Options Daily 07.12.2018

NIFTY Summary:

  1. Dec 11000 calls added 13,16,250 contracts.
  2. Dec 12500 calls shed 99,525.
  3. Dec 10300 puts added 5,17,200.
  4. Dec 10500 puts shed 5,00,025.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 131.42 297.35
5 121.47 295.53
10 121.45 312.77
20 127.37 336.94

NIFTY 50 NIFTY BANK
TrueRange 194.65 370.15
TrueHigh 10782.90 26519.60
TrueLow 10588.25 26149.45

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 19.20 19.17 19.15 19.13 19.11
σ 0.73 0.72 0.72 0.72 0.72

Marketwide OI

market wide position limit chart

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