Options Daily 26.09.2018

NIFTY Summary:

  1. Oct 11000 calls added 5,06,925 contracts.
  2. Oct 11700 calls shed 33,075.
  3. Oct 10500 puts added 7,28,325.
  4. Oct 11700 puts shed 21,150.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 228.52 743.12
5 208.20 652.27
10 171.46 523.70
20 138.84 427.77

NIFTY 50 NIFTY BANK
TrueRange 197.75 728.70
TrueHigh 11080.60 25406.95
TrueLow 10882.85 24678.25
Avg. True Range

NIFTY.50 NIFTY.BANK
3 228.52 743.12
5 208.20 652.27
10 171.46 523.70
20 138.84 427.77

NIFTY 50 NIFTY BANK
TrueRange 197.75 728.70
TrueHigh 11080.60 25406.95
TrueLow 10882.85 24678.25

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

SEP NIFTY OI

SEP NIFTY OI chart

SEP BANKNIFTY OI

SEP BANKNIFTY OI chart

OCT NIFTY OI

OCT NIFTY OI chart

OCT BANKNIFTY OI

OCT 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

OCT NIFTY Volatility

OCT NIFTY Volatility chart

OCT BANKNIFTY Volatility

OCT 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 16.55 16.48 16.41 16.33 16.26
σ 1.00 0.95 0.90 0.86 0.83

Marketwide OI

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

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