Options Daily 11.02.2019

NIFTY Summary:

  1. Feb 11000 calls added 6,73,800 contracts.
  2. Feb 10800 calls shed 1,21,575.
  3. Feb 10600 puts added 3,02,325.
  4. Feb 11000 puts shed 7,34,550.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 119.23 277.71
5 120.27 303.05
10 119.59 312.72
20 116.72 304.36

NIFTY 50 NIFTY BANK
TrueRange 143.95 260.85
TrueHigh 11069.40 27482.10
TrueLow 10925.45 27221.25
Avg. True Range

NIFTY.50 NIFTY.BANK
3 119.23 277.71
5 120.27 303.05
10 119.59 312.72
20 116.72 304.36

NIFTY 50 NIFTY BANK
TrueRange 143.95 260.85
TrueHigh 11069.40 27482.10
TrueLow 10925.45 27221.25

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

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

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(3,1)+GARCH(1,1) model:

VIX 15.66 15.73 15.78 15.81 15.83
σ 0.50 0.52 0.53 0.55 0.56

Marketwide OI

Securities under ban today: ADANIENT, DHFL, IDBI, JETAIRWAYS, RELCAPITAL, RELINFRA, RPOWER.
market wide position limit chart

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