Options Daily 29.10.2018

NIFTY Summary:

  1. Nov 10900 calls added 4,77,975 contracts.
  2. Nov 12000 calls shed 1,25,250.
  3. Nov 9000 puts added 6,67,800.
  4. Nov 10200 puts shed 2,02,950.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 150.90 446.82
5 165.46 471.05
10 181.63 510.62
20 190.86 538.44

NIFTY 50 NIFTY BANK
TrueRange 124.30 464.35
TrueHigh 10128.85 24817.45
TrueLow 10004.55 24353.10
Avg. True Range

NIFTY.50 NIFTY.BANK
3 150.90 446.82
5 165.46 471.05
10 181.63 510.62
20 190.86 538.44

NIFTY 50 NIFTY BANK
TrueRange 124.30 464.35
TrueHigh 10128.85 24817.45
TrueLow 10004.55 24353.10

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

NOV NIFTY OI

NOV NIFTY OI chart

NOV BANKNIFTY OI

NOV BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

NOV NIFTY Volatility

NOV NIFTY Volatility chart

NOV BANKNIFTY Volatility

NOV 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 19.08 18.95 18.82 18.72 18.64
σ 0.85 0.83 0.82 0.81 0.79

Marketwide OI

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

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