Options Daily 15.06.2018

NIFTY Summary:

  1. Jun 10900 calls added 5,51,475 contracts.
  2. Jun 10600 calls shed 1,19,325.
  3. Jun 9600 puts added 1,52,400.
  4. Jun 10600 puts shed 5,43,075.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 77.52 206.74
5 85.15 262.98
10 93.03 314.70
20 96.50 329.65

NIFTY 50 NIFTY BANK
TrueRange 83.15 139.70
TrueHigh 10856.70 26642.80
TrueLow 10773.55 26503.10

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

VIX 12.23 12.34 12.42 12.49 12.56
σ 0.61 0.64 0.65 0.67 0.68

Marketwide OI

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

Comments are closed, but trackbacks and pingbacks are open.