Options Daily 10.01.2019

NIFTY Summary:

  1. Jan 11100 calls added 3,94,050 contracts.
  2. Jan 11200 calls shed 3,67,125.
  3. Jan 10100 puts added 2,81,475.
  4. Jan 10400 puts shed 2,58,300.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 114.18 339.17
5 118.76 338.46
10 123.74 343.23
20 127.35 349.72

NIFTY 50 NIFTY BANK
TrueRange 121.00 344.95
TrueHigh 10870.40 27754.45
TrueLow 10749.40 27409.50

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

JAN NIFTY OI

JAN NIFTY OI chart

JAN BANKNIFTY OI

JAN BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

JAN NIFTY Volatility

JAN NIFTY Volatility chart

JAN BANKNIFTY Volatility

JAN 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 15.32 15.33 15.34 15.35 15.36
σ 0.59 0.61 0.63 0.65 0.66

Marketwide OI

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

Comments are closed, but trackbacks and pingbacks are open.