Options Daily 05.11.2018

NIFTY Summary:

  1. Nov 10900 calls added 3,93,000 contracts.
  2. Nov 10400 calls shed 7,88,625.
  3. Nov 10500 puts added 9,46,725.
  4. Nov 9500 puts shed 6,06,525.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 188.32 480.25
5 185.13 486.62
10 190.72 516.90
20 202.09 557.89

NIFTY 50 NIFTY BANK
TrueRange 226.50 532.60
TrueHigh 10606.95 25856.25
TrueLow 10380.45 25323.65
Avg. True Range

NIFTY.50 NIFTY.BANK
3 188.32 480.25
5 185.13 486.62
10 190.72 516.90
20 202.09 557.89

NIFTY 50 NIFTY BANK
TrueRange 226.50 532.60
TrueHigh 10606.95 25856.25
TrueLow 10380.45 25323.65

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 18.24 18.27 18.34 18.38 18.40
σ 0.71 0.71 0.71 0.71 0.71

Marketwide OI

market wide position limit chart

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