Options Daily 12.09.2018

NIFTY Summary:

  1. Sep 11400 calls added 12,99,300 contracts.
  2. Sep 11700 calls shed 3,45,225.
  3. Sep 11100 puts added 2,71,575.
  4. Sep 11500 puts shed 5,88,300.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 158.93 402.20
5 140.72 371.34
10 118.86 337.75
20 103.33 314.09

NIFTY 50 NIFTY BANK
TrueRange 205.40 546.20
TrueHigh 11479.40 27318.45
TrueLow 11274.00 26772.25

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(3,2)+GARCH(1,1) model:

VIX 15.05 15.11 14.90 14.83 14.81
σ 0.62 0.62 0.62 0.62 0.62

Marketwide OI

market wide position limit chart

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