Options Daily 08.10.2018

NIFTY Summary:

  1. Oct 10500 calls added 16,79,850 contracts.
  2. Oct 11100 calls shed 3,44,775.
  3. Oct 9900 puts added 4,80,525.
  4. Oct 10500 puts shed 8,35,200.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 263.00 639.55
5 235.87 604.87
10 201.31 546.72
20 169.47 477.26

NIFTY 50 NIFTY BANK
TrueRange 337.35 829.55
TrueHigh 10599.25 25080.20
TrueLow 10261.90 24250.65
Avg. True Range

NIFTY.50 NIFTY.BANK
3 263.00 639.55
5 235.87 604.87
10 201.31 546.72
20 169.47 477.26

NIFTY 50 NIFTY BANK
TrueRange 337.35 829.55
TrueHigh 10599.25 25080.20
TrueLow 10261.90 24250.65

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

VIX 19.30 18.91 18.56 18.33 18.17
σ 0.94 0.90 0.87 0.84 0.81

Marketwide OI

market wide position limit chart

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