Options Daily 10.04.2019

NIFTY Summary:

  1. Apr 11700 calls added 1,12,125 contracts.
  2. Apr 11500 calls shed 4,125.
  3. Apr 11600 puts added 1,01,250.
  4. Apr 10800 puts shed 525.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 119.32 446.95
5 116.29 438.88
10 114.40 423.34
20 113.36 404.07

NIFTY 50 NIFTY BANK
TrueRange 114.20 461.50
TrueHigh 11683.90 30165.05
TrueLow 11569.70 29703.55
Avg. True Range

NIFTY.50 NIFTY.BANK
3 119.32 446.95
5 116.29 438.88
10 114.40 423.34
20 113.36 404.07

NIFTY 50 NIFTY BANK
TrueRange 114.20 461.50
TrueHigh 11683.90 30165.05
TrueLow 11569.70 29703.55

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

APR NIFTY OI

APR NIFTY OI chart

APR BANKNIFTY OI

APR BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

APR NIFTY Volatility

APR NIFTY Volatility chart

APR BANKNIFTY Volatility

APR 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 20.09 19.83 19.76 19.72 19.67
σ 0.90 0.88 0.86 0.85 0.83

Marketwide OI

Securities under ban today: ADANIPOWER, DLF, IDBI, JETAIRWAYS, PCJEWELLER, RPOWER, WOCKPHARMA.
market wide position limit chart

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