Options Daily 13.05.2019

NIFTY Summary:

  1. May 12000 calls added 52,425 contracts.
  2. May 12050 calls shed 600.
  3. May 11200 puts added 17,700.
  4. May 11400 puts shed 2,850.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 116.49 353.98
5 119.29 384.28
10 117.93 408.09
20 114.35 414.41

NIFTY 50 NIFTY BANK
TrueRange 94.75 318.25
TrueHigh 11345.80 29202.85
TrueLow 11251.05 28884.60
Avg. True Range

NIFTY.50 NIFTY.BANK
3 116.49 353.98
5 119.29 384.28
10 117.93 408.09
20 114.35 414.41

NIFTY 50 NIFTY BANK
TrueRange 94.75 318.25
TrueHigh 11345.80 29202.85
TrueLow 11251.05 28884.60
Avg. True Range

NIFTY.50 NIFTY.BANK
3 116.49 353.98
5 119.29 384.28
10 117.93 408.09
20 114.35 414.41

NIFTY 50 NIFTY BANK
TrueRange 94.75 318.25
TrueHigh 11345.80 29202.85
TrueLow 11251.05 28884.60

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(2,3)+GARCH(1,1) model:

VIX 26.08 25.96 25.81 25.72 25.67
σ 0.98 0.97 0.96 0.95 0.95

Marketwide OI

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

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