Options Daily 18.04.2019

NIFTY Summary:

  1. Apr 11850 calls added 1,54,050 contracts.
  2. Apr 11700 calls shed 5,04,750.
  3. Apr 11800 puts added 12,49,125.
  4. Apr 11200 puts shed 2,77,800.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 93.82 365.32
5 96.59 371.01
10 100.97 383.18
20 103.10 386.70

NIFTY 50 NIFTY BANK
TrueRange 120.60 486.70
TrueHigh 11810.95 30590.95
TrueLow 11690.35 30104.25
Avg. True Range

NIFTY.50 NIFTY.BANK
3 93.82 365.32
5 96.59 371.01
10 100.97 383.18
20 103.10 386.70

NIFTY 50 NIFTY BANK
TrueRange 120.60 486.70
TrueHigh 11810.95 30590.95
TrueLow 11690.35 30104.25

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 21.64 21.59 21.57 21.57 21.57
σ 0.54 0.57 0.59 0.61 0.62

Marketwide OI

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

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