Options Daily 16.05.2019

NIFTY Summary:

  1. May 12500 calls added 1,17,300 contracts.
  2. May 11900 calls shed 525.
  3. May 11200 puts added 55,350.
  4. May 11200 puts shed 3,45,225.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 151.77 416.66
5 143.21 413.24
10 131.80 417.72
20 122.32 419.54

NIFTY 50 NIFTY BANK
TrueRange 149.85 428.00
TrueHigh 11286.80 28983.15
TrueLow 11136.95 28555.15
Avg. True Range

NIFTY.50 NIFTY.BANK
3 151.77 416.66
5 143.21 413.24
10 131.80 417.72
20 122.32 419.54

NIFTY 50 NIFTY BANK
TrueRange 149.85 428.00
TrueHigh 11286.80 28983.15
TrueLow 11136.95 28555.15

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

VIX 28.46 28.23 28.08 27.98 27.92
σ 1.16 1.14 1.12 1.10 1.09

Marketwide OI

market wide position limit chart

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