Options Daily 06.11.2018

NIFTY Summary:

  1. Nov 11000 calls added 6,38,925 contracts.
  2. Nov 10700 calls shed 62,100.
  3. Nov 10500 puts added 2,06,025.
  4. Nov 10200 puts shed 1,57,875.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 152.81 404.76
5 164.24 439.39
10 176.59 480.18
20 187.79 516.56

NIFTY 50 NIFTY BANK
TrueRange 81.80 253.80
TrueHigh 10558.80 25788.20
TrueLow 10477.00 25534.40

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

VIX 19.42 19.44 19.27 19.23 19.19
σ 0.85 0.83 0.81 0.79 0.78

Marketwide OI

market wide position limit chart

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