Options Daily 20.03.2019

NIFTY Summary:

  1. Mar 11800 calls added 1,76,250 contracts.
  2. Mar 11600 calls shed 3,74,100.
  3. Mar 11500 puts added 10,09,875.
  4. Mar 10800 puts shed 1,04,550.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 105.82 381.29
5 106.35 379.35
10 107.97 351.06
20 110.39 320.00

NIFTY 50 NIFTY BANK
TrueRange 92.60 252.05
TrueHigh 11543.85 29799.75
TrueLow 11451.25 29547.70
Avg. True Range

NIFTY.50 NIFTY.BANK
3 105.82 381.29
5 106.35 379.35
10 107.97 351.06
20 110.39 320.00

NIFTY 50 NIFTY BANK
TrueRange 92.60 252.05
TrueHigh 11543.85 29799.75
TrueLow 11451.25 29547.70

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

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

VIX 16.45 16.40 16.35 16.30 16.25
σ 0.67 0.67 0.67 0.68 0.68

Marketwide OI

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

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