Options Daily 17.05.2019

NIFTY Summary:

  1. May 11500 calls added 1,11,075 contracts.
  2. May 11200 calls shed 16,50,825.
  3. May 11200 puts added 2,11,575.
  4. May 11300 puts shed 4,68,900.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 147.24 418.49
5 142.20 415.00
10 132.30 417.65
20 123.03 419.57

NIFTY 50 NIFTY BANK
TrueRange 138.20 422.15
TrueHigh 11281.55 28947.60
TrueLow 11143.35 28525.45

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 28.49 28.64 28.56 28.82 28.73
σ 0.77 0.77 0.77 0.77 0.77

Marketwide OI

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

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