Options Daily 03.12.2018

NIFTY Summary:

  1. Dec 11100 calls added 4,43,025 contracts.
  2. Dec 10700 calls shed 1,50,000.
  3. Dec 10700 puts added 6,76,425.
  4. Dec 10500 puts shed 5,04,300.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 108.99 316.94
5 112.12 315.05
10 121.33 330.71
20 133.84 358.46

NIFTY 50 NIFTY BANK
TrueRange 87.35 247.80
TrueHigh 10922.45 27012.70
TrueLow 10835.10 26764.90
Avg. True Range

NIFTY.50 NIFTY.BANK
3 108.99 316.94
5 112.12 315.05
10 121.33 330.71
20 133.84 358.46

NIFTY 50 NIFTY BANK
TrueRange 87.35 247.80
TrueHigh 10922.45 27012.70
TrueLow 10835.10 26764.90

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

DEC NIFTY OI

DEC NIFTY OI chart

DEC BANKNIFTY OI

DEC BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

DEC NIFTY Volatility

DEC NIFTY Volatility chart

DEC BANKNIFTY Volatility

DEC 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 19.10 19.08 19.07 19.05 19.03
σ 0.75 0.75 0.74 0.73 0.73

Marketwide OI

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