Options Daily 15.05.2019

NIFTY Summary:

  1. May 12000 calls added 1,92,300 contracts.
  2. May 11300 calls shed 5,59,950.
  3. May 11000 puts added 73,125.
  4. May 11400 puts shed 600.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 152.72 410.99
5 141.51 409.39
10 129.18 414.68
20 119.22 413.70

NIFTY 50 NIFTY BANK
TrueRange 186.45 475.70
TrueHigh 11294.75 29058.30
TrueLow 11108.30 28582.60
Avg. True Range

NIFTY.50 NIFTY.BANK
3 152.72 410.99
5 141.51 409.39
10 129.18 414.68
20 119.22 413.70

NIFTY 50 NIFTY BANK
TrueRange 186.45 475.70
TrueHigh 11294.75 29058.30
TrueLow 11108.30 28582.60

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

VIX 27.34 27.33 27.40 27.53 27.50
σ 0.72 0.73 0.73 0.73 0.74

Marketwide OI

market wide position limit chart

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