Options Daily 10.08.2018

NIFTY Summary:

  1. Aug 11900 calls added 1,86,000 contracts.
  2. Aug 11400 calls shed 1,31,625.
  3. Aug 11400 puts added 7,03,200.
  4. Aug 10500 puts shed 1,76,925.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 70.01 274.22
5 76.28 275.29
10 81.07 274.66
20 84.24 271.60

NIFTY 50 NIFTY BANK
TrueRange 45.20 300.95
TrueHigh 11495.20 28363.40
TrueLow 11450.00 28062.45

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 12.74 12.79 12.85 12.90 12.95
σ 0.49 0.54 0.57 0.60 0.62

Marketwide OI

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

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