Options Daily 24.01.2019

NIFTY Summary:

  1. Jan 10900 calls added 9,76,425 contracts.
  2. Jan 11300 calls shed 45,825.
  3. Jan 10550 puts added 21,075.
  4. Jan 10700 puts shed 2,94,225.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 107.32 255.94
5 104.50 250.21
10 106.62 265.86
20 110.92 287.78

NIFTY 50 NIFTY BANK
TrueRange 132.85 375.10
TrueHigh 10944.80 27564.70
TrueLow 10811.95 27189.60

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 18.00 17.92 17.85 17.78 17.71
σ 0.66 0.67 0.67 0.68 0.68

Marketwide OI

Securities under ban today: JETAIRWAYS, JISLJALEQS, RELCAPITAL.

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