Options Daily 10.10.2018

NIFTY Summary:

  1. Oct 10400 calls added 3,82,725 contracts.
  2. Oct 11300 calls shed 4,25,925.
  3. Oct 10000 puts added 2,27,400.
  4. Oct 10600 puts shed 76,050.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 200.74 494.87
5 206.62 526.90
10 193.69 517.43
20 172.72 474.08

NIFTY 50 NIFTY BANK
TrueRange 118.25 295.00
TrueHigh 10397.60 24759.90
TrueLow 10279.35 24464.90

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

VIX 19.37 19.07 18.84 18.66 18.52
σ 0.80 0.77 0.75 0.73 0.72

Marketwide OI

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

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