Options Daily 09.08.2019

NIFTY Summary:

  1. Aug 11500 calls added 6,64,500 contracts.
  2. Aug 10950 calls shed 25,800.
  3. Aug 10900 puts added 8,64,750.
  4. Aug 11100 puts shed 1,21,800.

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

Avg. True Range

NIFTY.50 NIFTY.BANK
3 193.05 648.19
5 184.91 620.61
10 165.30 551.05
20 146.48 481.35

NIFTY 50 NIFTY BANK
TrueRange 215.10 696.50
TrueHigh 11058.05 28227.55
TrueLow 10842.95 27531.05

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

AUG NIFTY OI

AUG NIFTY OI chart

AUG BANKNIFTY OI

AUG BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

AUG NIFTY Volatility

AUG NIFTY Volatility chart

AUG BANKNIFTY Volatility

AUG 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 12.67 12.67 12.67 12.67 12.67
σ 3.51 3.59 3.66 3.74 3.81

Marketwide OI

market wide position limit chart

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