Options Daily 14.09.2018

NIFTY Summary:

  1. Sep 11400 calls added 2,76,225 contracts.
  2. Sep 11600 calls shed 3,99,375.
  3. Sep 11200 puts added 4,52,850.
  4. Sep 11500 puts shed 4,00,350.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 149.47 381.46
5 138.68 365.17
10 119.81 339.27
20 104.23 318.29

NIFTY 50 NIFTY BANK
TrueRange 130.55 340.00
TrueHigh 11380.75 26895.15
TrueLow 11250.20 26555.15

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(4,2)+GARCH(1,1) model:

VIX 14.13 14.06 14.01 13.96 13.93
σ 0.73 0.72 0.71 0.71 0.70

Marketwide OI

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

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