Options Daily 01.03.2019

NIFTY Summary:

  1. Mar 11000 calls added 5,68,875 contracts.
  2. Mar 10650 calls shed 375.
  3. Mar 10500 puts added 3,43,500.
  4. Mar 10900 puts shed 63,600.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 120.76 298.58
5 119.63 298.25
10 118.66 297.72
20 119.28 305.82

NIFTY 50 NIFTY BANK
TrueRange 80.85 157.95
TrueHigh 10865.70 26920.50
TrueLow 10784.85 26762.55

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

FEB NIFTY OI

FEB NIFTY OI chart

FEB BANKNIFTY OI

FEB BANKNIFTY OI chart

MAR NIFTY OI

MAR NIFTY OI chart

MAR BANKNIFTY OI

MAR BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

MAR NIFTY Volatility

MAR NIFTY Volatility chart

MAR BANKNIFTY Volatility

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

VIX 17.98 17.73 17.66 17.56 17.47
σ 1.08 1.05 1.02 0.99 0.97

Marketwide OI

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