Options Daily 10.07.2019

NIFTY Summary:

  1. Jul 11600 calls added 3,04,350 contracts.
  2. Jul 12100 calls shed 20,325.
  3. Jul 11400 puts added 1,37,175.
  4. Jul 11600 puts shed 33,750.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 154.52 458.72
5 140.84 423.27
10 132.68 415.32
20 131.61 433.49

NIFTY 50 NIFTY BANK
TrueRange 121.55 355.40
TrueHigh 11582.55 30702.10
TrueLow 11461.00 30346.70
Avg. True Range

NIFTY.50 NIFTY.BANK
3 154.52 458.72
5 140.84 423.27
10 132.68 415.32
20 131.61 433.49

NIFTY 50 NIFTY BANK
TrueRange 121.55 355.40
TrueHigh 11582.55 30702.10
TrueLow 11461.00 30346.70

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

JUL NIFTY OI

JUL NIFTY OI chart

JUL BANKNIFTY OI

JUL BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

JUL NIFTY Volatility

JUL NIFTY Volatility chart

JUL BANKNIFTY Volatility

JUL 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 14.13 14.13 14.13 14.13 14.13
σ 0.76 0.92 1.01 1.08 1.12

Marketwide OI

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

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