Options Daily 12.06.2018

NIFTY Summary:

  1. Jun 11100 calls added 3,04,500 contracts.
  2. Jun 11000 calls shed 3,32,550.
  3. Jun 10800 puts added 7,23,600.
  4. Jun 9500 puts shed 30,600.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 95.34 311.86
5 100.62 354.93
10 102.07 363.76
20 100.22 341.61

NIFTY 50 NIFTY BANK
TrueRange 82.90 231.05
TrueHigh 10850.55 26653.00
TrueLow 10767.65 26421.95

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

JUN NIFTY OI

JUN NIFTY OI chart

JUN BANKNIFTY OI

JUN BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

JUN NIFTY Volatility

JUN NIFTY Volatility chart

JUN BANKNIFTY Volatility

JUN 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(2,2)+GARCH(1,1) model:

VIX 13.22 13.27 13.32 13.37 13.42
σ 0.55 0.59 0.62 0.64 0.65

Marketwide OI

Securities under ban today: BALRAMCHIN, DHFL, JETAIRWAYS.
market wide position limit chart

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