62 0.62 0.62 0.63

Marketwide OI

Securities under ban today: BEML, DHFL, IBREALEST, JPASSOCIAT, JSWENERGY.
market wide position limit chart

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