Options Daily 06.05.2019

NIFTY Summary:

  1. May 11800 calls added 77,925 contracts.
  2. May 13000 calls shed 375.
  3. May 11700 puts added 76,425.
  4. May 10500 puts shed 11,925.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 98.85 415.89
5 107.09 430.83
10 110.47 431.76
20 110.71 425.72

NIFTY 50 NIFTY BANK
TrueRange 71.55 413.15
TrueHigh 11770.90 30121.75
TrueLow 11699.35 29708.60
Avg. True Range

NIFTY.50 NIFTY.BANK
3 98.85 415.89
5 107.09 430.83
10 110.47 431.76
20 110.71 425.72

NIFTY 50 NIFTY BANK
TrueRange 71.55 413.15
TrueHigh 11770.90 30121.75
TrueLow 11699.35 29708.60
Avg. True Range

NIFTY.50 NIFTY.BANK
3 98.85 415.89
5 107.09 430.83
10 110.47 431.76
20 110.71 425.72

NIFTY 50 NIFTY BANK
TrueRange 71.55 413.15
TrueHigh 11770.90 30121.75
TrueLow 11699.35 29708.60

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

MAY NIFTY Volatility

MAY NIFTY Volatility chart

MAY BANKNIFTY Volatility

MAY 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(1,2)+GARCH(1,1) model:

VIX 23.95 23.90 23.90 23.90 23.90
σ 0.95 0.93 0.91 0.89 0.87

Marketwide OI

Securities under ban today: JETAIRWAYS.
market wide position limit chart

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