Options Daily 11.07.2019

NIFTY Summary:

  1. Jul 11600 calls added 4,36,125 contracts.
  2. Jul 12200 calls shed 1,275.
  3. Jul 11400 puts added 2,50,050.
  4. Jul 11700 puts shed 7,875.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 142.36 405.73
5 136.32 398.72
10 131.72 406.06
20 132.19 430.69

NIFTY 50 NIFTY BANK
TrueRange 118.05 299.75
TrueHigh 11593.70 30728.35
TrueLow 11475.65 30428.60
Avg. True Range

NIFTY.50 NIFTY.BANK
3 142.36 405.73
5 136.32 398.72
10 131.72 406.06
20 132.19 430.69

NIFTY 50 NIFTY BANK
TrueRange 118.05 299.75
TrueHigh 11593.70 30728.35
TrueLow 11475.65 30428.60

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 12.63 12.63 12.63 12.63 12.63
σ 1.27 1.49 1.67 1.84 2.00

Marketwide OI

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

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