Options Daily 15.03.2019

NIFTY Summary:

  1. Mar 11400 calls added 5,35,200 contracts.
  2. Mar 11300 calls shed 6,71,025.
  3. Mar 10500 puts added 6,53,025.
  4. Mar 11350 puts shed 2,57,850.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 104.46 424.79
5 106.20 378.58
10 110.18 343.31
20 113.73 323.68

NIFTY 50 NIFTY BANK
TrueRange 75.70 574.05
TrueHigh 11352.30 28927.70
TrueLow 11276.60 28353.65
Avg. True Range

NIFTY.50 NIFTY.BANK
3 104.46 424.79
5 106.20 378.58
10 110.18 343.31
20 113.73 323.68

NIFTY 50 NIFTY BANK
TrueRange 75.70 574.05
TrueHigh 11352.30 28927.70
TrueLow 11276.60 28353.65
Avg. True Range

NIFTY.50 NIFTY.BANK
3 92.87 366.73
5 98.85 352.86
10 105.22 331.50
20 109.48 314.03

NIFTY 50 NIFTY BANK
TrueRange 69.70 250.60
TrueHigh 11383.45 29070.35
TrueLow 11313.75 28819.75

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

MAR NIFTY OI

MAR NIFTY OI chart

MAR BANKNIFTY OI

MAR 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

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

VIX Density Plot

VIX kernel density plot

5-day forecast based on ARMA(5,0)+GARCH(1,1) model:

VIX 15.11 15.05 15.01 15.01 14.99
σ 0.49 0.51 0.53 0.55 0.56

Marketwide OI

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

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