Options Daily 12.07.2018

NIFTY Summary:

  1. Jul 11000 calls added 6,24,450 contracts.
  2. Jul 10850 calls shed 1,42,125.
  3. Jul 10800 puts added 7,46,925.
  4. Jul 10000 puts shed 1,71,600.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 79.80 206.81
5 85.89 223.71
10 90.38 247.24
20 90.80 265.18

NIFTY 50 NIFTY BANK
TrueRange 53.65 164.25
TrueHigh 10976.65 26938.85
TrueLow 10923.00 26774.60

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

JUL NIFTY OI

JUL NIFTY OI chart

JUL BANKNIFTY OI

JUL BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

JUL NIFTY Volatility

JUL NIFTY Volatility chart

JUL BANKNIFTY Volatility

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

VIX 12.81 12.85 12.87 12.89 12.90
σ 0.50 0.54 0.57 0.60 0.61

Marketwide OI

Securities under ban today: IDBI.
market wide position limit chart

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