Options Daily 09.08.2018

NIFTY Summary:

  1. Aug 11700 calls added 2,14,575 contracts.
  2. Aug 12000 calls shed 3,13,125.
  3. Aug 11300 puts added 7,95,750.
  4. Aug 10500 puts shed 1,73,175.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 82.41 260.86
5 84.09 268.81
10 85.61 270.78
20 87.85 266.99

NIFTY 50 NIFTY BANK
TrueRange 80.65 269.90
TrueHigh 11459.95 28128.65
TrueLow 11379.30 27858.75

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 12.77 12.82
σ 0.50 0.54 0.57 0.59 0.61

Marketwide OI

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

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