Options Daily 07.08.2018

NIFTY Summary:

  1. Aug 11500 calls added 3,16,500 contracts.
  2. Aug 11400 calls shed 77,025.
  3. Aug 11400 puts added 4,58,550.
  4. Aug 10700 puts shed 2,66,775.

Our trend model indicates a LONG on the NIFTY

AUG NIFTY OI

AUG NIFTY OI chart
Dotted lines indicated actual underlying volatility. Solid lines are IVs.

5-day forecast based on ARMA(2,1)+GARCH(1,1) model:

VIX 12.61 12.66 12.69 12.72 12.75
σ 0.53 0.56 0.58 0.60 0.61

Marketwide OI

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

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