Options Daily 22.11.2018

NIFTY Summary:

  1. Nov 10600 calls added 8,49,525 contracts.
  2. Nov 10800 calls shed 2,87,550.
  3. Nov 10600 puts added 1,56,375.
  4. Nov 10200 puts shed 4,79,925.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 108.29 272.47
5 113.44 295.25
10 130.88 352.66
20 150.81 415.73

NIFTY 50 NIFTY BANK
TrueRange 108.95 281.50
TrueHigh 10671.30 26342.05
TrueLow 10562.35 26060.55

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

VIX 19.54 19.54 19.54 19.54 19.54
σ 0.53 0.56 0.58 0.59 0.61

Marketwide OI

Securities under ban today: ADANIENT, ADANIPOWER, DHFL, JETAIRWAYS, PCJEWELLER.
market wide position limit chart

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