Options Daily 11.09.2018

NIFTY Summary:

  1. Sep 11600 calls added 8,41,125 contracts.
  2. Sep 11000 calls shed 1,27,875.
  3. Sep 11100 puts added 3,85,950.
  4. Sep 11500 puts shed 4,38,300.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 135.69 330.19
5 124.51 327.60
10 109.05 314.44
20 97.41 301.13

NIFTY 50 NIFTY BANK
TrueRange 161.80 338.90
TrueHigh 11589.10 27481.45
TrueLow 11427.30 27142.55

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

SEP NIFTY OI

SEP NIFTY OI chart

SEP BANKNIFTY OI

SEP BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

SEP NIFTY Volatility

SEP NIFTY Volatility chart

SEP BANKNIFTY Volatility

SEP 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 15.03 14.94 14.86 14.79 14.72
σ 0.75 0.73 0.71 0.70 0.69

Marketwide OI

market wide position limit chart

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