Options Daily 08.08.2018

NIFTY Summary:

  1. Aug 11500 calls added 3,95,700 contracts.
  2. Aug 11000 calls shed 61,425.
  3. Aug 11400 puts added 2,61,675.
  4. Aug 11100 puts shed 1,43,625.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 83.30 256.34
5 84.96 268.60
10 86.49 272.25
20 89.11 269.01

NIFTY 50 NIFTY BANK
TrueRange 69.25 160.90
TrueHigh 11428.95 27988.20
TrueLow 11359.70 27827.30

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

AUG NIFTY OI

AUG NIFTY OI chart

AUG BANKNIFTY OI

AUG BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

AUG NIFTY Volatility

AUG NIFTY Volatility chart

AUG BANKNIFTY Volatility

AUG 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 12.61 12.67 12.72 12.76 12.81
σ 0.51 0.55 0.58 0.60 0.61

Marketwide OI

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

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