Options Daily 28.01.2019

NIFTY Summary:

  1. Feb 11200 calls added 1,43,400 contracts.
  2. Feb 11900 calls shed 47,700.
  3. Feb 10400 puts added 2,67,975.
  4. Feb 11000 puts shed 1,97,325.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 121.21 287.55
5 112.81 269.75
10 111.00 274.56
20 114.17 293.49

NIFTY 50 NIFTY BANK
TrueRange 175.25 388.35
TrueHigh 10931.70 27433.55
TrueLow 10756.45 27045.20
Avg. True Range

NIFTY.50 NIFTY.BANK
3 121.21 287.55
5 112.81 269.75
10 111.00 274.56
20 114.17 293.49

NIFTY 50 NIFTY BANK
TrueRange 175.25 388.35
TrueHigh 10931.70 27433.55
TrueLow 10756.45 27045.20

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

JAN NIFTY OI

JAN NIFTY OI chart

JAN BANKNIFTY OI

JAN BANKNIFTY OI chart

FEB NIFTY OI

FEB NIFTY OI chart

FEB BANKNIFTY OI

FEB 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

FEB NIFTY Volatility

FEB NIFTY Volatility chart

FEB BANKNIFTY Volatility

FEB 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 17.62 17.58 17.53 17.49 17.44
σ 0.56 0.59 0.61 0.63 0.64

Marketwide OI

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

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