Options Daily 12.04.2019

NIFTY Summary:

  1. Apr 12500 calls added 7,61,250 contracts.
  2. Apr 12150 calls shed 75.
  3. Apr 11000 puts added 7,01,100.
  4. Apr 11600 puts shed 9,17,925.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 95.82 355.46
5 102.90 385.17
10 106.45 396.35
20 106.55 390.38

NIFTY 50 NIFTY BANK
TrueRange 56.15 212.00
TrueHigh 11606.70 29852.25
TrueLow 11550.55 29640.25

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 20.85 20.75 20.74 20.74 20.73
σ 0.73 0.73 0.73 0.73 0.73

Marketwide OI

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

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