Options Daily 11.04.2019

NIFTY Summary:

  1. Apr 11700 calls added 8,92,725 contracts.
  2. Apr 11850 calls shed 10,14,300.
  3. Apr 11600 puts added 1,64,025.
  4. Apr 11600 puts shed 5,68,650.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 115.65 427.19
5 114.67 428.60
10 113.22 418.61
20 111.69 402.23

NIFTY 50 NIFTY BANK
TrueRange 108.30 387.65
TrueHigh 11680.05 30155.75
TrueLow 11571.75 29768.10
Avg. True Range

NIFTY.50 NIFTY.BANK
3 115.65 427.19
5 114.67 428.60
10 113.22 418.61
20 111.69 402.23

NIFTY 50 NIFTY BANK
TrueRange 108.30 387.65
TrueHigh 11680.05 30155.75
TrueLow 11571.75 29768.10

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

VIX 21.12 21.03 21.08 21.01 21.03
σ 0.86 0.85 0.84 0.82 0.81

Marketwide OI

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

Comments are closed, but trackbacks and pingbacks are open.