Options Daily 04.10.2018

NIFTY Summary:

  1. Oct 11200 calls added 5,77,575 contracts.
  2. Oct 11400 calls shed 76,800.
  3. Oct 10700 puts added 9,16,650.
  4. Oct 10800 puts shed 4,10,100.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 183.23 532.40
5 185.32 543.29
10 171.58 505.28
20 149.31 441.16

NIFTY 50 NIFTY BANK
TrueRange 164.55 443.70
TrueHigh 11008.30 25470.05
TrueLow 10843.75 25026.35

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

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

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

VIX 17.76 17.45 17.21 17.01 16.85
σ 0.90 0.85 0.81 0.78 0.75

Marketwide OI

market wide position limit chart

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