Options Daily 12.06.2019

NIFTY Summary:

  1. Jun 12300 calls added 46,200 contracts.
  2. Jun 11900 calls shed 13,575.
  3. Jun 11900 puts added 97,275.
  4. Jun 10900 puts shed 75.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 122.78 503.82
5 136.86 535.77
10 150.11 556.16
20 155.53 547.66

NIFTY 50 NIFTY BANK
TrueRange 96.00 426.00
TrueHigh 12000.35 31399.35
TrueLow 11904.35 30973.35
Avg. True Range

NIFTY.50 NIFTY.BANK
3 122.78 503.82
5 136.86 535.77
10 150.11 556.16
20 155.53 547.66

NIFTY 50 NIFTY BANK
TrueRange 96.00 426.00
TrueHigh 12000.35 31399.35
TrueLow 11904.35 30973.35

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

JUN NIFTY OI

JUN NIFTY OI chart

JUN BANKNIFTY OI

JUN BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

JUN NIFTY Volatility

JUN NIFTY Volatility chart

JUN BANKNIFTY Volatility

JUN 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(0,0)+GARCH(1,1) model:

VIX 12.83 12.83 12.83 12.83 12.83
σ 1.55 1.45 1.37 1.31 1.26

Marketwide OI

Securities under ban today: DHFL, IDBI, PCJEWELLER, RELCAPITAL, RELINFRA.
market wide position limit chart

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