Options Daily 07.11.2018

NIFTY Summary:

  1. Nov 10700 calls added 6,04,125 contracts.
  2. Nov 10500 calls shed 97,500.
  3. Nov 9800 puts added 3,00,750.
  4. Nov 9300 puts shed 1,60,875.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 138.14 370.64
5 153.10 411.80
10 169.62 460.08
20 183.03 499.81

NIFTY 50 NIFTY BANK
TrueRange 108.80 302.40
TrueHigh 10600.25 25860.75
TrueLow 10491.45 25558.35

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

VIX 18.55 18.54 18.51 18.50 18.48
σ 0.88 0.86 0.84 0.82 0.80

Marketwide OI

market wide position limit chart

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