Options Daily 09.05.2019

NIFTY Summary:

  1. May 11500 calls added 8,19,900 contracts.
  2. May 12100 calls shed 12,450.
  3. May 11500 puts added 4,74,525.
  4. May 11600 puts shed 29,325.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 138.84 429.95
5 130.74 437.31
10 123.24 439.59
20 118.26 436.19

NIFTY 50 NIFTY BANK
TrueRange 150.95 336.85
TrueHigh 11497.90 29288.20
TrueLow 11346.95 28951.35
Avg. True Range

NIFTY.50 NIFTY.BANK
3 138.84 429.95
5 130.74 437.31
10 123.24 439.59
20 118.26 436.19

NIFTY 50 NIFTY BANK
TrueRange 150.95 336.85
TrueHigh 11497.90 29288.20
TrueLow 11346.95 28951.35

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

VIX 25.90 25.51 25.19 24.93 24.73
σ 1.16 1.14 1.12 1.10 1.09

Marketwide OI

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

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